未预期货币政策与企业债券信用利差——基于固浮利差分解的研究

Journal of Financial Research

2016, Vol. 432

Issue (6): 67-80 DOI:

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Unexpected Monetary Policy and Credit Spreads of Corporate Bonds in China:An Empirical Analysis Using Spreads of Fixed and Floating Rate Bonds

GUO Ye, HUANG Zhen, WANG Yun

School of Economics/The Wang Yanan Institude for Studies in Economics, Xiamen University;
CNPC Finance(HK Limited

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Abstract This paper proposes to decompose the monetary policy into expected and unexpected components using the spreads of fixed and floating rate bonds, and furthermore, we analyze the dynamic and asymmetric effects of unexpected monetary policies on the credit spreads of corporate bonds. Our empirical results show that: firstly, the effect of unexpected monetary policy on the credit spreads is more significant than that of expected components; secondly, the effect of monetary policy on the credit spreads of corporate bonds is stronger in economic booms than that in economic recessions; last, the effect of monetary policy on the mid-term and long term corporate bonds is more significant, whereas the short term effect is not significant.

Key words： Unexpected Monetary Policy Credit Spreads of Corporate Bonds Spreads of Fixed and Floating Rate Bonds

Received: 20 October 2015 Published: 13 April 2018

JEL分类号:	E44
	E52
	E58

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GUO Ye,HUANG Zhen,WANG Yun. Unexpected Monetary Policy and Credit Spreads of Corporate Bonds in China:An Empirical Analysis Using Spreads of Fixed and Floating Rate Bonds[J]. Journal of Financial Research, 2016, 432(6): 67-80.

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http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2016/V432/I6/67

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