Do FOMC Actions Speak Loudly? Evidence from Corporate Bond Credit Spreads

被引：13

作者：

Javadi, Siamak ^{[1
]}

Nejadmalayeri, Ali ^{[2
]}

Krehbiel, Timothy L. ^{[2
]}

机构：

[1] Univ Texas Rio Grande Valley, Brownsville, TX 78520 USA

[2] Oklahoma State Univ, Stillwater, OK 74078 USA

来源：

REVIEW OF FINANCE | 2018年 / 22卷 / 05期

关键词：

Fed fund rate; FOMC; Corporate bonds; Credit spreads; Monetary policy actions; MONETARY-POLICY SURPRISES; INTEREST-RATES; UNCERTAINTY; RISK; INFORMATION; IMPACT; EXPLAINS; DEFAULT; YIELDS; BANKS;

D O I：

10.1093/rof/rfx026

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find that Federal Open Market Committee (FOMC) actions (especially rate cuts) narrowed corporate credit spreads during the pre-crisis period of 2002-07. During the 2008 crisis period, we find that both conventional cuts and quantitative easing decreased spreads. But FOMC inactions caused significant widening of spreads. The effects are especially large for speculative-grade and short-maturity bonds. Overall, the policy uncertainty during the crisis and macroeconomic theories during the pre-crisis period help to explain why FOMC announcements impacted credit spreads. The Fed's actions targeted at promoting growth and/or providing systemic liquidity were especially noted by the corporate bond market.

引用

页码：1877 / 1909

页数：33

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