Monetary Policy and the Corporate Bond Market: Reaching for Yield or Information Effects?

2019 ◽  
Author(s):  
Michael Smolyansky ◽  
Gustavo Suarez
Keyword(s):  
Monetary Policy ◽  
Bond Market ◽  
Corporate Bond ◽  
Information Effects ◽  
Corporate Bond Market ◽  
Reaching For Yield

scholarly journals Monetary policy and the corporate bond market: How important is the Fed information effect?

2021 ◽  
Vol 2021 (009) ◽  
pp. 1-37
Author(s):  
Michael Smolyansky ◽  
◽  
Gustavo Suarez ◽  
Keyword(s):  
Monetary Policy ◽  
Bond Market ◽  
Corporate Bond ◽  
Information Effect ◽  
Risky Assets ◽  
Corporate Bond Market ◽  
Market Participants ◽  
Economic Fundamentals ◽  
State Of The Economy ◽  
The U.S

Does expansionary monetary policy drive up prices of risky assets? Or, do investors interpret monetary policy easing as a signal that economic fundamentals are weaker than they previously believed, prompting riskier asset prices to fall? We test these competing hypotheses within the U.S. corporate bond market and find evidence strongly in favor of the second explanation—known as the "Fed information effect". Following an unanticipated monetary policy tightening (easing), returns on corporate bonds with higher credit risk outperform (underperform). We conclude that monetary policy surprises are predominantly interpreted by market participants as signaling information about the state of the economy.

Momentum in Korean Corporate Bond Market

2020 ◽  
Vol 33 (3) ◽  
pp. 301-338
Author(s):  
Minyeon Han ◽  
◽  
Jemoon Woo ◽  
Hyounggoo Kang
Keyword(s):  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market
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