| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14426 |
| DP14426 Crossing the Credit Channel: Credit Spreads and Firm Heterogeneity | |
| Ambrogio Cesa-Bianchi | |
| 发表日期 | 2020-02-20 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We show that credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a unique panel of corporate bonds matched with balance sheet data for US non-financial firms, we document that firms with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction of this increase is due to a component of credit spreads that is in excess of firms' expected default -- the excess bond premium. Consistent with the spreads response, we also document that high-leverage firms experience a sharper contraction in debt and investment than low-leverage firms. Our results provide evidence that balance sheet effects are crucial for understanding the transmission mechanism of monetary policy. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | monetary policy Heterogeneity Credit spreads Excess bond premium Credit channel Financial accelerator Event study Identification |
| URL | https://cepr.org/publications/dp14426 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543321 |
| 推荐引用方式 GB/T 7714 | Ambrogio Cesa-Bianchi. DP14426 Crossing the Credit Channel: Credit Spreads and Firm Heterogeneity. 2020. |
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