英文【欧洲中央银行】企业风险与货币传导：重新审视超额债券溢价

Working Paper Series Firms’ risk and monetary transmission: revisiting the excess bond premium Mar Domenech Palacios Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3118 AbstractThis paper examines whether firm-specific cyclical and idiosyncratic risk pro-files influence corporate bond spreads and the transmission of monetary policy.I extend the standard excess bond premium (EBP) framework of Gilchrist &Zakrajˇsek (2012) to allow investors’ required compensation for default risk tovary with firm-level risks. Incorporating these effects reveals that a significantlylarger share of a monetary policy shock’s impact on credit spreads is driven bychanges in default risk compensation (as opposed to the EBP). In particular, forfirms with more cyclical risk, up to one-fourth of the additional spread wideningfollowing a contractionary monetary policy shock reflects higher expected de-fault compensation, substantially more than implied by the traditional EBP. Bycontrast, firms with high idiosyncratic risk show no strong differential responseto monetary policy shocks relative to other firms.JEL Classification: D22, E43, E44, E52, G12Keywords: excess bond premium, cyclicality, risk, monetary policy, sentimentECB Working Paper Series No 31181Non-technical summaryThis paper explores how corporate bond yields rise when the central bank tightens policy and,in particular, whether the increase reflects a higher risk of default or broader market conditionssuch as investor risk appetite and liquidity. A large recent literature shows that most of theimmediate rise in spreads following a monetary policy tightening shock comes from the “excessbond premium” (EBP), that is, the part of the spread not explained by default risk. The EBPis commonly viewed as a barometer of the financial sector’s risk-bearing capacity and prevailingliquidity conditions. This paper explores whether the way in which firms’ risk profiles differmatters for how monetary policy passes through to credit costs.To study this, the paper extends the standard EBP framework in order to allow for com-pensation for default risk to vary with two firm characteristics that investors observe and price:how sensitive a firm is to the business cycle (its cyclicality) and how volatile it is for firm-specific reasons (its idiosyncratic risk). The analysis brings this idea to the data by combininga large weekly panel of US corporate bonds since 2016 with firm-level stock market data andhigh-frequency measures of monetary policy surprises around Federal Reserve announcements.I find that firm risk profiles are important drivers of credit spreads and of how default risk iscompensated.Three additional findings emerge. First, at the aggregate level, monetary tightening stillraises corporate spreads mainly by increasing the EBP rather than by sharply boosting com-pensation for expected default