How does the fed affect corporate credit costs? Default risk, creditor segmentation and the post-FOMC drift

• 成果类型: Article
• 署名作者: Walz, Stefan
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.10.008
• 发表日期: 2024
• 关键词: Monetary policy; Monetary markets; financial intermediation

摘要

Surprise changes in monetary policy rates have a causal impact on credit risk measures, which display a significant post-FOMC drift. I employ a tight identification strategy to decompose the influence of firm -specific and creditor -specific factors across horizons. Firms with narrower income gaps and lower Tobin's Q ratios exhibit heightened sensitivity at both short and long horizons. Bonds predominantly held by bond funds demonstrate only temporarily more sensitivity, indicating that credit market segmentation fails to account for the observed drift. Aggregate broker dealer capital scarcity is linked to an amplified response in the drift component. A large portion of the drift remains unexplained, revealing the limitations of cross-sectional characteristics in explaining the transmission mechanism.