The Fed takes on corporate credit risk: An analysis of the efficacy of the SMCCF

• 成果类型: Article
• 署名作者: Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon
• 署名单位: New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Boston; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103573
• 发表日期: 2024
• 关键词: covid-19; SMCCF; credit spreads; Credit market support facilities; event study; Purchase effects; Preferred habitat

摘要

This paper evaluates the efficacy of the Secondary Market Corporate Credit Facility, a program designed to stabilize the U.S. corporate bond market during the COVID-19 pandemic. The program announcements on March 23 and April 9, 2020, significantly reduced investment-grade credit spreads across the maturity spectrum - irrespective of the program's maturity-eligibility criterion - and ultimately restored the normal upward-sloping term structure of credit spreads. The Federal Reserve's actual purchases reduced credit spreads of eligible bonds 3 basis points more than those of ineligible bonds, a sizable effect given the modest volume of purchases. A calibrated variant of the preferred habit model shows that a dash for cash- a selloff of shorter term lowest-risk investment-grade bonds - combined with a spike in the arbitrageurs' risk aversion, can account for the inversion of the investment-grade credit curve during the height of turmoil in the market. Consistent with the empirical findings, the Fed's announcements, by reducing risk aversion and alleviating market segmentation, helped restore the upward-sloping credit curve in the investment-grade segment of the market.