Exorbitant privilege? Quantitative easing and the bond market subsidy of prospective fallen angels

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Banerjee, Ryan; Crosignani, Matteo; Eisert, Tim; Spigt, Renee
• 署名单位: New York University; Bank for International Settlements (BIS); Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104084
• 发表日期: 2025
• 关键词: Capital misallocation; corporate bond market; Investment-grade bonds; BBB rating; Large-scale asset purchases (LSAP); Credit ratings

摘要

We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative easing (QE). Prospective fallen angels - risky firms just above the IG cutoff - enjoyed subsidized bond financing in 2009-19. This effect is driven by Fed purchases of securities inducing long-duration IGfocused investors to rebalance their portfolios towards higher-yielding IG bonds. The benefiting firms (i) exploited the sluggish downward adjustment of credit ratings after M&A to finance risky acquisitions with bond issuances, and (ii) increased market share affecting competitors' employment and investment, but (iii) suffered severe downgrades at the onset of the pandemic.