美国货币政策对中国企业债信用利差的传导效应

Transmission Effect of US Monetary Policy on China's Corporate Bond Credit Spreads

本文通过扩展封闭经济下债券定价框架,从美国货币政策变动的角度来解释中国企业债券的"信用利差之谜"。将实际货币政策变动分解为预期到的货币政策变动和货币政策意外两部分,并使用事件研究方法分析了2008年金融危机以来美国联邦公开市场委员会的历次货币政策决议对中国下一日企业信用利差的影响。研究发现:美元加息将显著提升中国企业债券的信用风险,进而导致企业债务融资成本增加;相比预期到的货币政策变动,货币政策意外对债券信用利差的影响更为显著,并且随着信用等级的降低,影响强度出现递增;在经济衰退时中国政策逆周期性调节的可预测性相对较强,这抵消了美国货币政策在不同经济状态下的非对称性传导。综合来看,随着中美经济日益紧密和中国债券市场不断开放,美国货币政策的传导效应愈发明显。

This paper, by expanding the pricing framework of bonds under closed economy, explains the credit spread puzzle from the perspective of changes in US monetary policies, and decomposes the actual monetary policy changes into the expected change and the surprised change. This paper also analyzes the impact of all previous FOMC monetary policy decisions on the following day＇s credit spreads of corporate bonds in China from the financial crisis in 2008 by using the event-study approach. The empirical results show that：firstly, the US interest rate hike will significantly raise the credit risk of corporate bonds, leading to an increase in corporate debt financing costs. Secondly, the effect of unexpected monetary policies on the credit spreads is stronger than that of expected components, furthermore, as the credit rating decreases, the magnitude of the market＇s response increases. Thirdly, the predictability of China＇s counter-cyclical adjustment during the economic slowdown is relatively strong, which offsets the asymmetric transmission effect of US monetary policies in the different economic conditions. Therefore, with the bound relationship between China and US and the continuous opening of China＇s bond market, the transmission effect of US monetary policies will becomes more and more evident.