英文企业风险与货币传导：重新审视超额债券溢价

Firms’ risk and monetary transmission:revisiting the excess bond premiumMar Domenech Palacios Disclaimer:This paper should not be reported as representing the views of the European Central Bank(ECB). Theviews expressed are those of the authors and do not necessarily reflect those of the ECB. Abstract This 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 ofGilchrist &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. Non-technical summary This 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 risk.However, under the new formulation, a larger fraction ofthe credit spread response to monetary policy shocks is explained by changes in compensationfor default risk, although most of the average effect still goes through the EBP. Second, oncethe pricing of default risk is allowed to differ depending on firms risk profiles, fundamentalsplay a noticeably larger role for companies that are highly cyclical: for these firms, up to aboutone quarter of the additional spread widening after a contractionary policy surprise reflectshigher compensation for default risk, compared with roughly eight percent under the traditionalEBP calculation. In other words, using the augmented EBP reveals that fundamentals (defaultrisk) play a bigger role in the heterogeneous transmission to these firms’ spreads than previouslythought. Third, firms with high idiosyncratic risk do not display a significantly larger sensitivityof spreads to monetary shocks beyond what their default risk would already imply. This resultintuitively aligns with the notion that a monetary shock is an aggregate disturbance: firms fac- ing primarily idiosyncratic volatility are not disproportionately affected by macro shocks beyondwhat their default risk would suggest. 1Introduction How does monetary policy transmit to corporate bond spreads, and what is the role of firm-specific risks in determining the relative importance of these? A growing body of evidence showsthat much of the impact of monetary tightening on corporate bond spreads operates throughincreases in the portion of spread that is not explained by compensation for default risks, thatis, the excess bond premium (EBP), rather than through higher expected default losses (see,for example,Anderson & Cesa-Bianchi(2024),Chit¸u et al.(2023) orFerreira et al.(2023)).This contrasts with traditional theory (seeBernanke & Gertler(1995)), which predicts that amonetary tightening raises default risk and thus widens spreads via higher default compensation. The EBP, first introduced byGilchrist & Zakrajˇsek(2012), is typically interpreted as ameasure of the risk-bearing capacity of the financial sector and sho