Monetary Policy,Risk-taking And Credit Spread Of Corporate Bonds

With accelerating reform of financial regime,and continuous innovation and improvement,monetary policy and goal need to be undertaking corresponding transformation.There has been scholars who suggests that not only does monetary policy influence real economy,but also influences financial stability,especially risk-taking effect of monetary policy which exacerbates weakness of financial market(Altunbas,etal,2011).In the stage of which rigid honour of firm bonds is broken and the credit risks are exacerbating,analyzing risk-taking effects of monetary policy possesses great significance.This paper basing on risk-taking channels,starting from investors and issuers,researches concrete paths and mechanism through which monetary policy has influences on the credit spread of firm bonds.Research conclusion below:(1)Monetary policy has influence on the credit spread of corporate bonds through risk-taking from financial institutions,which paths contains valuation,leverage,liquidity effect and chasing yield effect.Easy monetary policy increases risk-taking of financial institutions that increases risk perception and risk tolerate level,which result in reducing credit spread of corporate bond;Vice tight monetary policy decreases risk-taking of financial institutions,which increases credit spread of corporate bonds.(2)Monetary policy also influences credit spread of corporate bonds through risk-taking of corporate issuers,whose effect paths contains instability of bond payoff ability and bonds supply.Easy monetary policy increases risk-taking of financial institutions that increases risk perception and risk tolerate level,which result in increasing credit spread of corporate bond;Vice tight monetary policy decreases risk-taking of financial institutions,which decreases credit spread of corporate bonds.(3)It has offsetting character when monetary policy influences credit spread through risk-taking through different paths.But in general,monetary policy takes reverse influence on credit spread,this is that the loose monetary policy tend to reduce corporate bond credit spreads,the tightening of monetary policy tends to improve the corporate bond credit spreads.(4)Real economical factor(economy trends,inflation),interest rate slope and corporate bonds itself factors(bond credit rating,property,special items)have influence on credit spread of corporate bonds.Meanwhile,this paper also tests Merton model,finding that the effect of Merton model is not significant.Hence,for these conclusions,this paper puts forward policy suggestions below:(1)Central bank needs to take into account the macro-prudential regulation policy responsibility when making policy,establishes macro-prudential regulatory framework with headwinds,to reasonably modulate and guild credit risk of corporate bonds.(2)To increase the understanding of investors and issuers about risk-taking,rational assessment of credit spreads,correct to avoid overly optimistic or pessimistic factors;(3)To appropriately expand the scale of corporate bond financing,enhance corporate bond credit spreads on corporate risk bearing display mechanism,strengthen the investors constraints on issuers risk-taking,making company reasonable and stable operation.This paper is divided into five parts:The first part,introduction.This part respectively elaborates research ground,research significance,research conditions at home and abroad about monetary policy risk-taking channels and influence factors of bond credit spreads,research thinking,research methods,paper frame,innovations and insufficient.The second part,theoretical analysis.This part elaborates credit spread of corporate bonds and relevant concepts firstly,then analyzes the risk-taking effect of monetary policy through financial institutions and corporate issuers which contains concrete paths and effects.The third part,VAR model empirical analysis.This part test theoretical analysis through cointegration analysis and impulse and response analysis based on macroscopic data in corporate bond market.Analysis suggests that monetary policy has influence on credit spread of corporate bonds,and that financial risk-taking can influence credit spread of corporate bonds through relevant proxy variable.The fourth part,pane model empirical analysis.This part test theoretical analysis through FGLS estimation method based on microscopic data in corporate bond market.Analysis suggests that risk-taking of issuer corporate can influence credit spread of corporate bonds,which implies that corporate risk-taking channel of monetary policy exists.The fifth part,conclusion.This part takes concludes the whole paper,and puts forward relevant policy suggestions.