【European Central Bank-2025研报】英文企业风险与货币传导：重新审视超额债券溢价.pdfVIP

WorkingPaperSeries

MarDomenechPalaciosFirms’riskandmonetarytransmission:

revisitingtheexcessbondpremium

No3118

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank

(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

Abstract

Thispaperexamineswhetherfirm-specificcyclicalandidiosyncraticriskpro-

filesinfluencecorporatebondspreadsandthetransmissionofmonetarypolicy.

Iextendthestandardexcessbondpremium(EBP)frameworkofGilchrist

Zakrajˇsek(2012)toallowinvestors’requiredcompensationfordefaultriskto

varywithfirm-levelrisks.Incorporatingtheseeffectsrevealsthatasignificantly

largershareofamonetarypolicyshock’simpactoncreditspreadsisdrivenby

changesindefaultriskcompensation(asopposedtotheEBP).Inparticular,for

firmswithmorecyclicalrisk,uptoone-fourthoftheadditionalspreadwidening

followingacontractionarymonetarypolicyshockreflectshigherexpectedde-

faultcompensation,substantiallymorethanimpliedbythetraditionalEBP.By

contrast,firmswithhighidiosyncraticriskshownostrongdifferentialresponse

tomonetarypolicyshocksrelativetootherfirms.

JELClassification:D22,E43,E44,E52,G12

Keywords:excessbondpremium,cyclicality,risk,monetarypolicy,sentiment

ECBWorkingPaperSeriesNo31181

Non-technicalsummary

Thispaperexploreshowcorporatebondyieldsrisewhenthecentralbanktighten