|ترجمه عنوان مقاله||ریسک اعتباری و انتقال شوک های نرخ بهره|
|عنوان انگلیسی مقاله||Credit risk and the transmission of interest rate shocks|
|انتشار||مقاله سال ۲۰۲۲|
|تعداد صفحات مقاله انگلیسی||۱۷ صفحه|
|هزینه||دانلود مقاله انگلیسی رایگان میباشد.|
|نوع نگارش مقاله
||مقاله پژوهشی (Research Article)|
|مقاله بیس||این مقاله بیس میباشد|
|نمایه (index)||JCR – Master Journal List – Scopus|
|فرمت مقاله انگلیسی|
||۳٫۷۵۸ در سال ۲۰۲۰|
|شاخص H_index||۱۳۵ در سال ۲۰۲۲|
|شاخص SJR||۴٫۷۶۷ در سال ۲۰۲۰|
|شاخص Quartile (چارک)||Q1 در سال ۲۰۲۰|
|رشته های مرتبط||اقتصاد|
|گرایش های مرتبط||اقتصاد پولی – اقتصاد مالی|
|نوع ارائه مقاله
|مجله||مجله اقتصاد پولی – Journal of Monetary Economics|
|دانشگاه||Office of Financial Research, USA|
|کلمات کلیدی||ریسک اعتباری – مبادله نکول اعتباری (CDS) – سیاست پولی – انتقال شوک – بازده حقوق صاحبان سهام|
|کلمات کلیدی انگلیسی||Credit risk – credit default swap (CDS) – Monetary policy – Shock transmission – Equity returns|
|شناسه دیجیتال – doi
|لینک سایت مرجع||https://www.sciencedirect.com/science/article/abs/pii/S0304393222000927|
|وضعیت ترجمه مقاله||ترجمه آماده این مقاله موجود نمیباشد. میتوانید از طریق دکمه پایین سفارش دهید.|
|دانلود رایگان مقاله||دانلود رایگان مقاله انگلیسی|
|سفارش ترجمه این مقاله||سفارش ترجمه این مقاله|
|فهرست مطالب مقاله:|
۳ Effects of interest rate shocks on credit risk
۴ Monetary policy and credit risk heterogeneity
|بخشی از متن مقاله:|
Using daily credit default swap (CDS) data, we find a positive relation between corporate credit risk and unexpected monetary policy shocks during FOMC announcement days. Positive shocks to interest rates increase the expected loss component of CDS spreads as well as a risk premium component. However, not all firms respond in the same manner. We show that firm-level credit risk is an important driver of the monetary policy response, both in credit and equity markets, and its role is not diminished by the inclusion of other risk proxies. A stylized corporate model of monetary policy, investment, and financing rationalizes our findings.
Understanding the transmission of interest rate shocks to corporations is of paramount importance to policymakers and economic researchers, as corporate borrowing is widely used to fund investment, production, labor, and other real activities. While economic theory suggests that firms obtain credit at a premium that compensates for default risk, it is still widely debated as to how corporate credit risk is affected by monetary policy. This transmission mechanism has played a crucial role in policy responses over the last two decades.
In this paper, we connect unexpected interest rate movements to fluctuations in credit risk to shed more light on this transmission mechanism. To measure credit risk at the firm-level, we take advantage of daily quoted prices on the corporate, single name, credit default swap (CDS) market. Using CDS rates allows us to conveniently separate the two main components of credit spreads, an expected loss component and a credit risk premium, and independently study their reaction to monetary policy surprises.2
Monetary policy surprises significantly affect firm-level credit risk. Consistent with recent evidence, we document that both components of firm-level credit risk (i.e., the expected loss and the risk premium components) and equity prices respond more to monetary policy surprises when firms have higher credit risk, as measured by their CDS spreads. Additionally, the importance of firm-level credit risk for the propagation of monetary policy shocks does not diminish when we contemporaneously control for book leverage and market size, two characteristics commonly associated with firm-level risk.
To rationalize the heterogenous response of credit risk and the noisiness of leverage as a risk indicator, we construct a stylized three-period model that features endogenous financing and investment decisions together with a monetary authority that sets short term interest rates. Central to our results is an intermediary pricing kernel for which larger prices of risk related to interest rate shocks correspond to larger responses of credit spreads and real quantities. We show in the model economy that firms with higher ex-ante spreads, that are closer to default, are those that are more sensitive to interest rate shocks. Meanwhile, firms with higher leverage are able to afford such debt capacity due to their fundamental strength and, as a result, their credit spreads are less sensitive to monetary policy shocks.
Overall, our work suggests that a simple and intuitive measure such as leverage might not be as effective as a more direct measure of credit risk such as CDS spreads, to understand the pass through of monetary policy at the firm level.