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首页> 外文期刊>Journal of banking & finance >The impact of monetary policy on corporate bonds under regime shifts
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The impact of monetary policy on corporate bonds under regime shifts

机译：政权转移下货币政策对公司债券的影响

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摘要

We study the effects of a conventional monetary expansion, quantitative easing, and the maturity extension program on corporate bond yields using impulse response functions obtained from flexible models with regimes. Using a three-state Markov switching model with time-homogeneous vector autoregressive (VAR) coefficients that emerges from a systematic model specification search, we find that unconventional policies may have been generally expected to decrease both corporate yields and spreads. However, even though the sign of the responses is the one desired by policymakers, the size of the estimated effects depends on the assumptions regarding the decline in long-term Treasury yields caused by unconventional policies, on which considerable uncertainty remains. Further tests based on yield spreads and a variable that measures inflation expectations show that, in the crisis regime, unconventional monetary policies do not produce any perverse effects on expected inflation. These results prove robust to adopting a framework that allows VAR coefficients to break, to imposing coefficient restrictions that increase parsimony, and to a range of different ordering schemes that identify shocks in alternative ways. (C) 2017 Elsevier B.V. All rights reserved.
机译：我们使用具有体制的灵活模型获得的冲激响应函数，研究了常规货币扩张，量化宽松和期限扩展计划对公司债券收益率的影响。使用从系统模型规格搜索中得出的具有时间均一的向量自回归（VAR）系数的三态Markov切换模型，我们发现非常规政策通常可能会降低公司的收益和利差。但是，尽管回应的信号是决策者所希望的，但估计效果的大小取决于有关非常规政策导致长期国债收益率下降的假设，在这些假设上仍存在相当大的不确定性。基于收益率差和衡量通货膨胀预期的变量的进一步检验表明，在危机时期，非常规的货币政策不会对预期通货膨胀产生任何不利影响。这些结果证明了采用允许VAR系数打破的框架，施加可增强简约性的系数限制以及采用其他方法识别冲击的一系列不同排序方案的鲁棒性。 （C）2017 Elsevier B.V.保留所有权利。

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