Research Seminar | "Monetary Policy and Corporate Bond Returns"
“Monetary Policy and Corporate Bond Returns”
Seminar Presentation by Prof. Alexandros Kontonikas
Professor of Finance, Essex Business School
Wednesday, 19th April 2017
19:30 - 20:30
We investigate the impact of monetary policy shocks (the surprise change in the Fed Funds rate (FFR)) on the excess U.S. corporate bonds returns. We obtain a significant negative response of bond returns to FFR shocks. This effect is especially strong in the period before the 2007-09 financial crisis and for bonds with longer maturity and lower rating. We show that the largest part of this response is related to higher expected excess bond returns. Therefore, the discount rate channel represents an important mechanism through which monetary policy affects corporate bonds. However, the importance of this effect has recently declined.
Professor Kontonikas is a graduate of the Athens University of Economics and Business. He holds an MSc in Business Finance and a PhD in Financial Economics from Brunel University. He joined Essex Business School in September 2016, having previously been employed at the University of Glasgow (2005-2016) and Brunel University (2003-2005). Professor Kontonikas main research interests are in the areas of asset pricing, liquidity, monetary policy and sovereign risk. His work has been published in several journals including the Journal of Money Credit and Banking, the Journal of Banking and Finance and the Journal of International Money and Finance. Professor Kontonikas has obtained grants from various sources including the Leverhulme Trust and the Nuffield Foundation. He has also has acted as a consultant for the European Commission and the European Central Bank on the determinants of sovereign risk in the eurozone.
Open for students & faculty
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