The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF

主讲人：Vivian (Zhanwei) Yue (Emory University)

主持人：余淼杰、余昌华（北京大学国家发展研究院）

时间：2022年05月24日（周二）上午9:00-10:30（北京时间）

Zoom会议号：926 3889 7210

密码：908060

摘要：

We evaluate the efficacy of the Secondary Market Corporate Credit Facility (SMCCF), a program designed to stabilize the corporate bond market in the wake of the COVID-19 shock. The Fed announced the SMCCF on March 23 and expanded the program on April 9. Regression discontinuity estimates imply that these announcements reduced credit spreads on bonds eligible for purchase 70 basis points. We refine this analysis by constructing a sample of bonds—issued by the same set of companies—which differ in their SMCCF eligibility. A diff-in-diff analysis shows that both announcements had large effects on credit spreads, narrowing spreads 20 basis points on eligible bonds relative to their ineligible counterparts within the same set of issuers across the two announcement periods. The March 23 announcement also reduced bid-ask spreads ten basis points within ten days of the announcement. By lowering credit spreads and improving liquidity, the April 9 announcement had an especially pronounced effect on “fallen angels.” The actual purchases lowered credit spreads by an additional five basis points and bid-ask spreads by two basis points. These results confirm that the SMCCF made it easier for companies to borrow in the corporate bond market.

主讲人简介：

Vivian Zhanwei Yue is an Associate Professor of Economics in the Department of Economics, Emory University. She is also a senior research fellow at the Federal Reserve Bank of Atlanta and Research Associate at the NBER. She received a BS degree in Economics from Tsinghua University and a PhD in Economics from University of Pennsylvania. Her research areas are on international finance, macroeconomics, and international trade, with a special interest in China’s macroeconomy. She has published in leading academic journals such as Quarterly Journal of Economics, Journal of International Economics, and Journal of Econometrics. She is currently an associate editor for both Journal of International Economics and Journal of Monetary Economics.