• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Bogdan Knyazev
The Impact of Monetary Policy on Corporate Bond Yield Spreads in Russia
Financial Engineering
(Master’s programme)
9
2018
The purpose of the research was to analyze the impact of monetary policy on the corporate bond yield spreads, taking into account the macroeconomic factors. In this study, the methodology, applicable to Russia, was selected and the impact of monetary policy on the shape of the corporate yield curve and credit spread curve was estimated. Scientific novelty of the research was that unlike most existing studies in this paper the impact of monetary policy on corporate bond yields was analyzed instead of studying the impact on government bond yields. Furthermore, unconventional approach to approximate monetary policy instruments and corporate bond yields was applied. In the course of the study it was proven, that the yield curve and the credit spread curve respond to signals of monetary policy. In case of monetary policy tightening the response is expressed in increasing of yields and reduction of spreads, while term premium decreases. The effect of the Russian regulator actions is transmitted instantly, persisting up to 3 months. Furthermore, it was revealed that changes of yields and credit spreads have impact on the Central Bank activities. The Bank of Russia tightens monetary policy in response to credit spread widening and increasing of yields. Monetary policy has the dominant impact on the bond term premium in comparison to the key macroeconomic indicators. In all other cases, the dual-currency basket has the dominant influence. This work expands the existing knowledge about the impact of the Bank of Russia monetary policy on the corporate bond yields and spreads, thereby complementing the scientific knowledge of the corporate bond market in emerging market economies.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses