The Impact of Monetary Policy on Corporate Bond Yield Spreads in Russia

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.