公司金融教研室学术讲座

报告题目：Do Bond Market Structures Amplify Monetary Policy Shocks? Evidence from CDS Markets
报  告 人：黄棣芳（中国科学院数学与系统科学研究院 助理研究员）
主  持 人：刘晓玲（中山大学岭南学院 助理教授） 
时      间：2025年5月19日（周一）15:00
地      址：岭南堂汪道涵会议室（101）
语      言：中英文

摘要:
      We investigate how financial intermediation frictions affect monetary policy transmission. To this end, we analyze the determinants of price reaction on the credit default swaps (CDS) markets, which are not directly impacted by monetary policy, following surprises in monetary policy announcements. We show that changes in CDS spreads are sensitive to the corresponding bond's ownership structure, revealing two novel bondholder fragility channels. First, when mutual funds dominate a bond’s investor base relative to insurance companies, its CDS spread sensitivity increases by 79 basis points to a 1 p.p. policy tightening surprise, reflecting the fundamental difference between funds’ daily redemption obligations and insurers’ stable liability structures. Second, bonds held by investors with concentrated positions in lower-rated bonds exhibit 11.2 basis point larger CDS spread responses to a 1 p.p. monetary policy shock --a credit-quality constraint channel that proves economically distinct from maturity-based constraints. Our analysis of CDS trading volume reveals market segmentation: mutual fund-dominated bonds show decreased CDS volume, with significant implications for financial stability.

报告人介绍：

       黄棣芳，中国科学院数学与系统科学研究院助理研究员，主要研究领域涵盖金融科技和人工智能，研究成果发表在自然科学和金融管理领域期刊，如PNAS、PNAS Nexus、Nature Human Behaviour、Management Science、Journal of Accounting Research、Journal of Financial and Quantitative Analysis、Econometric Reviews、Financial Management、Journal of Corporate Finance、Journal of Financial Intermediation、Journal of Economic Behavior and Organization、Journal of Empirical Finance等。

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