Monetary Policy and Risk Appetite in Corporate Bond Markets

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

antje

Topic: Monetary Policy and Risk Appetite in Corporate Bond Markets

Speaker: Antje Berndt, the Australian National University

Venue: On campus | Face to face seminar in room CB08.08.002, Building 8, University of Technology Sydney, Australia (Map of campus) 

Abstract: We measure risk appetite as low discount factor sensitivity to macroeconomic news. Using firm-level corporate bond market data from 1973-2022, we find that risk appetite is lower when monetary policy is tighter, and that low rates for long periods encourage “Reaching for Yield" (RFY). Critics of the ultra-low rates of the post-GFC period argue that extremely accommodative policy engenders excessive risk taking. While greater risk appetite is associated with riskier bond issuance and greater business investment, we find no evidence that the seven years at the zero lower bound led to excessive RFY.

Seminar protocols:

  • The seminar will run for 45 minutes, followed by a 15 minute Q&A session
  • There will be a moderator for each seminar event, who will facilitate communication and resolve any issues
  • Participants can raise their hand to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or they can ask the question directly to the presenter

You can also keep up-to-date on information about our seminar series by following our LinkedIn page or checking out our seminar webpage.
If you would like to be removed from our seminar mailing list, please click here.


Co-ordinator: Thomas Matthys

Enquiries: Jin Jo

Back to Finance seminars
Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.