讲座主题

Does Bond Market Structure Amplify Monetary Policy Shocks? Evidence from CDS Markets

债券市场结构是否放大了货币政策冲击？——来自CDS市场的证据

主讲人介绍

梁迎, 经济学博士（法国图卢兹经济学院），现任职于法国图卢兹管理学院（Toulouse School of Management-Research, UT 1Capitole）。此前，她曾在澳大利亚莫纳什大学银行与金融系担任助理教授。她的研究领域包括银行学、公司金融、监管和货币政策。梁博士的学术成果已发表于多个国际期刊，包括《Labour Economics》和《Empirical Economics》。目前，她有多篇工作论文正在国际期刊修改后重投中，包括《Nature Human Behaviour》、《Journal of Empirical Finance》。梁博士的研究成果曾在多个国际会议上报告，并曾访问蒂尔堡大学进行合作研究。她还曾与法国巴黎银行和安盛保险公司合作，参与欧洲银行与保险公司的风险实证分析及偿付能力II政策评估。

摘要

We show that the ownership structure of corporate bonds, particularly the portfolio constraints and trading behavior of bondholders, shape how monetary policy surprises transmit to CDS. Using high-frequency policy shocks, we find that CDS spreads react more sharply when a firm's bonds are held by investors whose portfolios are concentrated in low-rated securities (+11.2 basis points per 1 p.p. tightening) or long-duration instruments (+9.9 basis points), consistent with binding portfolio constraints that force rebalancing. Bonds with higher mutual fund ownership initially appear substantially more sensitive (+79 basis points), but this effect diminishes when controlling for the trading intensity of the bondholder base. The deeper mechanism is behavioral rather than institutional: bonds held by high-turnover investors exhibit larger CDS responses because these investors rebalance aggressively when monetary conditions shift, generating concentrated order flow that spills from cash bond markets into CDS pricing through hedging demand and basis arbitrage. Our findings imply that monitoring who holds bonds and how actively they trade is at least as important as monitoring what type of institution they are for understanding how monetary policy propagates through credit markets.

时间

2026年6月9日（星期二）上午10:00-11:30

地点

中央财经大学（学院南路校区）学术会堂 603

主办方

创新发展学院中国金融发展研究院

撰稿：梁迎

审稿：赵阳、郭枫、陈翀

编辑：沈嘉怡

审核：赵扶扬