以DID計量方法分析: 聯準會對公司債市場政策之影響

Abstract

自2020年2月起，世界各國為避免COVID-19疫情擴散，實行各種社交、生產行為的限制政策，因此導致全球產能下跌，造成大幅的經濟衰退，是以各國央行紛紛祭出各項貨幣政策與融通機制。本文針對美國聯準會在2020年3月23號宣告實行的Secondary Market Corporate Credit Facility (SMCCF) 融通工具進行分析，以DID模型估計該項融通工具對債券市場以及企業營運方面的影響。結果顯示SMCCF政策的宣告即導致債券殖利率上升、債券收益率下降，而政策的實際執行與退場對於債券市場皆有所影響，並且在研究中發現，在面臨金融市場的不確定性時，市場參與者確實會傾向保持流動性或是偏好高品質資產。

Since February 2020, governments implemented quarantine policies. The restriction caused the decrease in production capacity and resulted in the economy recession. Therefore, central banks around the world implemented lots of monetary policies and financing facilities. This paper focuses on one of the FED’s financing facilities, the Secondary Market Corporate Credit Facility (SMCCF). It bought the high credit rating and short maturity bonds, and tried to provide some liquidity to the market. In this paper, we used difference-in-differences model to estimate the impact of the implementation of the SMCCF on the bond market and corporate operations. The results show that the announcement of the SMCCF policy leads to an increase in bond yields and a decrease in bond returns. The actual purchase and the wind-down of the SMCCF have an impact on the bond market. In the study, we found that when facing the uncertainty of the financial market, the participants of the market will tend to remain the liquidity or prefer the high-quality assets.