作者：Yuriy Kitsul(现任美联储理事会经济学家), Bill Lang(美联储理事会高级研究员), Mehrdad Samadi(现任美联储理事会首席经济学家).

导读

2022年和2023年，在大多数发达经济体中，货币政策迅速紧缩伴随着新信贷利率大幅上升，影响了企业和家庭。除了提高新借款成本外，货币政策的紧缩还可能导致现有债务偿还成本上升，潜在地导致企业和家庭的财务限制加剧，导致它们在投资和消费方面现金不足。学术研究认为，特别是对于持有大量浮动利率债务的公司，从政策利率到现有债务服务成本的传导是货币政策影响公司经济活动和整体经济的重要机制。该文章评估了当前紧缩周期（截至2023年第一季度）内在上市非金融公司（NFCs）的货币政策紧缩传导到现有债务偿还成本的程度，并将其与新借款利率以及以前紧缩周期的传导进行比较。

文章显示，在发达经济体央行提高政策利率的同时，现有债务的成本通常比新借款利率上升的速度慢得多。一些观察者认为，当前紧缩周期对现有债务成本的政策利率传导特别缓慢的原因可能是它前面经历了一个利率非常低的时期，以及在COVID-19大流行爆发后发生了史无前例的货币和财政支持，使公司能够以较低的成本为长期项目融资并积累现金储备。

该文章对前五个季度的研究结果表明，与2003年以来的历史周期相比，政策传导到现有债务的速度与之相当。文章还发现传导的强度在公司之间存在差异。例如，在当前紧缩周期中，不太依赖银行债务（银行债务通常以浮动利率为主）的公司和现金持有较多因此不需要发行太多新债务的公司，其传导效果显著较弱，而在当前紧缩周期中，银行贷款占债务比例较高、现金持有较少的公司传导效果较强。此外，在紧缩开始时公司持有的大量现金储备已经减少，传导效果显著的公司已经出现用当前盈利支付债务的能力下降的情况。

展望未来，尚未偿还的非金融公司的债券将在未来逐步到期。这表明，至少对于主要依赖发行固定利率公司债的非金融公司而言，当这些债券到期并可能进行再融资时，从较高的政策利率到NFC借款成本的传导将逐渐展开。尽管如此，如果利率继续长期走高，即使对于这样的公司，流动性状况可能仍将恶化，有可能加剧公司财务的脆弱性。

原文

“Monetary policy passthrough to new and existing borrowing costs”

Figure 1 displays the cumulative increases in policy rates, two measures of new borrowing costs, and a measure of existing debt servicing cost for four advanced economies, with the first data point corresponding to the quarter before the current tightening cycle started and the last data point corresponding to 2023:Q1.3 The black dots display the cumulative increases in the quarterly average central bank policy rate. Through 2023:Q1, policy rates increased, respectively, about 4.5, 4, 4, and 3 percentage points in the U.S., U.K., Canada, and the Euro area. Quarterly average rates on new NFC bank loans (yellow dotted lines) closely followed policy rates as bank loans often have reference rates that are tightly linked to policy rates (Ippolito, Ozdagli, and Perez-Orive 2018). Quarterly average 5-year yields on BBB-rated corporate bonds (blue solid lines) have increased more than policy rates, likely reflecting risk premiums embedded in 5-year maturities. Thus, the passthrough to new borrowing costs as reflected by new bank loan rates and corporate bond yields has been robust.

Line chart shows the cumulative increases in quarterly average policy rates (black dots), rates on new NFC bank loans (yellow dotted lines), 5-year yields on BBB-rated corporate bonds (blue solid lines), and annualized interest expense scaled by total debt (interest cost, red dashed lines) for the median firm in the United States, United Kingdom, Canada and the Euro area since the beginning of monetary tightening. The vertical axes range from a cumulative interest rate increase of -1 to 7 percentage points. The horizontal axes range from 2021:Q3 through 2023:Q1. What is evident in this figure is that passthrough to new borrowing costs as reflected by new bank loan rates and corporate bond yields has increased significantly more quickly than interest costs.

Note: Median NFC Interest Cost is annualized quarterly interest expense to total debt. U.S. New Bank Loan Rates are based on posted prime loan rates.

Source: Federal Reserve H. 15, Bank of England, Bank of Canada, ECB Statistical Data Warehouse, S&P Capital IQ, Bloomberg, Board staff calculations.

By contrast, the cumulative increases in the cost of servicing existing NFC debt (red dashed lines), defined as the annualized interest expense scaled by total debt (interest cost) for the median firm, has been significantly smaller than increases in the costs of new borrowing.4 If a firm’s debt capital structure was comprised entirely of bank loans, we would expect passthrough to the cost of servicing existing debt to be much higher as loan reset dates typically occur every one to three months for bank loans to NFCs.

“Is passthrough to NFC debt servicing costs slower in the current cycle?”

Market commentaries have suggested that firms extending the maturity of their fixed rate debt during the COVID-19 pandemic taking advantage of low rates could have led to slower passthrough to NFC debt servicing costs in the current tightening cycle. Figure 2 compares median interest costs of firms during the current tightening cycle (red dashed lines) to interest costs predicted by historical passthrough in previous tightening cycles.5 We use the mean evolution in previous tightenings of historical firm-cycle-level ratios of the cumulative increase in interest cost to cumulative increase in policy rates to predict how much NFC interest costs would rise given the increase in policy rates during the current tightening cycle. We also compute a confidence interval around these predictions. The blue solid lines and shaded areas represent predicted interest cost implied by mean and 95% confidence interval of historical firm-cycle-level passthrough estimates, respectively. While over the first two quarters of tightening, monetary policy passthrough in the U.S. visually appeared slightly slower than that of previous cycles, passthrough in AEs through 2023:Q1 generally is comparable to, and even somewhat faster than, that over historical experience since 2003.

Line chart shows cumulative increases in quarterly median NFC interest costs (red dashed lines) in the United States, United Kingdom, Canada and the Euro area since the beginning of monetary tightening compared to predicted NFC Interest Costs (blue solid lines and shaded areas) are obtained by multiplying the quarterly cumulative increase in policy rates during the current tightening cycle by the quarterly mean and 95% confidence interval of historical firm-level passthrough estimates. We use historical tightening cycles that began in 2004:Q2 and 2015:Q4 for the U.S., 2003:Q3 and 2006:Q3 for the U.K., 2005:Q3 and 2017:Q3 for Canada, and 2005:Q4 for the Euro area. The vertical axes range from a cumulative interest rate increase of -1 to 6 percentage points. The horizontal axes range from 2021:Q3 through 2023:Q1. What is evident from this figure is that monetary policy passthrough to NFC debt servicing costs is comparable to, if not slightly faster than, that over recent historical experience.

Note: Predicted NFC Interest Costs are obtained by multiplying the quarterly cumulative increase in policy rates during the current tightening cycle by the quarterly mean and 95% confidence interval of historical firm-level passthrough estimates through each quarter of tightening. We use historical tightening cycles that began in 2004:Q2 and 2015:Q4 for the U.S., 2003:Q3 and 2006:Q3 for the U.K., 2005:Q3 and 2016:Q3 for Canada, and 2005:Q4 for the Euro area. Median NFC Interest Cost is annualized quarterly interest expense to total debt. Shaded areas represent NFC Interest Cost implied by 95% confidence interval of historical firm-level passthrough.

Source: Bloomberg; S&P Capital IQ; Board Staff Caclulations.

“Firms with more cash, less bank debt experienced slower passthrough”

For the same dependent variable, the regression now includes country fixed effects and several explanatory variables that are measured as of the quarter preceding each tightening cycle. The first explanatory variable is the ratio of cash and short-term investments to assets (Cash). Harford, Klasa, and Maxwell (2014) find that firms mitigate refinancing risk by increasing their cash holdings; firms with large cash holdings can delay obtaining new financing at prevailing market rates to finance new investment. Bank loans are predominately floating rate obligations whose debt servicing costs should reflect increases in policy rates in contrast to fixed rate obligations such as corporate bond issuances; we use the ratio of bank debt to total debt (Bank Debt) to capture this effect. Additional control variables include Net Leverage, the ratio of the difference between total debt and cash, and short-term investments to assets. While debt levels reached an all-time high during the COVID-19 pandemic, Benmelech (2021) argues that low interest rates led firms to hoard cash, resulting in less pronounced increases in net leverage. The controls also include an Investment Grade indicator variable equal to one for investment grade debt and zero otherwise and the book value of assets. Standard errors are clustered by industry. Table 2 presents the results.

We find that firms that entered the current tightening cycle with more cash holdings and less bank debt experienced significantly slower passthrough to their cost of servicing existing debt. When sorting firms into terciles based on their pre-tightening cash holdings and bank debt, we find that for a one percentage point increase in policy rates, firms in the top tercile of bank debt (bottom tercile of cash holdings) experienced an additional 32 (19) basis point increase in their interest cost relative to firms in the bottom tercile of bank debt (top tercile of cash holdings) during the current tightening cycle.

“Liquidity positions of firms with strong passthrough have degraded”

We next examine the relationship between firms’ liquidity positions and the strength of passthrough from higher policy rates to debt servicing costs. To assess liquidity positions, we examine firms’ interest coverage ratios (ICRs), which are defined as the ratio of earnings before interest, taxes, depreciation, and amortization (EBITDA) to interest expense, and measures the ability of firms to service debt payments with internal cash flows.10 The figure below groups firms into terciles by the strength of passthrough to their existing stock of debt in the current tightening cycle and reports the cumulative change in firm median ICRs since the start of each country’s tightening cycle.

Line chart shows the cumulative change in the median interest coverage ratio, the ratio of ebitda to interest expense, for terciles of firms broken up by passthrough across the United States, United Kingdom, Canada, and the Euro Area. The vertical axis ranges between negative 10 and positive 10 and the horizontal axis ranges from the first quarter of tightening by region to 2023:Q1. The path of the cumulative change lines clearly displays a decline in the interest coverage ratio for all terciles across all regions since the start of tightening. This tightening has been stronger for firms that have had higher passthrough (red solid lines), although this relationship does not hold for Canada who has all lines trending in unison.

Note: Interest coverage ratio is calculated as EBITDA/Interest Expense.

Source: S&P Capital IQ, Bloomberg, Board staff calculations.

While firms in the weakest passthrough tercile (blue dotted lines) did not experience a degradation in ICRs since on onset of tightening, the liquidity position of firms with relatively stronger passthrough (red solid lines) deteriorated significantly as evidenced by the cumulative decline in ICRs. While ICRs have declined for some firms, in unreported analysis we find that ICRs have largely not reached critical levels suggested by Beltran and Collins (2018) and Palomino et al. (2019) in aggregate through the end of 2023:Q1.

“Substantial cash buffers at the onset of tightening have declined”

Firms that are unable to service debt with earnings can still draw from existing cash buffers. To further assess liquidity positions of NFCs, we also examine the evolution of NFC cash and short-term investments scaled by total assets for firms in select percentiles through 2023:Q1, reported in the figure below.

Line chart shows the ratio of firm cash and short-term investments to total assets since 2002:Q1 to 2023:Q1 for the United States, United Kingdom, Canada, and the Euro Area by the median (black solid lines), bottom quartile (blue dotted lines), and top quartile (red dashed lines) firms. There are also shaded regions that indicate periods of tightening monetary policy by each regions central bank. The figure reveals the large increase in firm cash following the pandemic support as well as the declining levels thereafter. Cash levels have mostly returned to pre pandemic levels.

Note: Last quarter is Q1 2023. Cash holdings is defined as the ratio of cash and short term investments to assets. Shaded regions are periods of policy rate increases. United States: 2004:Q2-2006:Q2, 2015:Q4-2018:Q4, and 2022:Q1-2023:Q1. United Kingdom: 2003:Q3-2005:Q2, 2006:Q3-2008:Q1, and 2021:Q4-2023:Q1. Canada: 2005:Q3-2007:Q4, 2016:Q3-2018:Q3, and 2022:Q1-2023:Q1. Euro area: 2005:Q4-2007:Q3 and 2022:Q3-2023:Q1.

Source: S&P Capital IQ.

NFC cash holdings increased significantly during the COVID-19 pandemic amid reports of strong debt issuance activity. That said, the substantial cash buffers that firms had at the onset of tightening have declined significantly throughout the tightening cycle.

“Looking ahead, no spike in NFC maturity profile, gradual passthrough likely”

To get a partial view into how the passthrough to NFC debt servicing costs may evolve over coming quarters, we examine the NFC bond maturity profile by quarter as of the end of 2023:Q1. When NFC bonds mature, firms may have to refinance debt at prevailing market rates which will result in higher debt servicing costs. In aggregate, NFC bond maturities are dispersed smoothly, with about 16% (Canada) to 32% (Euro area) of total NFC bonds outstanding maturing by the end of 2025. To the extent that firms refinance their debt at maturity, these results suggest that, at least for firms with predominantly fixed-rate-bond liabilities, passthrough to debt servicing costs will continue to be gradual.11

We also present Bloomberg survey forecasts as of November 2023 for policy rates through the end of 2024 as debt servicing costs of bank-debt reliant firms are tightly linked to policy rates (Figure 5). Policy rates have increased further since the end of our sample, with survey forecasts predicting that policy rates will decline in 2024, even though they will remain higher than their pre-tightening levels.12 In absence of further policy rate increases, the passthrough to existing bond-interest servicing costs will probably continue to be gradual. That said, if rates remain higher for longer, the deterioration in NFC liquidity positions and cash buffers that we document may continue, worsening corporate financial vulnerabilities, especially if there is a concurrent decline in corporate earnings. Certain segments may prove to be particularly vulnerable, including smaller businesses (which tend to rely more heavily on bank loans), high-yield issuers (which may experience larger increases in their credit spreads and debt servicing costs), and firms with significant refinancing needs. In addition, our analysis does not consider the increasingly important private capital segment.

Bar/Line Combo Chart shows the percent of bonds maturing (blue bars) in each quarter to the realized (red solid lines) and Bloomberg forecasted (red dotted lines) monetary policy rates for the United States, United Kingdom, Canada, and the Euro Area. The horizontal axis is quarterly and reaches from 2023:Q2 to 2025:Q4. The percent of bonds maturing in each quarter are shown as blue bars scaled by the right axis that ranges between 0 and 6 percent. The actual central bank policy rate is given by a solid red line connected to a dotted red line that indicates the Bloomberg consensus forecast, the forecast continues to 2025 Q1 after which it stops. The bars of the bonds are relatively flat while the forecasted policy rates decline through 2024 but will remain higher than their pre-tightening levels.

Source: Bloomberg, Board staff calculations

撰稿人｜丘天

编辑｜谢霄曈

审核｜智库编审委员会

点击阅读原文：https://mp.weixin.qq.com/s/YWAyQ8lqB4rIktwGBtJ_NQ