毓秀讲堂 |【Seminar 预告】 No.651--黄棣芳（中国科学院数学与系统科学研究院）

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.