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We study the heterogeneous impact of jointly identified monetary policy and global risk shocks on corporate funding costs. We disentangle these two shocks in a structural Bayesian Vector Autoregression framework and investigate their respective effects on funding costs of heterogeneous firms using micro-data for the US. We tease out mechanisms underlying the effects by contrasting traditional financial frictions arising from asset-based collateral constraints with the recent earnings-based borrowing constraint hypothesis, differentiating firms across leverage and earnings. Our empirical evidence strongly supports the earnings-based borrowing constraint hypothesis. We find that global risk shocks have stronger and more heterogeneous effects on corporate funding costs which depend on firms' position within the earnings distribution.

Asset prices --- Bonds --- Contingent Pricing --- Corporate bonds --- Currency crises --- Deflation --- Diffusion Processes --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Econometrics & economic statistics --- Econometrics --- Economic & financial crises & disasters --- Economics of specific sectors --- Economics --- Economics: General --- Financial institutions --- Futures Pricing --- General Financial Markets: General (includes Measurement and Data) --- Income economics --- Inflation --- Informal sector --- Interest Rates: Determination, Term Structure, and Effects --- Investment & securities --- Investments: Bonds --- Labor --- Labour --- Macroeconomics --- Monetary economics --- Monetary Policy --- Monetary policy --- Monetary tightening --- Money and Monetary Policy --- Option pricing --- Price Level --- Prices --- State Space Models --- Time-Series Models --- Wages --- Wages, Compensation, and Labor Costs: General