短期融资券市场效率研究——基于价差分解的视角

在完全有效市场条件下,信用风险是反映信用类债券特征的最基本信息,也是决定价差的关键因素。本文通过对中国信用类债券中短期融资券的价差分解发现,虽然信用风险显著影响短期融资券定价,但市场风险才是影响其价差的最主要因素。此外,市场流动性不足降低了市场运行效率,导致流动性溢价总体为负。上述研究结果表明我国短期融资券市场化的定价机制虽已初步形成,但市场效率总体仍然偏低。

An Analysis of the Short-term Note Market Efficiency:From the Yield Spreads Decomposition Perspective

In a completely efficient market,credit risk is the key factor of reflecting the fundamental information and yield spread of credit bond.Through the yield spread decomposition of credit bonds in China,our results indicate that,although credit risk have a significant influence on the pricing of commercial paper,market risk plays a more important role.In addition,the lack of liquidity hinders the market operation efficiency,leading to a generally negative liquidity premium.These imply that the commercial pape...