中国短期融资券信用利差的实证研究

本文基于2007年4月至2009年8月的日数据,对中国五个主体信用级别短期融资券信用利差的决定因素进行了实证研究。实证结果表明各级别短期融资券信用利差与无风险利率指标负相关,与波动率指标正相关,从而验证了结构化模型在中国短期融资券市场的有效性。我们还发现国内短期融资券的信用利差与基于交易量的流动性指标总体上是正相关的。另外,实证模型解释力随信用级别的降低而单调上升,与欧美市场的实证结果是一致的。

An Empirical Study of Credit Spreads in Chinese Commercial Paper Market

Based on the daily datas from April 2007 to August 2009,this paper investigates the determinants of credit spreads of five rating categories in China's Commercial Paper(CP) market.Our empirical results indicate that credit spreads in China's CP market are negatively correlated with proxies of the risk-free interest rate and positively corelated with proxies of votality of firm value,which supports the validity of so-called structural models in China's CP market.Further,We surprisingly find that credit sprea...