我国公司债券信用溢价的实证研究

本文基于Duffle和Singleton分析技术，对5只国债和5只公司债券（2008—2009年）在扩展卡尔曼滤波拟极大似然估计法下实证研究的结论是：中国公司债券信用溢价近期斜率为负，国债与公司债券利率期限结构的斜率都偏小，中国债券收益率曲线过于平滑，长期债券收益率与短期债券收益率相差微小；债券信用溢价与股市大盘指数收益率、居民消费物价指数增长率以及债券指数收益率之间的关系并不显著；公司债券信用溢价与无风险利率溢价利率期限结构有着显著的负相关关系；公司债券信用溢价与层次的货币供应增长率之间存在显著的正相关关系，我国货币政策对债券市场有较强的影响。

Research on Credit Spreads of Corporate Bonds in China

Based on the term structure model of defaultable bond raised by Duffie ＆ Singleton in 1999, the paper analyzes the credit spreads of government and corporate bonds by using the extended Kalman filter approach. The results show that, the recent slope of credit spreads of corporate bonds is negative and the slopes of term structures of government and corporate bonds rates are lower. The curve of the rate of returns on bonds is too smooth and the difference between the rates of returns on long-term and short-term bonds is small. Credit spreads of bonds have no siginifcant ralationship between stock market index returns, the growth rate of CPI and the index rate of returns on bonds. And there are a significantly neg ative correlation between credit risk premium of corporate bonds and rate term structure of non-risk interest rate premium. Credit spreads of corporate bonds are positively related to the growth rate of money supply from the angle of M2 and money policies in China have strong effects on bonds market.