公司债券信用价差和国债收益率动态关系研究  

A Dynamic Study of Corporate Bond Credit Differential and Government Bond Yield

作　　者：刘国光[1] 王慧敏[1] 

机构地区：[1]河海大学商学院,江苏南京210098

出　　处：《山西财经大学学报》2005年第5期117-122,共6页Journal of Shanxi University of Finance and Economics

摘　　要：信用价差和国债收益率序列的平稳性、相互之间的因果关系以及长期和短期的均衡关系是债券市场上的基础研究。文章通过对我国沪深交易所上市公司的债券信用价差和相应的国债收益率序列进行研究,发现所有研究的债券收益率序列均为I(1)序列,国债收益率序列为公司债券信用价差序列的格兰杰原因,两者之间存在显著的协整关系。The stability, causality and long- and medium- term equilibrium of credit differential and government bond yield spectrum are a fundamental concern of any bond market. Through study of such spectrum in China＇ s Shenzhen and Shanghai stock exchanges, the authors argue in this article that the yield of all bonds under study are of I（ 1 ） sequence, while government bond yield exhibits Granger causality, and the two expose marked cointegration.

关 键 词：债券到期收益率 单位根检验 格兰杰因果关系检验 协整检验 ECM 

分 类 号：F830.91[经济管理—金融学]