短期融资券发行利差风险结构探析——基于Z值模型的计量  

The Risk Structure of Yield Spreads in Issuing Short-Term Financing Bonds——An Analysis Based on Z-Value Model

作　　者：马改云[1] 孙仕明[2] 

机构地区：[1]暨南大学经济学院,广东广州510632 [2]郑州铁路职业技术学院管理工程系,河南郑州450052

出　　处：《审计与经济研究》2009年第2期102-106,共5页Journal of Audit & Economics

摘　　要：从违约风险和流动性风险的角度,实证分析我国短期融资券发行利差的风险结构。计量结果显示,违约风险是我国短期融资券发行利差的决定性因素,流动性风险虽然是一个重要因素,然而并非决定性的。如果把实际的发行利差与通过Merton模型估计出的发行利差进行相比,就可发现Merton模型存在低估利差的问题。这说明Merton模型不仅没有考虑流动性风险,而且可能对违约风险也无法充分定价。From the perspective of default risks and liquidity risks, we make an empirical analysis of the risk structure of yield spreads in issuing the short-term financial bonds. The result indicates that the default risk is the decisive factor, and although the liquidity risk is an important factor, it is far form being a decisive one. If we make a comparison between the actual yield spreads and Merton＇s model, we will find the underestimate in Merton＇s model. This shows that the models neither takes the liquidity risks into consideration nor makes a due pricing on the default risks.

关 键 词：短期融资券 MERTON模型 Z值模型 违约风险 流动性风险 

分 类 号：F830[经济管理—金融学]