企业债的信用价差及其动态过程研究  

The Study of Credit Spread and Dynamic Process of Corporate Bond

作　　者：冯宗宪[1,2] 郭建伟[1,2] 孙克[1,2] 

机构地区：[1]西安交通大学经济金融学院管理学院 [2]浙江嘉兴学院

出　　处：《金融研究》2009年第3期54-71,共18页Journal of Financial Research

基　　金：国家社会科学基金项目(项目编号08BJY156);西安交通大学“985工程”二期项目(07200701)资助;

摘　　要：本文为企业债信用价差序列建立了动态时间序列模型,发现各个期限的企业债信用价差序列表现出不同的时间序列特征和不同的异方差结构。其中短期企业债信用价差序列表现出了自回归和移动平均特征,中期和长期企业债信用价差序列则仅表现出自回归特征。在方差结构方面,短期和中期企业债信用价差序列的残差方差结构是对称的ARCH或者GARCH结构;而长期企业债信用价差序列的残差方差结构是不对称的TARCH结构;表明长期企业债信用价差的下跌过程会伴随着更为剧烈的波动性。This paper set up a dynamic model of time-series of corporate bond credit spreads and finds the different characters of time-series and different structure of heteroseedasticity of each term of corporate bond credit spread series. Among them the short-term corporate bond credit spread series have characters of auto-regression and moving-average. The medium-and-long term of corporate bond credit spread series has only auto-regress character. In the structure of variance, the structure of residuals and variance of short-and-medium term of corporate bond credit spread series are symmetry, of ARCH or GARCH structure, but the long-term is dissymmetry of TARCH structure. It is show that during the course of fall of long-term corporate bond credit spread has more exquisite fluctuation. The model of this paper can express the real situation of data of it with high forecast preci- sion for forecast future credit risk.

关 键 词：企业债 信用风险 信用价差 ARCH GARCH 

分 类 号：F830.91[经济管理—金融学] F224