中国公司债券的信用利差与流动性风险  

Credit Spread and Liquidity Risk of China's Corporate Bond

作　　者：杨宝臣[1] 马志茹[1] 苏云鹏[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《技术经济》2016年第11期105-112,共8页Journal of Technology Economics

基　　金：国家自然科学基金项目"基于随机波动Heath-Jarrow-Morton模型的可违约债券定价及风险管理策略研究"(71171144);国家自然科学基金项目"非完美市场条件下信用债券定价及其资产组合优化研究"(71471129);教育部博士点基金项目"基于流动性调整的可违约债券定价与信用组合资产管理研究"(20130032110016)

摘　　要：利用主成分分析法构造公司债券流动性风险测度指标,引入M-Copula函数和Markov机制转换模型实证分析中国公司债券的流动性风险与信用利差的关系。结果表明,M-Copula函数与Markov机制转换模型的实证结果一致。具体如下:公司债券的流动性风险对信用利差的影响是一个动态的非线性过程;两者之间存在显著的非对称尾部相关性,其中上尾相关性较高,即熊市时期流动性风险和信用利差同时增大的概率高于牛市时期,且熊市时期流动性风险对信用利差的影响程度显著高于其他时期。This paper constructs a new index to measure the liquidity risk of corporate bond by using the method of principal component analysis.Then it empirically studies the correlation between liquidity risk and credit spread of corporate bond through introducing M-Copula function and MS-model.The empirical result based on M-Copula function is consistent with that based on MS-model.Concretely speaking,the impact of liquidity risk of corporate bond on credit spread exhibits the pattern of a dynamic nonlinear process;there exists significant asymmetric tail correlation between liquidity risk and credit spread,and the upper tail correlation is higher in particular,that is to say,the probability that credit spread and liquidity risk increase simultaneously during the period of bear market is higher than that during the period of bull market,the impact of liquidity risk on credit spread during the period of bear market is higher than that in any other periods.

关 键 词：公司债券 信用利差 流动性风险 

分 类 号：F832.51[经济管理—金融学]