信用风险溢价还是市场流动性溢价:基于中国信用债定价的实证研究  

Credit Risk Premium or Market Liquidity Premium?:An Empirical Study on the Pricing of Credit Bonds in China

作　　者：纪志宏[1] 曹媛媛[1] 

机构地区：[1]中国人民银行,北京100800

出　　处：《金融研究》2017年第2期1-10,共10页Journal of Financial Research

基　　金：2016年度中国人民银行重点研究课题一等奖课题<中国公司信用类债券定价问题研究>的部分成果。

摘　　要：我国信用债定价与成熟市场国家信用债定价存在显著差异,并未随着经济周期运行中违约风险的变化而产生明显调整。研究发现,我国市场主体普遍存在对信用债刚性兑付的预期,且倾向于采用信用债进行套利交易,这种行为导致信用债信用利差更多体现的是市场流动性溢价,而非信用风险溢价,因而反映市场流动性状况的货币市场利率水平、波动性对信用债定价具有较为重要的影响,而模糊了对手方信用的中央对手方的质押回购制度安排进一步强化了这种影响。There is a significant difference in the pricing ofcredit bondsbetween our domestic bond market and theforeignmature bond market. In domesticbond market, credit spread does not change along with the change of the default risk in the economic cycle. The study finds thatin credit bond marketthere is strong expectation for rigid paymentand participants are inclined to use arbitrage strategiesto do ＂ carry trade＂. Because of thisexpectation andbehavior, the credit spreads of bonds are more reflected in market liquidity premium~ rather than the credit risk premium. Therefore, the interest rateand volatilityin money market whichreflect the status of market liquidity havefundamental influence on the pricing of credit bonds. Furthermore, the central counterparty repo arrangement in stock exchange bond marketsblurs the credit qualification of different enterprises andfurther magnifies this effect.

关 键 词：公司信用类债券 信用利差 市场流动性溢价 

分 类 号：F832.51[经济管理—金融学]