经济政策不确定性对债券信用利差的非线性影响——基于中国债券市场数据的研究  

Nonlinear Effects of the Economic Policy Uncertainty on Bond Credit Spreads:A Study Based on Chinese Bond Market Data

作　　者：刘茵伟 张群姿 Liu Yinwei;Zhang Qunzi(School of Economics,Shandong University,Jinan 250100,China)

机构地区：[1]山东大学经济学院,山东济南250100

出　　处：《东方论坛（青岛大学学报）》2023年第1期123-134,共12页Eastern Forum（JOURNAL OF QINGDAO UNIVERSITY）

基　　金：国家自然科学优秀青年基金项目“金融风险测度与预警”(72222013);国家自然科学基金项目“科技企业创新与尾部风险:微观机制与预警体系”(71903112);国家社会科学基金重大项目子课题“中国家庭经济风险测度、成因及外溢性研究”(21&ZD088)的阶段性成果。

摘　　要：基于2010年1月—2020年12月间在沪深交易所发生过交易的已到期和未到期的公司债和企业债,利用面板回归模型研究经济政策不确定性与债券信用利差之间的关系。研究发现,经济政策不确定性将带来两种不同的效应:一是通过提高市场流动性和增强市场套利动机,可降低债券信用利差;二是通过增大企业信用风险和资产抛售机制,可推升债券信用利差。二者的共同作用使得经济政策不确定性与债券信用利差之间呈现出一种正U型关系,但在国企债、高信用评级债券样本以及市场化程度较高地区中,这种正U型的关系会被显著削弱。This paper studies the relationship between economic policy uncertainty and bond credit spreads by using the panel regression model based on the mature and outstanding corporate bonds and enterprise bonds traded in Shanghai and Shenzhen stock exchanges from January 2010 to December 2020.It is found that economic policy uncertainty will bring two different effects:reducing bond spreads by improving market liquidity and enhancing market arbitrage motivation,and pushing bond credit spreads by increasing enterprise credit risk and using the asset selling mechanism.A combination of the two effects leads to a U-shaped relationship between economic policy uncertainty and bond credit spreads,but in the areas of state-owned enterprise debt,high credit rating bond samples and high marketization,this U-shaped relationship will be signifcantly weakened.

关 键 词：经济政策不确定性 债券信用利差 正U型 

分 类 号：F832[经济管理—金融学]