摘要
本文使用2012年9月1日至2013年12月18日发行的139只证券公司短期融资券,考察信用评级和货币市场波动对短期融资券信用利差的影响。实证研究发现,证券公司短期融资券的发行利率在2013年6月之前和之后的区间段内显著不同;在没有控制其他变量的情况下,主体评级为AAA级的短期融资券可以在市场上获得较低的信用利差,而主体评级为AA+和AA级的短期融资券的信用利差没有显著的差别;在控制其他变量的情况下,债项的主体评级不能显著地影响信用利差;与经典金融学理论预期相反的是,货币市场波动显著地负向影响信用利差。
Based on the 139 commercial papers issued by security companies during September 1, 2012-December 18, 2013,this article investigates the impacts of credit rating and volatility in money market on the credit spread of commercial paper. The empirical research shows that the interest rates of commercial papers issued by security companies before June, 2013 are obviously different from those after June, 2013; if other variables are not controlled, the main-rating AAA commercial papers will gain low credit spreads in market, and there is not significant difference between main-rating AA+ commercial papers and AA commercial papers; if other variables are controlled, the main-rating of debts can not influence the credit spreads; contrary to the classical finance expectation theory, volatility in money market influences credit spreads obviously and negatively.
出处
《金融论坛》
CSSCI
北大核心
2015年第1期53-59,共7页
Finance Forum
基金
中国博士后科学基金项目"信用评级
流动性与债券信用利差"(2014M550444)
关键词
证券公司
信用评级
短期融资券
信用利差
货币市场波动
security company
credit rating
commercial paper
credit spread
volatility in money market
