摘要
本文考察了上海证券交易所国债期限风险溢价的时间变化特征及决定因素。实证结果显示,债券剩余期限越长,平均风险溢价越高；通过对不同期限债券组合的风险溢价序列建立回归模型,发现长短期利差及风险溢价的前期值对中长期债券期限风险溢价的时变性具有明显的解释能力。
This paper examines time variation and determining factors of term risk premium in treasuries listed on Shanghai Stock Exchange. The lerm risk premiums in bond returns are found to be monotonically increasing with term to maturity. By buiiding regession models on the term risk premium of bonds porlfolio with different terms, we find that the yield spread and the lagged variable of itself have significant explanatory power to the variation of term risk premium, especially for medium and long term bonds.
出处
《证券市场导报》
CSSCI
北大核心
2006年第8期69-73,共5页
Securities Market Herald
