摘要
近年来,中国信用债券市场违约事件频发,出现违约集聚现象,本文在此背景下对信用利差影响因素进行理论与实证分析。实证结果表明,宏观经济景气水平、通货膨胀率、利率水平与期限结构、货币政策、股票市场行情等宏观经济与金融市场因素均会影响中国信用利差水平;债券违约传染风险对信用利差影响有限,但应加强多方协作,守住不发生系统性金融风险的底线。
In recent years,frequent default events have occurred in China’s credit bond market,reflecting the phenomenon of default aggregation.This paper conducts theoretical and empirical analyses of the factors that affect credit spreads.Empirical results indicate that factors that affect the extent of credit spreads include macroeconomic prosperity levels,inflation rates,interest rates and their term structure,as well as monetary policy and stock market conditions.So far,the risk of bond default transmission has had a limited impact on credit spreads.However,multi-party cooperation should be strengthened to ensure that systemic financial risks do not arise.
出处
《金融市场研究》
2020年第5期31-42,共12页
Financial Market Research
关键词
信用利差
债券违约
风险传染
风险防控
Credit Spread
Bond Default
Risk Transmission
Risk Prevention and Control
