摘要
文章使用向量自回归模型将单个债券的信用利差方差动态分解成两部分:信用损失预期的变动和期望收益的变动。利用2014Q1至2019Q1上市公司发行的信用债交易数据,分析了这两部分对信用利差波动的贡献率及它们与不同评级债券之间的动态非线性关系。实证结果表明:横截面信用利差波动主要是由债券期望收益因素推动而非信用损失预期;信用风险预期对信用利差的边际贡献随债券评级恶化不断上升,而超额收益呈预期边际贡献递减趋势。
I use a vector autoregressive model to decompose an individual firm’s bond return into two components:changing expected returns and changing expectation of credit losses.Based on panel bond transaction data from 2014Q1 to 2019Q1,this paper examines the contribution of the two components to credit spreads and the nonlinear relationship bewteen them and various credit ratings of bonds.The empirical results show that fluctuation of cross-sectional credit spreads is mainly driven by expected returns rather than expected credit loss,and the marginal contribution of expected credit risk to credit spreads gets larger when bonds’rating deteriorates,but expected returns show a diminishing marginal contribution.
作者
陶雄华
郑肇晨
曹松威
TAO Qionghua;ZHENG Zhaochen;CAO Songwei(School of Finance, Zhongnan University of Economics and Law, Wuhan 430073, China;Mobile post-doctoral stations, Guosen Securities, Shenzhen 518001, China)
出处
《大连理工大学学报（社会科学版）》
CSSCI
北大核心
2020年第5期21-28,共8页
Journal of Dalian University of Technology(Social Sciences)
基金
教育部哲学社会科学研究重大课题攻关项目:“供给侧结构性改革过程中的货币政策调控研究”(16JZD017)。
关键词
信用利差
信用损失
债券超额收益
方差分解
credit spreads
credit loss
excessive bond returns
variance decomposition
