摘要
从资产配置的角度,本文考察了经济增长、通货膨胀、资金流动性、股市行情、利率债利率、产业债信用利差对城投债整体信用利差的影响情况。结果表明:(1)经济增长速度、通货膨胀率、货币市场利率不会影响城投债整体的信用利差;(2)城投债整体信用利差与股票市场指数负相关,且城投债信用等级越低,负相关性越强;(3)城投债整体信用利差与利率债利率正相关,利率债与城投债之间存在替代效应,且城投债信用等级越高,这种替代效应越强;(4)城投债整体信用利差与产业债信用利差正相关,产业债与城投债之间存在很强的替代效应,且城投债信用等级越低,这种替代效应越强。
From the perspective of asset allocation, this paper examines the effects of economic growth, inflation, money liquidity, stock market quotes, interest rate bond rates, and industrial bond credit spreads on the overall credit spreads of city investment bonds. The results show that:(1)Economic growth rate, inflation rate, and money market interest rate do not affect the overall credit spread of city investment bonds;(2)The overall credit spread of city investment bonds is negatively correlated with stock market index, and the lower the credit rating of city bonds, the stronger the negative correlation;(3)The overall credit spread of city bonds is positively correlated with interest rate bond rates, and there is a substitution effect between interest rate bonds and city bonds, and the higher the credit rating of city bonds, the stronger this substitution effect is;(4)The overall credit spread of city investment bonds is positively correlated with the credit spread of industrial bonds, and there is a strong substitution effect between industrial bonds and city investment bonds, and the lower the credit rating of city investment bonds, the stronger the substitution effect.
作者
谢世清
张梦鸽
Xie Shiqing;Zhang Mengge
出处
《宏观经济研究》
CSSCI
北大核心
2023年第2期51-59,101,共10页
Macroeconomics
关键词
城投债
信用利差
资产配置
利率债
产业债
City investment bond
Credit spread
Asset allocation
Interest rate bond
Industrial bonds
