融资流动性、融资流动性风险与公司债信用价差

发布时间：2018-04-17 04:26

  本文选题：融资流动性 + 流动性风险　； 参考：《证券市场导报》2017年06期

【摘要】：利用2011~2015年我国公司债券市场数据和金融市场数据,分析融资流动性和融资流动性风险对公司债信用价差的影响。实证结果显示:第一,融资流动性与公司债的信用价差显著负相关;第二,融资流动性风险对公司债信用价差的影响存在异质性。当融资流动性增加时,融资流动性风险的提升会降低公司债的信用价差;但当融资流动性降低时,融资流动性风险的提升会增加公司债的信用价差。基于此,提出完善我国债券市场系统性风险管理提出的政策建议。
[Abstract]:Based on the corporate bond market data and financial market data from 2011 to 2015, this paper analyzes the influence of financing liquidity and financing liquidity risk on corporate bond credit spreads.The empirical results show that: first, there is a significant negative correlation between financing liquidity and corporate debt credit spreads; second, the impact of financing liquidity risk on corporate debt credit spreads is heterogeneity.When the financing liquidity increases, the increase of the financing liquidity risk will reduce the credit spread of corporate bonds, but when the financing liquidity decreases, the increase of the financing liquidity risk will increase the credit spreads of corporate bonds.Based on this, the paper puts forward some policy suggestions to perfect the systematic risk management of our bond market.
【作者单位】： 对外经济贸易大学金融学院;
【分类号】：F832.51
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本文编号：1762072