货币政策的公司债券信用价差影响分析

发布时间：2018-04-09 19:09

本文选题：货币政策　切入点：公司债券　出处：《当代经济科学》2017年05期

【摘要】：本文通过2008—2015年公司债券非平衡面板数据探究货币政策如何影响公司债券信用价差。通过理论与实证分析得出:(1)货币政策对公司债券信用价差存在正反两个方向的影响。(2)发债公司风险承担在货币政策与公司债券信用价差的关系中起重要作用。风险承担较低时,货币政策对公司债券信用价差为正向影响,而风险承担较高时,货币政策对公司债券信用价差的负向影响会更严重,甚至会超过正向影响。公司风险承担主要影响货币政策对公司债券信用价差的负向作用。(3)风险承担对货币政策的公司债券信用价差传导机制的影响具有异质性:公司债券信用评级越高,不具有特殊条款的公司债券影响越明显,而发债公司的产权性质对此不造成影响。
[Abstract]:Based on the non-equilibrium panel data of corporate bonds from 2008 to 2015, this paper explores how monetary policy affects corporate bond credit spreads.Through theoretical and empirical analysis, it is concluded that monetary policy has a positive and negative impact on corporate bond credit spreads. 2) the risk assumption of bond issuing companies plays an important role in the relationship between monetary policy and corporate bond credit spreads.When the risk assumption is low, the monetary policy has a positive effect on the corporate bond credit spread, and when the risk assumption is high, the negative impact of monetary policy on the corporate bond credit spread will be more serious, even more than the positive impact.Corporate risk-taking mainly affects the negative effect of monetary policy on corporate bond credit spread. (3) the influence of risk-taking on the transmission mechanism of corporate bond credit spread is heterogeneity: the higher the corporate bond credit rating, the higher the corporate bond credit rating.The more significant the impact of corporate bonds without special terms, the property rights of bond issuing companies do not affect this.
【作者单位】：南开大学金融学院;
【基金】：教育部社科项目“我国宏观审慎政策协调问题研究”(15YJA790090)
【分类号】：F822.0;F832.51

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