中国公司债券利差影响因素研究--基于评级信息的分析

摘要

This paper investigates the determinants of credit spread in Chinese corporate bond market based on the theory of credit spread decomposition. The findings reveal that the expected default accounts for a really small fraction of the after-tax spread in corporate rates over treasuries, and that the term structure of the risk-free rate, the liquidity risk premium and the PMI index all have strong explanatory powers for credit spread.%本文以信用利差分解理论为基础，结合债券评级信息，基于市场实际数据实证研究了中国公司债券市场信用利差的决定因素。结果表明，预期违约损失在税后信用利差中只占很小的比例，无风险利率的期限结构、流动性风险因子、宏观经济指标等因子都对信用利差有较显著的解释力。