我国公司债券信用溢价的实证研究
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上海财经大学学报 2010 年 第 12 卷第 05 期, 页码：59 - 66
摘要
参考文献
摘要
本文基于Duffie和Singleton分析技术,对5只国债和5只公司债券(2008-2009年)在扩展卡尔曼滤波拟极大似然估计法下实证研究的结论是:中国公司债券信用溢价近期斜率为负,国债与公司债券利率期限结构的斜率都偏小,中国债券收益率曲线过于平滑,长期债券收益率与短期债券收益率相差微小;债券信用溢价与股市大盘指数收益率、居民消费物价指数增长率以及债券指数收益率之间的关系并不显著;公司债券信用溢价与无风险利率溢价利率期限结构有着显著的负相关关系;公司债券信用溢价与层次的货币供应增长率之间存在显著的正相关关系,我国货币政策对债券市场有较强的影响。
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[3]Chen,R.R.,L.Scott.Maxi mum Likelihood Esti mation for a Multifactor Equilibrium Model of the TermStructure of Interest Rates[J].The Journal of Fixed Income,1993(3):14-31.
[4]Cox,J.,J.Ingersoll,S.Ross.Atheory of the termstructure of interest rates[J].Econometrica,1985(53):385-407
[5]Duffie,D.,D.Lando.Term Structure of Credit Spreads with Incomplete Accounting Information[J].Econometrica,2001(69):633-664.
[6]Duffie,D.,K.Singleton.Modeling termstructures of defaultable bonds[J].The Reviewof financial stud-ies,1999(12):687-720.
[7]Duffie,D.,K.Singleton.An Econometric Model of the TermStructure of Interest Rrate Swap Yields[J].Journal of Finance,1997(52):1287-1321.
[8]D.Lando.On Cox Processes and Credit Risk Securities[J].Reviewof Derivatives Research,1998(2):99-120.
[9]Francis A.Longstaff,Eduardo S.Schwartz.ASi mple Approachto Valuing Risky Fixed and Floating RateDebt[J].The Journal of Finance,1995(l):789-819.
[10]Gregory R.Duffee.The Ralationship Between Treasury Yields and Corporate Bond Yield Spreads[J].Journal of Finance,1998(53):2225-2241.
[11]Gregory R.Duffee.Esti mating the Price of Default Risk[J].The Reviewof financial studies,1999(12):15-25.
[12]Jarrow R.A.,S.M.Turnbull.Pricing Derivatives on Financial Securities Subject to Credit Risk[J].Journal of Finance,1995(50):53-86.
引用本文
李杰群, 齐新宇, 赵庆, 等. 我国公司债券信用溢价的实证研究[J]. 上海财经大学学报, 2010, 12(5): 59–66.
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