信用评级对债券利差的影响分析——基于企业债和公司债视角

Research on the effect of credit rating on bond yield spreads--Based on the perspective of corporate bonds and enterprise bonds

在刚性兑付、市场分割、信息不对称的中国债券市场,有效的信用评级可以提供必要的市场信息帮助投资者进行决策。本文使用2011—2014年的企业债和公司债数据,研究在中国债券市场信用评级对于利差的影响。研究发现,债券信用评级对利差有较高的解释力度,但流动性因素并未在利差中得到体现。为此,在方程中加入评级与流动性的交叉项,进一步研究发现流动性变量对利差的影响与公司债信用评级的级别相关,表明高信用级别的公司债可能更不易被操纵。总体看,中国的债券评级只在一定程度上起到提供市场信息的作用。

In a bond market of rigid cashing, market segmentation, information asymmetry, an effective credit rating can provide the necessary market information to help investors make decisions. Using the data of corporate bonds and enterprise bonds between 2011 and 2014, we studied how credit ratings affect bond yield spreads. The study found credit ratings have high explanatory power on bond yield spreads,but liquidity variable has not been reflected in the yield spread. Further studies showed that the affection of liquidity variables has relevance with credit rating, indicating that high credit rating of bonds may be more difficult to be manipulated. Overall, China＇s bond rating to a certain extent, played a role in only the provision of market information.