影响商业银行次级债券风险溢价因素的回归分析

Regression Analysis of Influence Factors on Risk Premiums of Subordinated Bond of Commercial Banks

通过对我国银行间债券市场中银行次级债券风险溢价因素的实证,结果显示,评级机构给予的级别与商业银行次级债券的风险溢价显著相关,债券级别越高,风险溢价越低。另一方面,市场似乎认为评级机构并未充分考虑不同债权优先级别的债券在违约情况下的损失程度的不同,混合资本债的级别并未与次级债和金融债的级别合理拉开。实证还发现当债券以浮动利率发行时,债券的风险溢价能显著降低;当银行存款准备金率上升时,债券需要向投资者支付更高的风险溢价。

This paper analyse the factors of the risk premiums in the subordinate debt returns. Through a series analysis,the empirical result display that the risk premiums in the subordinate debt returns are relation with the credit level, interest rate, the bank deposit reserve rate. that is to say,the hlghter of the credit level,the lower of the risk premium,the highter of the bank deposit reserve rate,the highter of the risk premium,and the risk premium going down with fluctuating interst rate.