企业债信用价差曲线形态验证与政策启示

Credit Spread Curve of Corporate Bond:Shape and Policy Implication

信用风险可以用信用价差来衡量,理论上在债券期限和信用价差之间存在一定的关系,称为信用价差曲线。信用价差曲线可能是上坡型、下坡型或者驼峰型的。我国上市企业债的信用级别都为AAA级,信用价差曲线应该是上坡型的,但本文对固定利率上证企业债信用价差进行基本统计分析并采用虚拟变量回归方法检验后,却发现其信用价差曲线是驼峰型的。其原因可能在于:其一,评级机构对上市企业债信用级别的评估过高。其二,担保机制造成信用价差曲线表现异常。对此,本文提出了相应的政策建议。

Credit risk may be measured by credit spread. Theoretically, there＇ s some relationship between credit spread and maturity, called credit spread curve. The credit spread curve may be upward, downward or hump-shaped. The credit ratings of corporate bonds in China are all AAA. According to the literature, the credit spread curve should be upward. But the empirical results show that the term structure of credit spread is hump-shaped, meaning the current credit rating of Chinese corporate bonds is over valued or the credit spread curve is abnormal because of the guarantee mechanism. In conclusion, this paper improves some suggestions for the sustainable development of Chinese corporate bond market.