利率角度来看我国国债发行的挤出效应

A Study on Chinese Treasury's Crowding-out Effect from the Perspective of Interest Rate

本文通过事件研究法,研究国债发行对企业债市场和国债市场利差的影响。发现国债发行存在着挤出效应,这个效应显著地体现在国债发行招标起始日的附近,国债发行主要对以AAA级企业债为代表的风险偏好相类似资金挤出效应最强。同时,在经济波动较大的时期,发行国债可以起到稳定经济的作用。

This paper uses the event study method to study the impact of issuance of treasury bonds on spreads between the treasury bond and corporate bond. We find there is the crowding-out effect of treasury issuances. Near the starting date of the tender, there is a significant impact of the issuance of treasury bonds, and the AAA grade corporate bonds most affected. Meanwhile, issuing treasury bonds when the economy is volatile, can play an important role in stabilizing the economy.