中国债券市场信用利差的实证研究——基于含跳跃过程的单因子信用利差模型的估计

An Empirical Study on the Credit Spread of China's Bond Market ——Estimation based on Poisson-CKLS Single-factor Model

本文在CKLS单因子利率模型中加入跳跃过程,并对银行间固定利率AA级3年期企业债信用利差通过极大似然估计法进行了实证分析。结果表明,跳跃模型可以较好地拟合AA3品种企业债信用利差的运行过程,且该品种企业债信用利差存在均值回复特征,但不存在水平效应与波动聚类特征,信用利差过程的跳跃性不明显。

The article adds jump process in the CKLS single-factor model,and conducts an empirical analysis of the credit spread of three-year AA level corporate bond with maximum likelihood estimation method.The result shows that the jump-diffusion model performs well in the fitness of the credit spread process.Also,the estimated parameters reflect that there exists characteristics of mean-reversion process and do not exist the effect of horizontal levels and volatility clustering features in the credit spread process,showing that the jump process is insignificant.