流动性风险对我国公司债券信用利差的影响——基于次贷危机背景的研究

Influence of Liquidity Risk on Chinese Corporate Bonds Yield Spreads:A Study Based on the Background of the Subprime Crisis

基于2007年4月至2009年9月的周数据,就次贷危机时期流动性风险对我国公司债券信用利差的变化进行了实证研究。结果表明,公司债券信用利差的变化与非流动性指标之间存在稳定的正相关关系,且在控制其他变量之后该结果依然是稳健的,说明流动性风险已融入我国公司债券信用利差中。尤其是在次贷危机背景下,流动性风险对信用利差的影响显著增强了。

This study examines the effect of liquidity risk on Chinese corporate bond yield spreads using weekly data from April 2007 to September 2009 during the subprime crisis. Empirical results show that a stable positive correlation exists between illiquidity and corporate bond yield spreads. The results are robust even when other variables are controlled, which indicates the liquidity risk has merged into corporate bond yield spreads in China. Especially in the context of subprime crisis, the influence of liquidity on the yield spreads is significantly enhanced.