未预期货币政策与企业债券信用利差——基于固浮利差分解的研究

Unexpected Monetary Policy and Credit Spreads of Corporate Bonds in China:An Empirical Analysis Using Spreads of Fixed and Floating Rate Bonds

本文利用固息债与浮息债利差将货币政策分解成预期和未预期部分,进而探讨未预期货币政策对企业债券市场信用利差所产生的动态影响与非对称效应。实证结果表明:第一,未预期货币政策对企业债券信用利差的影响更为显著;第二,在经济周期的繁荣时期,未预期货币政策对企业债券信用利差的作用更大;第三,对比不同期限的企业债,货币政策对中长期企业债信用利差的作用更为显著,而对短期的影响较小。

This paper proposes to decompose the monetary policy into expected and unexpected components using the spreads of fixed and floating rate bonds, and furthermore, we analyze the dynamic and asymmetric effects of unexpected monetary policies on the credit spreads of corporate bonds. Our empirical results show that： firstly, the effect of unexpected monetary policy on the credit spreads is more significant than that of expected components; secondly, the effect of monetary policy on the credit spreads of corporate bonds is stronger in economic booms than that in economic recessions; last, the effect of monetary policy on the mid - term and long term corporate bonds is more significant, whereas the short term effect is not significant.