货币政策、投资者情绪与公司债券信用利差

Monetary Policy,Investor Sentiment and Corporate Bond Credit Spreads

2014年,我国的第一例债券违约事件打破了市场的“刚性兑付”,之后债券违约事件的频率逐渐增加,债券的信用利差也逐步扩大,代表债券信用风险的债券信用利差研究已经成为债券定价的重要内容。本文探究新的市场环境下货币政策、投资者情绪对公司债券信用利差的影响,并利用面板门槛模型考察不同投资者情绪下货币政策对公司债券信用利差的差异性影响。研究结果表明,货币政策越宽松,公司债券信用利差越低;投资者情绪越高涨,公司债券信用利差越低;不同投资者情绪门槛区间内货币政策对公司债券信用利差的影响存在显著的差异,在投资者情绪高涨阶段,货币政策对公司债券信用利差的影响更明显。

Since China s bond market broke the“rigid redemption”in 2014,the frequency of bond defaults has gradually mounted,and the credit spreads of bonds also gradually widened.Research on bond credit spreads has become an important part of bond pricing.This article explores the impact of monetary policy and investor sentiment on corporate bond credit spreads under the new market environment.Afterwards,the panel threshold model was used to objectively classify investor sentiment,examines the differential impact of monetary policy on corporate bond credit spreads under different investor sentiment.The research results show that the looser monetary policy is,the lower the corporate bond credit spread,the higher the investor sentiment is,the lower the corporate bond credit spread.There is a significant difference in the impact of monetary policy on corporate bond credit spreads within different investor sentiment thresholds,the effect of monetary policy on the credit spread of corporate bonds is more obvious.