信用风险、投资者情绪对债券信用利差的影响研究

The Impact of Credit Risk and Investor Sentiment on Bond Credit Spread

债券是金融市场中不可或缺的投融资工具,成熟完善的债券市场是金融体系稳定的基础。随着我国债券市场不断发展壮大,债券风险管理成为当前的重要课题。信用利差是债券二级市场重要的风险衡量指标。本文选取2017-2020年上交所公司债月度面板数据,利用固定效应模型对信用风险、市场投资者情绪及其他信用利差的影响因素进行实证研究。研究发现:(1)信用风险因素对我国公司债信用利差的影响显著,且逐渐增大;(2)投资者情绪在市场中的传染效应显著提高了公司债信用利差,对信用风险在信用利差中的结构性变化起到了催化作用;(3)利率风险、流动性风险溢价等对信用利差的影响显著。基于此,提出健全外部约束机制,加强债券市场监管;细化债券信用评级,提升债券信息披露质量;深化利率市场化改革,促进债券市场流动等建议。

Bonds are indispensable investment and financing tools in the financial market.A mature and well-established bond market is the basis for the stability of the financial system.With the continuous development and expansion of China's bond market,the bond risk management has become an important topic at present.Credit spread is an important risk measure in the secondary bond market.This paper selects the monthly panel data of corporate bonds on the Shanghai Stock Exchange during 2017 and 2020,and uses the fixed effect model to regress the credit risk,market investor sentiment and other influencing factors on credit spread.This study found that:(1)the credit risk has a significant impact on the credit spread of corporate bonds,and the impact is increasing;(2)the contagion effect of investor sentiment in the market significantly increases the credit spread of corporate bonds and plays a catalytic role on the structural change in the credit spread;(3)the interest rate risk and liquidity risk premiums have significant impacts on credit spread.Based on these results,the authors suggest to im-prove the external constraint mechanism and strengthen the supervision of bond market,refine the bond credit rating,improve the quality of bond information disclosure,deepen the reform of interest rate marketization,and promote tbond market liquidity.