本文選題：融資流動性 + 流動性風(fēng)險�。� 參考：《證券市場導(dǎo)報》2017年06期

【摘要】：利用2011~2015年我國公司債券市場數(shù)據(jù)和金融市場數(shù)據(jù),分析融資流動性和融資流動性風(fēng)險對公司債信用價差的影響。實證結(jié)果顯示:第一,融資流動性與公司債的信用價差顯著負相關(guān);第二,融資流動性風(fēng)險對公司債信用價差的影響存在異質(zhì)性。當(dāng)融資流動性增加時,融資流動性風(fēng)險的提升會降低公司債的信用價差;但當(dāng)融資流動性降低時,融資流動性風(fēng)險的提升會增加公司債的信用價差。基于此,提出完善我國債券市場系統(tǒng)性風(fēng)險管理提出的政策建議。
[Abstract]:Based on the corporate bond market data and financial market data from 2011 to 2015, this paper analyzes the influence of financing liquidity and financing liquidity risk on corporate bond credit spreads.The empirical results show that: first, there is a significant negative correlation between financing liquidity and corporate debt credit spreads; second, the impact of financing liquidity risk on corporate debt credit spreads is heterogeneity.When the financing liquidity increases, the increase of the financing liquidity risk will reduce the credit spread of corporate bonds, but when the financing liquidity decreases, the increase of the financing liquidity risk will increase the credit spreads of corporate bonds.Based on this, the paper puts forward some policy suggestions to perfect the systematic risk management of our bond market.
【作者單位】： 對外經(jīng)濟貿(mào)易大學(xué)金融學(xué)院;
【分類號】：F832.51
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本文編號：1762072