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从信用风险结构化模型分析,当基准利率提高时,信用利差下降;反之信用利差上升。本文通过对中美两国债市实证研究发现,名义利率对信用利差变动的解释能力不高,而综合反映宏观经济环境和真实投融资收益水平的实际利率对信用利差有着更为显著的影响。协整检验结果表明,两国信用利差均与实际利率存在长期稳定的反向变动关系,而我国实际利率对信用利差的作用时滞稍长。关键词:信用利差实际利率债券协整结构化模型
From the structural analysis of credit risk model, when the benchmark interest rate increases, credit spreads decline; on the contrary, credit spreads rise. Based on the empirical study of the bond markets between China and the United States, this paper finds that the nominal interest rate does not have a good explanatory power for the changes in credit spreads. However, the real interest rates that comprehensively reflect the macroeconomic environment and the real investment and financing returns have a more significant impact on credit spreads . Co-integration test results show that both the credit spreads of the two countries have long-term and steady negative changes with the real interest rates, and the effect of real interest rates on credit spreads in China lags slightly longer. Key words: credit spread real interest rate bond cointegration structured model