摘要
本文将债券利差分解为流动性和信用利差两部分,采用固定效应模型研究发现,经济政策不确定性增强反而会降低我国债券利差,具体的,增大了流动性利差,但降低了信用利差。不确定环境下,债券投资者,一方面更倾向持仓“观望”获得票息收益,使债券流动性变差;另一方面又“有限关注”于公共信息,而忽略微观个体的异质性风险,且出于政策托底的惯性思维,对政策利好报以“期待”,导致债券信用利差减小。该效应在熊市时,以及对国企债券更显著,但背后隐藏的风险会滞后释放。
We decompose the bond yield spread into liquidity and default yield spreads,construct fixed effect model,and find that economic policy uncertainty(EPU)decrease bond yield spread in China,specifically,driving the liquidity yield spread,but reducing the default yield spread.Under uncertain environment,bond investors,on the one hand,tend to hold positions to obtain coupon interest,resulting in bond illiquid;on the other hand,pay limited attention to public information,thus bonds’heterogeneous risks being ignored.Meanwhile,as Chinese government has long being the last savior in the bond market,investors have expectations of favorable policy under uncertain environment,which reduces default yield spread.The effect is more pronounced in bear markets and for state-owned enterprises’bonds,but the underlying risk will then be released.
出处
《投资研究》
CSSCI
北大核心
2023年第3期100-120,共21页
Review of Investment Studies
