摘要
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。
From the perspective of the structural model for credit risks,the credit spread declines(widens) when benchmark interest rates rise(decrease).Based on the empirical analysis of the bond markets in China and the United States,this paper finds out that the explanatory power of nominal interest rates on credit spreads are minimal,whereas real interest rates,which provide comprehensive reflections of the macro-economic environment and the return and cost of investment and financing respectively,have more significant impacts on credit spreads.The results of cointegration analysis reveal that credit spreads move inversely with real interest rates in the long run in both countries;and the lags of the impacts of real interest rates on credit spreads are longer in China.
出处
《金融市场研究》
2012年第7期131-139,共9页
Financial Market Research
关键词
信用利差
实际利率
债券
协整
结构化模型
credit spread,real interest rate,bond,cointegration,structural model
