银行间债券市场信用利差与流动性关系研究.pdf

摘 要 在信用债券的投资过程中，对于信用利差的分析是最重要的环节之一。对于 信用利差的主要影响因素一直以来受到学术界，以及债券从业人员的广泛关注。 其信用利差与流动性的关系也是从业人员的关注焦点。最近的金融危机使得各界 对于流动性风险的关注得到进一步的增加。信用利差指的是具有违约风险的信用 债券收益率高于具有国家信用的诸如央行票据、金融债及其国债等利率债券收益 率的那一部分。本文着眼于讨论信用利差与流动性的关系，在探索在流动性与信 用利差的相对变化过程中对信用债券的投资策略进行研究。 本文首先对于银行间债券市场的结构，信用债券的品种特点和交易机制进行 了探讨。第二部分构建梳理对信用利差分析的理论基础，包括信用风险、信用利 差的定价和信用利差的分解。第三部分着眼于银行间市场的流动性测度方法讨 论，先对于流动性的内涵和三种重要流动性定价方法进行介绍，进而提出了银行 间债券市场流动性的衡量指标。第四部分对信用利差与市场流动性的关系进行了 系统的研究。本文将2007年至2011年的经济环境划分为8个阶段，分别研究了 在不同的经济环境下信用利差与流动性的关系并得出结论。第五部分根据前述的 研究结果对机构投资者和个人投资者在考虑了流动性的因素下对信用债券的投 资策略给出建议。 关键字：银行间债券市场；信用利差；流动性 I Abstract The liquidity Premium of the credit bond market has captured the interest and attention of researchers, practitioners, and policy makers alike. The fact that liquidity Premium is important in the pricing of credit bonds is widely recognized, but the evidence is mostly qualitative and indirect. In particular, our understanding remains limited with respect to the relative importance of illiquidity and credit risk in determining corporate bond spreads and how their importance varies with market conditions. The financial crisis of 2008 has brought renewed interest and a sense of urgency to this topic, as concerns over both illiquidity and credit risk intensified at the same time and it was not clear which factor was the dominating force in driving up corporate bond spreads. This article first researched the China Inter-bank market specialty and their trading mechanism, then the types of corporate bond. Next step focus the theory basics of such research in corporate bond spreads. Mainly about credit risk, the pricing theory of credit spreads and t