Counter-Credit-Risk Yield Spreads: A Puzzle in China's Corporate Bond Market

被引：5

作者：

Luo, Jian ^{[1
]}

Ye, Xiaoxia ^{[2
]}

Hu, May ^{[3
]}

机构：

[1] Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen, Peoples R China

[2] Stockholm Univ, Stockholm Business Sch, Stockholm, Sweden

[3] Deakin Univ, Deakin Grad Sch Business, Melbourne, Vic, Australia

来源：

INTERNATIONAL REVIEW OF FINANCE | 2016年 / 16卷 / 02期

关键词：

TERM STRUCTURE MODELS; AFFINE MODELS; DEFAULT PREDICTION; INTEREST-RATES; SOVEREIGN; PREMIA; PRICE;

D O I：

10.1111/irfi.12079

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, using China's risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China's credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. We also find interesting results about relationships between corporate yield spreads and interest rates and risk premia and the stock index, and these results are somewhat attributed to this puzzle.

引用

页码：203 / 241

页数：39

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