中国公司债信用价差影响因素及其动态变化研究
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摘要
2008年美国的次贷危机是信用风险管理失当的典型，金融机构对信用风险估计过低，高杠杆的运用使衍生产品的实际风险暴露值无限放大，远远超过任何一个理论模型计算的结果，“信用价差之谜”再度成为国内外学者研究的焦点。中国的公司债市场处于快速膨胀时期，急需符合中国市场的信用风险定价依据及市场规范准则，作为衡量信用风险的最重要指标，信用价差的影响因素及其变化机理至关重要。
本文立足中国公司债市场，首先对公司债及相关概念进行界定，确定研究范畴。在信用价差分散理论基础上，提出中国公司债信用价差理论模型和主要假设。
基于理论分析：依据“信用价差之谜理论”，从市场风险、流动性风险和违约风险三个层面进行分析并构建了中国公司债信用价差影响因素指标体系。采用期限结构理论，验证了中国公司债信用价差曲线形状为向下倾斜，说明中国公司债市场评级普遍过高并且存在定价错误。依据结构模型理论，得出公司价值变化会影响信用价差变化，推翻“债市无风险”的认识误区。
基于实证分析：从静态和动态两方面对中国公司债信用价差影响因素进行实证检验。静态研究主要结论如下：①通过分位数回归分析，得出：分位数比多元回归更能够细致的反映各影响因素在不同水平上对信用价差的影响程度；利率因素与信用价差正相关、流动性与信用价差负相关，流动性风险已融入中国的公司债市场。股票市场收益率波动会导致公司债信用价差上升，表明股票市场表现已经能够影响债券市场的信用风险水平。②利用固定效应模型，发现公司债之间的个体差异或许可以成为解释“信用价差之谜”的新视角。结果表明，固定效应模型可以解释近47%的信用价差，远远高于结构模型。证实了变量选取的多少只能轻微的改善变量对信用价差解释力度的假设，样本公司债的个体差异或模型因素是造成信用价差变量解释力普遍较弱的根本原因。③通过Copula-GARCH模型，对公司债信用价差与股票收益率之间的相关关系进行研究，进一步验证公司债信用价差的定价因素。得出结论：股票市场收益率是公司债信用价差的定价因素，中国证券市场存在“安全资产转移”现象，股市收益率与公司债信用价差产生联动效应，在投资者资产一定的情况下，随着股票市场风险加大，投资者会将资金转而投向相对安全的公司债券市场。
动态研究主要结论：①均值回复模型能够较好的拟合公司债信用价差的动态关系。②对信用价差对主要变量的冲击进行了研究，得出：利率因素、流动性因素当期对信用价差序列变化做出响应，均在第二期达到最高点。股市波动主要在短期内对信用价差产生影响。流动性因素和股市波动对信用价差变化较为敏感，速度也更快。通过建立利率对信用价差的ECM模型得出结果：利率因素不仅和信用价差存在长期的均衡关系，在短期内，信用价差的变化也会受到利率变化的影响，并以一定比例影响下一期的信用价差。
在上述研究基础上，结合中国公司债市场发展实际，分析信用价差风险和违约风险存在的根本原因，从控制信用价差风险和违约风险的角度为公司债券合理定价提供思路。最后，针对由于信用价差持续增大而带来的信用风险问题，尝试建立了基于CDS的后续违约承担机制，为公司债市场信用风险管理提出解决方案。
Subprime mortgage crisis in2008is a typical case of credit risk mismanagement,the credit risk was underestimated by the financial institutions, the usage of highleveraged derivative products magnified the actual risk exposure, far more than theresults of any calculation of a theoretical model,“credit spread puzzle” once againbecome the focus of researchers at home and abroad. China’s corporate bond marketis in a rapid expansion period, in urgent need of credit risk pricing theory and marketstandards in line with the Chinese market, as the most important measure of credit risk,it is essential to look at the credit spread determinants and changes.
In this paper, based on the China corporate bond market, corporate bond andsome related concept are defined and research area is identified firstly. Based on thedispersion of credit spread, propose the theoretical models and key assumptions.According to “credit spread puzzle theory”, make analysis on three levels: market risk,liquidity risk and default risk separately and build credit spread determinants of Chinacorporate bond indicator system. Lying on the term structure theory, verify Chinacorporate bond structure curve is downward shape, indicating that China corporatebond ratings generally too high and pricing errors exist. On the basic of structuremodel, the changes of company value will affect the credit spread change, overthrow“the bond market without risk” misunderstanding.
Empirical analysis on China corporate bond credit spread determinants from bothstatic and dynamic aspects. Main conclusions from static analysis are as follows:①Quantile regression analysis is more capable than general multivariable regression ondetailed factors reflecting the credit spreads in different levels; Interest rate factor,liquidity and credit spreads negative correlation, liquidity risk has been integrated intoChina corporate bond market. Fluctuations in the stock market yields will lead torising credit spreads of corporate bonds, indicating that the stock market has been ableto influence the credit risk level in the bond market.②Using the fixed effects model,finds that individual differences between corporate bonds might be the explanation of"credit spread puzzle " of the new perspective. The result shows that the fixed effectsmodel can explain nearly47%of the credit spread, much higher than the structuralmodel. Confirmed the hypothesis that the number of the selected variables only has aslight improvement to explain the dynamics of the credit spread assumption,individual differences in sample or model factors are explaining the weak explanatorypower for models.③Results of Copula-GARCH model for credit spreadsdeterminants correlation analysis: China securities market presence "flight to safety"phenomenon, the stock market and the bond market co-move together, under certaincircumstances of investor assets, with the increasing risk of the stock market,investors will turn their funds to the corporate bond market which is relatively safe.Main conclusions from dynamics analysis:①Mean reversion model can better fit thecorporate bond credit spreads dynamic relationships.②Impulse response of creditspreads on major variables are studied: Interest rate, the liquidity factors makepositive pulse in credit spreads in first period; both reach the highest point in the second period. The stock market volatility impact on credit spreads in the short term.Stock market volatility and liquidity factors are more sensitive to changes in creditspreads. Establishing the ECM model between interest rate and credit spread: Interestrate and credit spread not only exists a long-term equilibrium relationship but also thechanges in credit spread affect interest rates as well, with a certain percentage to thenext period of credit spread.
Based on these studies, combined with the actual development of Chinacorporate bond market, analyze the root causes of the existence of credit spread riskand default risk to provide solutions from controlling both credit risk and default riskto price corporate bond reasonably. Finally, due to the credit risk caused by thecontinually increasing credit spreads, trying to establish a following-up undertakingmechanism based on CDS proposed solutions to the credit risk management ofcorporate bond market.
本文立足中国公司债市场，首先对公司债及相关概念进行界定，确定研究范畴。在信用价差分散理论基础上，提出中国公司债信用价差理论模型和主要假设。
基于理论分析：依据“信用价差之谜理论”，从市场风险、流动性风险和违约风险三个层面进行分析并构建了中国公司债信用价差影响因素指标体系。采用期限结构理论，验证了中国公司债信用价差曲线形状为向下倾斜，说明中国公司债市场评级普遍过高并且存在定价错误。依据结构模型理论，得出公司价值变化会影响信用价差变化，推翻“债市无风险”的认识误区。
基于实证分析：从静态和动态两方面对中国公司债信用价差影响因素进行实证检验。静态研究主要结论如下：①通过分位数回归分析，得出：分位数比多元回归更能够细致的反映各影响因素在不同水平上对信用价差的影响程度；利率因素与信用价差正相关、流动性与信用价差负相关，流动性风险已融入中国的公司债市场。股票市场收益率波动会导致公司债信用价差上升，表明股票市场表现已经能够影响债券市场的信用风险水平。②利用固定效应模型，发现公司债之间的个体差异或许可以成为解释“信用价差之谜”的新视角。结果表明，固定效应模型可以解释近47%的信用价差，远远高于结构模型。证实了变量选取的多少只能轻微的改善变量对信用价差解释力度的假设，样本公司债的个体差异或模型因素是造成信用价差变量解释力普遍较弱的根本原因。③通过Copula-GARCH模型，对公司债信用价差与股票收益率之间的相关关系进行研究，进一步验证公司债信用价差的定价因素。得出结论：股票市场收益率是公司债信用价差的定价因素，中国证券市场存在“安全资产转移”现象，股市收益率与公司债信用价差产生联动效应，在投资者资产一定的情况下，随着股票市场风险加大，投资者会将资金转而投向相对安全的公司债券市场。
动态研究主要结论：①均值回复模型能够较好的拟合公司债信用价差的动态关系。②对信用价差对主要变量的冲击进行了研究，得出：利率因素、流动性因素当期对信用价差序列变化做出响应，均在第二期达到最高点。股市波动主要在短期内对信用价差产生影响。流动性因素和股市波动对信用价差变化较为敏感，速度也更快。通过建立利率对信用价差的ECM模型得出结果：利率因素不仅和信用价差存在长期的均衡关系，在短期内，信用价差的变化也会受到利率变化的影响，并以一定比例影响下一期的信用价差。
在上述研究基础上，结合中国公司债市场发展实际，分析信用价差风险和违约风险存在的根本原因，从控制信用价差风险和违约风险的角度为公司债券合理定价提供思路。最后，针对由于信用价差持续增大而带来的信用风险问题，尝试建立了基于CDS的后续违约承担机制，为公司债市场信用风险管理提出解决方案。
Subprime mortgage crisis in2008is a typical case of credit risk mismanagement,the credit risk was underestimated by the financial institutions, the usage of highleveraged derivative products magnified the actual risk exposure, far more than theresults of any calculation of a theoretical model,“credit spread puzzle” once againbecome the focus of researchers at home and abroad. China’s corporate bond marketis in a rapid expansion period, in urgent need of credit risk pricing theory and marketstandards in line with the Chinese market, as the most important measure of credit risk,it is essential to look at the credit spread determinants and changes.
In this paper, based on the China corporate bond market, corporate bond andsome related concept are defined and research area is identified firstly. Based on thedispersion of credit spread, propose the theoretical models and key assumptions.According to “credit spread puzzle theory”, make analysis on three levels: market risk,liquidity risk and default risk separately and build credit spread determinants of Chinacorporate bond indicator system. Lying on the term structure theory, verify Chinacorporate bond structure curve is downward shape, indicating that China corporatebond ratings generally too high and pricing errors exist. On the basic of structuremodel, the changes of company value will affect the credit spread change, overthrow“the bond market without risk” misunderstanding.
Empirical analysis on China corporate bond credit spread determinants from bothstatic and dynamic aspects. Main conclusions from static analysis are as follows:①Quantile regression analysis is more capable than general multivariable regression ondetailed factors reflecting the credit spreads in different levels; Interest rate factor,liquidity and credit spreads negative correlation, liquidity risk has been integrated intoChina corporate bond market. Fluctuations in the stock market yields will lead torising credit spreads of corporate bonds, indicating that the stock market has been ableto influence the credit risk level in the bond market.②Using the fixed effects model,finds that individual differences between corporate bonds might be the explanation of"credit spread puzzle " of the new perspective. The result shows that the fixed effectsmodel can explain nearly47%of the credit spread, much higher than the structuralmodel. Confirmed the hypothesis that the number of the selected variables only has aslight improvement to explain the dynamics of the credit spread assumption,individual differences in sample or model factors are explaining the weak explanatorypower for models.③Results of Copula-GARCH model for credit spreadsdeterminants correlation analysis: China securities market presence "flight to safety"phenomenon, the stock market and the bond market co-move together, under certaincircumstances of investor assets, with the increasing risk of the stock market,investors will turn their funds to the corporate bond market which is relatively safe.Main conclusions from dynamics analysis:①Mean reversion model can better fit thecorporate bond credit spreads dynamic relationships.②Impulse response of creditspreads on major variables are studied: Interest rate, the liquidity factors makepositive pulse in credit spreads in first period; both reach the highest point in the second period. The stock market volatility impact on credit spreads in the short term.Stock market volatility and liquidity factors are more sensitive to changes in creditspreads. Establishing the ECM model between interest rate and credit spread: Interestrate and credit spread not only exists a long-term equilibrium relationship but also thechanges in credit spread affect interest rates as well, with a certain percentage to thenext period of credit spread.
Based on these studies, combined with the actual development of Chinacorporate bond market, analyze the root causes of the existence of credit spread riskand default risk to provide solutions from controlling both credit risk and default riskto price corporate bond reasonably. Finally, due to the credit risk caused by thecontinually increasing credit spreads, trying to establish a following-up undertakingmechanism based on CDS proposed solutions to the credit risk management ofcorporate bond market.
引文
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