本文選題：融資流動性 + 流動性風險��； 參考：《證券市場導報》2017年06期

【摘要】：利用2011~2015年我國公司債券市場數據和金融市場數據,分析融資流動性和融資流動性風險對公司債信用價差的影響。實證結果顯示:第一,融資流動性與公司債的信用價差顯著負相關;第二,融資流動性風險對公司債信用價差的影響存在異質性。當融資流動性增加時,融資流動性風險的提升會降低公司債的信用價差;但當融資流動性降低時,融資流動性風險的提升會增加公司債的信用價差�；诖�,提出完善我國債券市場系統性風險管理提出的政策建議。
[Abstract]:Based on the corporate bond market data and financial market data from 2011 to 2015, this paper analyzes the influence of financing liquidity and financing liquidity risk on corporate bond credit spreads.The empirical results show that: first, there is a significant negative correlation between financing liquidity and corporate debt credit spreads; second, the impact of financing liquidity risk on corporate debt credit spreads is heterogeneity.When the financing liquidity increases, the increase of the financing liquidity risk will reduce the credit spread of corporate bonds, but when the financing liquidity decreases, the increase of the financing liquidity risk will increase the credit spreads of corporate bonds.Based on this, the paper puts forward some policy suggestions to perfect the systematic risk management of our bond market.
【作者單位】： 對外經濟貿易大學金融學院;
【分類號】：F832.51
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本文編號：1762072