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Dependence of credit spread and macro-conditions based on an alterable structure model

机译:基于可变结构模型的信用利差和宏观条件的依赖

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摘要

The fat-tail financial data and cyclical financial market makes it difficult for the fixed structure model based on Gaussian distribution to characterize the dynamics of corporate bonds spreads. Using a flexible structure model based on generalized error distribution, this paper focuses on the impact of macro-level factors on the spreads of corporate bonds in China. It is found that in China's corporate bonds market, macroeconomic conditions have obvious structural transformational effects on bonds spreads, and their structural features remain stable with the downgrade of bonds ratings. The impact of macroeconomic conditions on spreads is significant for different structures, and the differences between the structures increase as ratings decline. For different structures, the persistent characteristics of bonds spreads are obviously stronger than those of recursive ones, which suggest an obvious speculation in bonds market. It is also found that the structure switching of bonds with different ratings is not synchronous, which indicates the shift of investment between different grades of bonds.
机译:冗长的金融数据和周期性金融市场使基于高斯分布的固定结构模型难以表征公司债券利差的动态。本文使用基于广义误差分布的灵活结构模型,重点研究宏观因素对中国公司债券利差的影响。研究发现,在中国公司债券市场中,宏观经济条件对债券利差具有明显的结构性转变作用,其结构特征随着债券评级的降低而保持稳定。宏观经济条件对利差的影响对于不同的结构是很重要的,并且随着评级的下降,结构之间的差异会增加。对于不同的结构,债券利差的持续特征明显强于递归债券,这表明债券市场存在明显的投机行为。还发现,不同等级债券的结构转换不是同步的,这表明不同等级债券之间的投资转移。

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