信用评级_货币市场波动与短期融资券信用利差_梁柱.pdfVIP

金 论坛 融 2015 年1 期（总第229 期） 信用评级、货币市场波动与短期融资券信用利差 梁 柱 ［摘 要］本文使用 年 月 日至 年 月 日发行的 只证券公司短期融资券，考 2012 9 1 2013 12 18 139 察信用评级和货币市场波动对短期融资券信用利差的影响。实证研究发现，证券公司短期融资券的发 行利率在 年 月之前和之后的区间段内显著不同；在没有控制其他变量的情况下，主体评级为 2013 6 级的短期融资券可以在市场上获得较低的信用利差，而主体评级为 和 级的短期融资券 AAA AA+ AA 的信用利差没有显著的差别；在控制其他变量的情况下，债项的主体评级不能显著地影响信用利差； 与经典金融学理论预期相反的是，货币市场波动显著地负向影响信用利差。 ［关键词］证券公司；信用评级；短期融资券；信用利差；货币市场波动 ［文章编号］ （ ） ［ 分类号］ ［文献标志码］ 1009 - 9190 2015 01 - 0053 - 07 JEL G12 A Credit Rating, Volatility in Money Market and Credit Spread of Commercial Paper LIANG Zhu ［ ］ Abstract Based on the 139 commercial papers issued by security companies during September 1, 2012-December 18, 2013, this article investigates the impacts of credit rating and volatility in money market on the credit spread of commercial paper. The empirical research shows that the interest rates of commercial papers issued by security companies before June, 2013 are obvi－ ously different from those after June, 2013; if other variables are not controlled, the main-rating AAA commercial papers will gain low credit spreads in market, and there is not significant difference between main-rating AA+ commercial papers and AA commercial papers; if other variables are controlled, the main-rating of debts can not influence the credit spreads; contrary to the classical finance expectation theory, volatility in money market influences cre