我国不同行业企业债信用价差的动态过程研究

选取上海证券交易所2007年6月至2012年6月的企业债和国债月度交易数据，利用遗传算法对利率期限结构SV参数模型求解，拟合出较为精确的企业债和国债的即期利率曲线，并据此计算出企业债的信用价差. 将上海证券交易所的AAA级企业债按行业分为工业、公用事业和金融业，分别对每个行业的信用价差按不同期限进行时间序列分析，发现各期限的时间序列呈现自回归和移动平均的特征. 脉冲响应分析表明，虽然金融业波动幅度最大，工业次之，公用事业最小，但同行业各期限信用价差序列在前10期内均会对其它期限信用价差序列的冲击产生较为剧烈的反应，且冲击不具有较长的持续效果. 实证结果在一定程度上为投资者和监管者提供了决策依据.

Research on the dynamic process of credit spreads from enterprise bonds of different industry in China

From the monthly trading data sets of enterprise bonds and treasury bonds of Shanghai stock exchange from June 2007 to June 2012 in China, we obtain the relatively accurate term structure of interest rates based on Svensson model using genetic algorithms. Then the data sets with the same credit rating AAA are classified as industry, utility and finance. After time series analysis of credit spread in the same industry with different maturities, it can be concluded that all the credit spread series show the characteristics of autoregression and moving average. Impulse response analysis implies that the shock from other series of credit spread to one sequence of credit spread will fluctuate remarkably with low magnitude in the first 10 terms and the impact won't last. The empirical results can provide the basis of decisions for investors and regulators to some extent.