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題名:點心債券和中國公司債券信用價差的影響因素
書刊名:兩岸金融季刊
作者:李存修 引用關係陳姿利
作者(外文):Lee, Tsun-siouChen, Tzu-li
出版日期:2013
卷期:1:1
頁次:頁35-63
主題關鍵詞:點心債券信用價差人民幣計價債券離岸人民幣債券市場Dim sum bondCredit spreadRMB-denominated bondOffshore RMB bond market
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:4
  • 點閱點閱:25
本文主要探討影響中國離岸市場發行的點心債券以及中國境內市場發行的中國公司債之信 用價差的影響因素,採用的樣本是2011 年至2012 年間無信評與有信評的點心債券,共有216 檔, 以及經過中誠信國際信用評級有限責任公司或是聯合資信評估有限公司評級的中國國內公司債。 實證結果顯示,點心債券的信用價差顯著的受到兩個解釋變數的影響,一個是人民幣升值預 期,另一個則是點心債券是否有信用評等;中國國內公司債的信用價差則受到債券的期間、發行 規模、信用評等與發行公司產業類型的影響;本文也發現點心債券的到期殖利率顯著低於中國公 司債,更進一步分析後發現,點心債券的信用利差和其發行規模呈正向關係,和中國境內債券市 場相較,點心債券市場規模仍偏小,深度較淺,故大規模的發行會導致信用利差上升。
The purpose of this study is to examine the determinants of credit spread between the Chinese offshore bond markets and the Chinese domestic bond market by using a sample of 216 dim sum bonds including rated and non-rated bonds in the Chinese offshore bond markets and a sample of 1105 bonds rated by either China Chengxin Credit Management Co., Ltd. or China Lianhe Credit Rating Co., Ltd. in the Chinese domestic bond market. The empirical results show that the credit spread of dim sum bonds is significantly affected by RMB appreciation expectation and whether dim sum bonds are rated or not. The credit spread of Chinese corporate bonds is influenced by the term-to-maturity of the bond, issue size, credit rating and the industry of the issuing corporation. We also find that the credit spread of dim sum bonds is significantly lower than that of Chinese corporate bonds. Further analysis reveals that the credit spread of dim sum bonds is positively related to their issue size due to shallowness and small in size of the Chinese offshore RMB-denominated bond market when compared to the Chinese onshore bond market.
期刊論文
1.Wilson, E.(2006)。X-Rated: The Dirty World of Chinese Debt。Asiamoney,17(3),20-22。  new window
2.沈中華、王儷容(2012)。人民幣國際化,清算機制與台灣3(4),48-49。  延伸查詢new window
3.黃玉麗、沈中華(20101200)。發行體評等高於主權評等之因素探討--以全球商業銀行為例。管理學報,27(6),547-570。new window  延伸查詢new window
4.黃玉麗、張元、沈中華(20120600)。不請自來的銀行信用評等有向下偏誤的現象嗎?--配對方法。經濟論文叢刊,40(2),149-188。new window  延伸查詢new window
5.Bottelier, Pieter(2005)。China's Emerging Domestic Debt Markets: Facts and Issues。Overseas Young Chinese Forum,6(2),11-24。  new window
6.Finnerty, Joseph E.、Kenneth P. Nunn, Jr.(1985)。Comparative Yield Spreads on U.S. Corporate Bonds and $Eurobonds。Financial Analysts Journal,41(4),68-73。  new window
7.Goldstein, Morris(2006)。Renminbi Controversies。Cato Journal,26(2),251-266。  new window
8.Holmes, Mark J.(2001)。New Evidence on Real Exchange Rate Stationarity and Purchasing Power Parity in Less Developed Countries。Journal of Macroeconomics,23,601-614。  new window
9.Holmes, Mark J.、Wu, Yangru(1997)。Capital Controls and Covered Interest Parity in the EU: Evidence from a Panel-Data Unit Root Test。Review of World Economics (Weltwirtschaftliches Archiv),133,76-89。  new window
10.Kennedy, Scott(2003)。China's Credit Rating Agencies Struggle for Relevance。The China Business Review,30(6),36-40。  new window
11.Kidwell, David S.、Marr, M. Wayne、Thompson, G. Rodney(1985)。Eurodollar Bonds: Alternative Financing for U.S. Companies。Financial Management,14(4),18-27。  new window
12.Lee, Jane Lanhee(20060322)。Credit Raters in China Take Generous View。Wall Street Journal,1。  new window
13.PEI, Changhong、YU, Yingfeng(2011)。Development and Perspective of Offshore RMB Bond Market。Chinese Review of Financial Studies,3,40-53。  new window
14.Poon, Winnie Pui-han(2003)。Are Unsolicited Credit Ratings Biased Downward?。Journal of Banking & Finance,27(4),593-614。  new window
15.Poon, Winnie Pui-han、Chan, Kam C.(2008)。An Empirical Examination of the Informational Content of Credit Ratings in China。Journal of Business Research,61(7),790-797。  new window
16.Resnick, Bruce G.(2012)。Investor Yield and Gross Underwriting Spread Comparisons among U.S. Dollar Domestic, Yankee, Eurodollar, and Global Bonds。Journal of International Money and Finance,31,445-463。  new window
17.Zheng, Liping(2012)。Are Sovereign Credit Ratings Objectives? A Tale of Two Agencies。Journal of Applied Finance & Banking,2(5),43-61。  new window
18.Frankel, Jeffrey A.(1992)。Measuring International Capital Mobility: A Review。The American Economic Review,82(2),197-202。  new window
19.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society,48(4),817-838。  new window
研究報告
1.Borensztein, Eduardo、Cowan, Kevin、Valenzuela, Patricio(2007)。"Sovereign Ceilings Lite"? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies。  new window
2.Chen, Jinzhao(2012)。Capital Controls and Covered Interest Parity: Evidence from China in Transformation。  new window
3.Frankel, Jeffrey(2005)。On the Renminbi: The Choice between Adjustment under a Fixed Exchange Rate and Adjustment under a Flexible Rate。  new window
4.Fung, Hung-Gay、Tzau, Derrick、Yau, Jot(2012)。The Chinese Offshore Renminbi-Denominated Bonds: Dim Sum Bonds。  new window
5.Goldstein, Morris(2004)。Adjusting China's Exchange Rate Policies。  new window
6.He, Dong、McCauley, Robert N(2010)。Offshore Markets for the Domestic Currency: Monetary and Financial Stability Issues。  new window
7.Zhang, Zhibai(2012)。RMB Undervaluation and Appreciation。  new window
其他
1.沈中華(20110810)。信評公司真的可信?。  延伸查詢new window
2.Standard & Poor's(19970430)。Less Credit Risk for Borrowers in 'Dollarized' Economies。  new window
圖書論文
1.Cheung, Yin-Wong、Qian, XingWang(2011)。Deviations from Covered Interest Parity: The Case of China。The Evolving Role of Asia in Global Finance。  new window
2.Chen, Hong Yi、Peng, Wenshen、Shu, Chang(201112)。The Potential of Renminbi as an International Currency。Currency Internationalisation: Lessons from the Global Financial Crisis and Prospects for the Future in Asia and the Pacific。  new window
3.McKenzie, Colin Ross、Takaoka, Sumiko(2003)。The Impact of Japanese Deregulation on the Euro-Yen Bond Market。MODSIM 2003 International Congress on Modeling and Simulation Proceedings, vol. 3: Socio-Economic Systems, Modeling and Simulation Society of Australia and New Zealand, Townsville。  new window
 
 
 
 
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