COVID-19 疫情下的“战疫债”深度分析 ——基于 Copula 模型的信用利差视角* (An In-Depth Analysis of the "Pandemic Bonds" under the COVID-19 Epidemic: A Credit Spread Perspective Based on the COPULA Model)
11 Pages Posted: 9 Mar 2020
Zilong Xiao
Sun Yat-sen University
Shiying Lu
Independent
Qing Xu
Independent
Feng Liu
Shanghai University of International Business and Economics
Date Written: February 25, 2020
Abstract
Chinese Abstract: 摘要：随着多项COVID-19疫情防控的政策文件的出台，为募集资金用于疫情防控，保障受疫情影响相对较大的地区、行业以及参与疫情防控领域的企业的融资需求，监管机构开通“绿色通道”，各债券发行主体纷纷推出疫情防控债券——“战疫债”。本文利用基于Copula模型重点分析研究了战疫债信用利差和对应债券市场收益率两者之间的相关关系，结果表明两者之间存在着明显的正相关关系。实证结果还表明，央企、交运与医药行业、湖北省、超短融的战疫债和对应市场的关联度较高。通过对相关系数的分析，给政府和发行方在防疫期间的债券发行决策提供了一定的理论和数据支持。
English Abstract: Recently, a number of COVID-19 epidemic prevention and control policy documents have introduced. In order to protect the financing needs of regions and industries that are relatively affected by the epidemic, and enterprises participating in the field of epidemic prevention and control, the "green channel" is opened by governments. Various bond issuers are encouraged to launch "pandemic bonds" for epidemic prevention and control. This article uses Copula model to analyze the correlation between the credit spread of pandemic bonds and the corresponding bond market yields. The results show that there is a clear positive correlation between them. The empirical results also show that the pandemic bonds issued by central state-owned enterprises, transportation and pharmaceutical industries, the Hubei Province, or the ultra-short-term pandemic bonds are highly correlated with corresponding bond markets. The analysis of the correlation coefficients between them provide some theoretical and data support to the governments and the bond issuer decision during the period of epidemic prevention and control.
Note: Downloadable document is in Chinese.
Keywords: COVID-19；战役债；信用利差；市场风险；Copula模型, COVID-19; Pandemic Bonds; Credit Spread; Market Risk; Copula Model
*注，本文为预印本论文手稿，是未经同行评审的初步报告，其观点仅供科研同行交流，并不是结论性内容，请使用者谨慎使用.
