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| Credit Risk Premium or Market Liquidity Premium?: An Empirical Study on the Pricing of Credit Bonds in China |
| JI Zhihong, CAO Yuanyuan
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| the People's Bank of China |
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Abstract There is a significant difference in the pricing ofcredit bondsbetween our domestic bond market and theforeignmature bond market.In domesticbond market, credit spread does not change along with the change of the default risk in the economic cycle. The study finds thatin credit bond marketthere is strong expectation for rigid paymentand participants are inclined to use arbitrage strategiesto do “carry trade”. Because of thisexpectation andbehavior, the credit spreads of bonds are more reflected in market liquidity premium, rather than the credit risk premium.Therefore,the interest rateand volatilityin money market whichreflect the status of market liquidity havefundamental influence on the pricing of credit bonds. Furthermore,the central counterparty repo arrangement in stock exchange bond marketsblurs the credit qualification of different enterprises andfurther magnifies this effect.
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Received: 28 November 2016
Published: 18 January 2018
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