COVID-19 抗疫债”实施效果的量化研究 (Quantitative Research on the Implementation Effect of COVID-19 'Anti-Pandemic Debt')

Chinese Abstract: 摘要：中共中央政治局在 3 月 27 日召开会议中多次强调通过发行特别国债和地方债应对此 次疫情，助力复工复产。为保障“抗疫”的特别债券发行，需要研究并学习已发行债券的 特征及影响。本文从疫情发生后后新发行债券数据着手，通过基于 Copula 模型重点分析研 究了相关债券在信用利差和对应债券市场收益率两者之间的相关关系。同时从企业、行 业、省份、债券期限等多个维度进行实证分析，最终为相关金融监管部门给出有价值的决 策建议。 English Abstract: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 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.