【摘要】 本文基于双向固定效应模型的实证研究结果表明，违约风险、流动性风险和风险交互均会对债券利差产生影响，其中风险交互对债券利差的影响最强，提高了流动性风险与违约风险对债券利差的边际效应。通过分析不同违约风险与流动性风险组合下的风险交互对债券利差的影响差异，发现风险交互效应与违约风险和流动性风险的风险等级不存在必然联系，中（低）风险组合的债券可能存在高风险交互效应，因而在受到负面冲击时可能发生实质性违约。更多还原

【Abstract】 The empirical research results of this paper based on the two-way fixed effect model show that the default risk,liquidity risk and risk interaction will all have an impact on bond spread; the impact of risk interaction is the strongest,which increases the marginal effect of liquidity risk and default risk on bond spread. The K-means clustering algorithm is used in bond risk grouping to analyze the difference in the impacts of risk interaction on bond spread in different combinations of default risk and liquidity risk, and the results show that the risk interaction effect has no inevitable connection with the risk levels of default risk and liquidity risk; the bonds in a medium（low） risk portfolio may have high risk interaction effects, which may lead to real defaults when they are subjected to negative shocks.更多还原