摘 要随着21世纪初中国银行开始允许符合条件的企业在银行间债券市场向合格机构投资者发行短期融资争债券，中国证监会2011 年颁布实施的《公司债发行试点办法》，及随后颁布的一系列管理办法，中国信用债市场规模品类迅速增长，市场也在逐步的规范成熟中。在评级和信息披露制度较为成熟的欧美债券市场，许多研究指出在类似于金融危机等系统性风险的冲击下，展期风险对信用利差的波动产生下显著影响且会放大市场流动性 。但类似研究在在中国较少。基于上述背景，本课题旨在研究在新冠疫情的导致市场流动性恶化的环境下，展期风险是否是信用利差的一个重要影响因素，且展期风险的增加是否会使得市场流动性对信用利差波动的影响更为显著。本文实证研究选取了7000多支公司债交易数据，通过将数据拆分为疫情前12个月， 疫情中6个月和疫情后对12个月三组，基于多元线性回归所建立的模型进行分组回归所产生的实证结果进行比较，本文得出以下结论：1．展期风险显著作用于信用利差，信用利差会随着展期风险的增加而走阔；2．市场流动性因子和展期风险共同作用于信用利差，展期风险的增加会放大市场性风险对信用利差的影响， 这个结论在疫情中和疫情后均成立。

With the start of the 21st century, the Bank of China started to allow eligible enterprises to issue short-term financing bonds to qualified institutional investors in the interbank bond market, and the promulgation of the "Pilot Measures for Corporate Bond Issuance" by the China Securities Regulatory Commission in 2011, as well as a series of subsequent regulations, the Chinese credit bond market has grown rapidly in size and category, and the market is gradually maturing.In the European and American bond markets, where rating and disclosure systems are more mature, many studies have shown that rollover risk has a significant impact on the volatility of credit spreads and amplifies market liquidity in the face of systemic risks such as financial crises. However, similar studies are rare in China.Based on the above background, this paper aims to investigate whether rollover risk is an important influence on credit spreads in an environment where market liquidity deteriorates due to the Covid-19 epidemic and whether the increase in rollover risk makes the impact of market liquidity on credit spread volatility more significant. In addition, this paper also extend the study to the correlation between funding liquidity and credit spread.This paper compares the empirical results of the model based on multiple linear regressions by splitting the data into three groups: 12 months before the epidemic, 6 months during the epidemic and 12 months after the epidemic.1. rollover risk acts significantly on credit spreads, which widen as rollover risk increases.2. the market liquidity factor and rollover risk act together on credit spreads, and an increase in rollover risk amplify the impact market illiquidity on credit spread , and this conclusion holds both in the epidemic period and after the epidemic period .3. After epidemic period , the decrease of funding liquidity causes widening of credit spread.Key words: Corporate bond credit spread; ; rollover risk; Covid-19 shock; Market liquidity；Funding liquidity