我国企业债券信用价差宏观影响因素建模与实证  

Model Formulation and Empirical Analyses on the Macro Influencing Factors Affecting Credit Spreads of Enterprise Bonds in China

作　　者：周荣喜[1] 王迪[1] 

机构地区：[1]北京化工大学经济管理学院,北京100029

出　　处：《金融理论与实践》2013年第6期74-78,共5页Financial Theory and Practice

基　　金：国家自然科学基金(71171012);教育部大学生科技创新基金(201210010015);北京化工大学教育教学改革项目(A201208)

摘　　要：以在上海证券交易所流通的企业债券和国债收益率之差作为信用价差,分别建立多元线性回归模型和时间序列模型,从静态和动态两个方面对我国企业债券信用价差宏观影响因素进行了定性和定量分析,并利用脉冲响应函数测试了不同因素对信用价差的影响程度,发现货币购买力水平、国内生产总值、短期无风险利率、长期无风险利率以及股票市场收益率和波动率等因素对研究我国企业债券信用价差变化具有重要影响。研究结论揭示了信用价差变化的机理,能为投资者和监管部门提供决策支持。This paper selects the yield difference between the enterprise bonds and national debts cir- culated in Shanghai Stock Market as the credit spreads. Multiple regression model and time series mod- el are separately used to analyze the key factors affecting credit spreads of our enterprise bonds both in static and dynamic status by quantitative and qualitative methods. And impulse response function is ap- plied into testing the degree of influence affected by various factors. The result shows that some factors, such as CPP, GDP, Short term interest rate, Long term interest rate, Stock market returns and volatility, have some important influence on the research about the variety of the credit spreads of our enterprise bonds. The conclusions reveal the mechanism of changes of credit spreads, which could provide the de- cision support for the investors and managers.

关 键 词：企业债券 信用价差 宏观影响因素 多元回归模型 时间序列模型 脉冲响应函数 

分 类 号：F830.91[经济管理—金融学]