信用利差变化对企业杠杆的动态影响  

The Dynamic Effect of Credit Spreads Variation on Enterprise Leverage

作　　者：张良贵[1] 孙久文[1] 

机构地区：[1]中国人民大学经济学院,北京100872

出　　处：《证券市场导报》2014年第6期53-56,共4页Securities Market Herald

基　　金：中国博士后基金项目(2013M053788);国家自然科学基金项目(71103209);教育部新世纪优秀人才支持计划项目(NCET-10-0824);教育部人文社科项目(09YJC790116)

摘　　要：本文通过构建DSGE模型模拟得到了企业杠杆波动趋势,基于此构建回归模型分析信用利差对企业杠杆的动态影响,研究表明:信用利差与企业杠杆间的关系紧密,在一定程度上反映出虚拟经济与实体经济间的协同效应,但债券定价参照的基准利率不同,二者间关系的紧密程度不同;此外,宏观流动性及其状态变化、基准利率状态变化对企业杠杆有重要影响。This paper simulates the trend of enterprise leverage fluctuations through constructing a DSGE model, and constructs a regression model to analyze the dynamic effect of credit spreads variation on enterprise leverage. The results show that the relationship between credit spreads and the enterprise leverage is tight. And they reflect a synergistic effect between virtual economy and real economy to a certain extent. However, the bond pricing refers to different base rates, which has different effect on the close degree between them. In addition, macro liquidity and its state change and the base rate change have an important effect on enterprise leverage.

关 键 词：信用利差 企业杠杆 基准利率 宏观流动性 

分 类 号：F830.59[经济管理—金融学]