中国企业债券信用价差宏观影响因素研究——基于门槛回归模型  

Astudy on macro factors influencing credit spreads of Chinese corporate bonds——Based on the threshold regression model

作　　者：周荣喜[1] 熊亚辉 何佳浩 

机构地区：[1]对外经济贸易大学金融学院

出　　处：《价格理论与实践》2018年第11期95-98,共4页Price:Theory & Practice

基　　金：国家自然科学基金项目《中国债券市场“信用利差之谜”研究》(71871062)、《基于互联网金融模式的结构性理财产品风险度量及应用研究》(71631005);教育部人文社会科学研究规划基金项目《中美两国公司债券信用价差影响因素比较研究》(16YJA630078)

摘　　要：本文利用2007-2017年的月度数据,以无风险利率为门槛,采用门槛回归模型对中国企业债券信用价差宏观影响因素进行实证研究。结果表明:长期债券的信用价差对宏观因素敏感性较低,仅与无风险利率、通胀变化、债券流动性有较显著的相关性;对于中短期债券,当无风险利率水平处于不同区间时,其信用价差受宏观变量影响的方向、大小有差异。门槛回归模型为研究信用价差宏观影响因素提供了一种新方法。This paper utilizes the monthly data from 2007 to 2017, and develops a threshold regression model setting a risk-free rate as a threshold to empirically study the macro factors influencing credit spreads of Chinese corporate bonds. The results show that the credit spreads of long-term bonds are less sensitive to macro factors, and only have a significant correlation with risk-free interest rates, inflation changes and bond liquidity. For medium and short term bonds, when the risk-free interest rate is in a different range, the macro factors show different influence on credit spreads.Compared with the traditional linear regression model, it is found that the threshold regression model has a much higher explanatory power than the traditional linear regression model. This provides a new method for better explaining the macro factors of credit spreads.

关 键 词：企业债券 信用价差 宏观影响因素 门槛回归模型 

分 类 号：F832.51[经济管理—金融学]