宏观因素、公司特性与信用利差  

The macro Factors,Firm Characteristics and Credit Spreads

作　　者：晏艳阳[1] 刘鹏飞[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410082

出　　处：《现代财经（天津财经大学学报）》2014年第10期70-79,95,共11页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：国家自然科学基金重点项目(71031004);国家自然基金创新群体(71221001)

摘　　要：基于2011-2013年52家公司债券的月度面板数据,从宏观层面和公司特性层面两个角度研究我国公司债信用利差的影响因素。实证分析表明,宏观层面上,GDP增长率、投资者信心指数和无风险利率对公司债信用利差影响为负,GDP增长波动率和国债即期利率斜率对公司债信用利差影响为正。公司特性上,现金流波动率、股票收益波动率和财务杠杆率对公司债信用利差影响为正,公司规模和资产收益率对公司债信用利差影响为负。整体上,相较于宏观因素,公司特性因素对债券信用利差解释程度较大。From two aspects of the macro level and firm characteristics, we study the factors affecting credit spreads of china＇s corporate bond. Based on the fifty-two corporate bond panel data from 2011 to 2013, the empirical analysis shows that at the macro level, credit spreads significant decrease in GDP growth rate, investor confidence index and the risk free rate, but significant increase in GDP growth volatility and the treasury spot rate slope. At the firm level, credit spreads increase in cash flow volatility, stock return volatility and financial leverage, but decrease in corporate size and return on assets. On the whole, the factors in the firm characteristics explain much more credit spread than the factors in the macro factors.

关 键 词：公司债券 信用利差 GDP增长波动率 现金流波动率 

分 类 号：F832.5[经济管理—金融学]