我国中期票据发行信用利差的影响因素研究  

The Study of the Influencing Factors of the Issuing Credit Spread of Medium Term Notes in China

作　　者：王雪标 王晰 孙晓林 WANG Xue-biao;WANG Xi;SUN Xiao-lin(School of Mathematics,Dongbei University of Finance and Economics,Dalian 116023;School of Economics,Dongbei University of Finance and Economics,Dalian 116023,China)

机构地区：[1]东北财经大学数学学院,辽宁大连116023 [2]东北财经大学经济学院,辽宁大连116023

出　　处：《山西财经大学学报》2018年第9期18-32,共15页Journal of Shanxi University of Finance and Economics

基　　金：国家自然科学基金面上项目(71273044)

摘　　要：从宏观经济、企业特征和发行结构三个层面,研究了中期票据发行信用利差的影响因素。通过Shapley值分解发现,企业特征和发行结构对中期票据信用利差的影响较大,而在单个因素中,信用评级、国企背景、企业规模和无风险利率四个因素对中期票据信用利差的影响较大。该结果表明,在中期票据发行利差的形成过程中,具有较高信用评级的大型国有企业能够在市场中以较低的成本融资。This paper aims to explore the influence factors of the issuing credit spread of medium term notes from the levels of macro economy, enterprise characteristics and distribution structure. Found from Shapley value decomposition, the issuing credit spread of medium term notes is mainly affected by corporate characteristics and distribution structure. From the peispective of single factor,credit rating, the background of state-owned enterprises, the enterprise scale and the risk-free interest rate have led to the greater impacts. This result reveals that, large state-owned enterprises with higher credit rating could achieve corporates＇ financing at a lower cost in the formation of the issuing spread of medium term note.

关 键 词：中期票据 宏观经济 企业特征 发行结构 Shapley值分解 

分 类 号：F832.5[经济管理—金融学]