我国企业债券信用利差宏观决定因素研究

On the Macro Determinants of Credit Spreads of Corporate Bonds in China

文章以Merton(1974)的结构化模型为基础,基于2000年2月至2010年9月的面板数据,对影响我国沪深债市企业债券信用利差因素进行了实证研究。研究结果表明,GDP指数和M1发行量对企业债券信用利差的影响为正,无风险利率和收益率曲线斜率的影响为负。此外,模型的解释力明显随信用级别的降低而提高,且加入非线性变量和前期变量后模型的拟合度大幅提高,说明新模型更加符合实际情况。

Based on Merton structural model and the panel data from Feb.2000 to Sep.2010,this paper empirically studies the determinants of credit spreads of corporate bonds in Shanghai and Shenzhen bond markets.The results indicate that GDP index and M1 supply have positive impacts on the credit spreads of corporate bonds,while the risk-free interest rate and yield curve slope have negative impacts on the credit spreads of corporate bonds.In addition,the model provides a more sound explanation as the credit rating reduces;the goodness of fit of the new model after introducing non-linear and former-term variables increases by a big margin,which shows that the new model provides a more sound explanation for the reality.