我国不同行业企业债信用价差影响因素的实证研究

Empirical Studies on Impact Factors of Credit Spreads from Enterprise Bonds of Different Industry in China

文章将上海证券交易所的AAA级企业债按行业分为电信服务业、工业、公用事业、金融业,分别对每个行业按不同期限进行回归分析后发现,工业和电信服务业的曲线形态先下降后上升,公用事业和金融业的曲线形态是向上倾斜的;不同行业不同期限企业债信用价差的影响因素各不相同,因此从行业的视角给投资者和监管者提供了决策支持。

By applying regression analysis to bonds in the same industry with different maturities, we find that both the curve of the industry credit spreads and the curve of the telecommunication services credit spreads first go up, then go down, and both the curve of the utility credit spreads and the curve of the financial credit spreads reveal an upward trend. Further, the factors have different effects on the credit spreads in both different maturities and different industries. This paper provides some decision references for investors and regulators from the perspective of the industry.