企业债券信用价差的影响因素研究——以石化行业为例

The Analysis of Credit spreads' Factors upon China Corporate Bonds:Based on Petrochemical Industry

作为资本密集型的国民经济基础行业,石化行业能否充分运用企业债券对企业融资渠道的拓宽以及企业长期发展极为重要。基于静态利率结构NSS扩展模型及多元回归方法等,文章对石化企业债信用价差结构及宏微观影响因素深入研究。研究结果表明:使用Nelson-Siegel扩展模型拟合无风险利率曲线并计算信用价差,从拟合优度上看,拟合效果较好;宏微观影响因素影响效果显著,其中原油价格作为宏观影响因素对石化企业债信用价差有一定程度的影响。

As a capital-intensive basic industry of national economy, whether the petrochemical in- dustry can full use the corporate bonds is vital to the financing expansion and long-term develop- ment of enterprises. This article uses the NSS model in the simple model to fit the risk-free yield curve and the structure of the petrochemical companies bonds＇ credit spreads before analysing the determinations of credit spreads in micro and macro-situation. We found that using the Nel- son-Siegel expansion model to fit the risk-free yield curve and calculate the credit spread was well fitted. The micro and macro factors had significant effects on credit spreads. Besides, crude oil price made an impact on credit spreads to a certain extent.