摘要
理论界对信用价差影响因素的研究，主要从总体上考察影响信用价差的各因素及作用程度。对2010-2012年的公司债面板数据进行处理并对比多元回归与分位数回归两种建模方法，分别从总体和不同分位水平两个层面对影响信用价差的因素进行深入研究。在实证结果的基础上，从税收和跳风险角度给出规范公司债市场发展的建议。
Researchers mainly look the determinants of credit spread and their influence extent as a whole. Thispaper analysis the recent three years panel data from 2010 to 2012 and compare the two methodologies between mul-tivariable regression and quantile regression, investigate the determinants of credit spread from the whole and differ-ent quantile level respectively. On the basic of empirical results, provide the suggestion for regulating corporatebond market from the tax and jump risk perspectives.
出处
《经济问题》
CSSCI
北大核心
2014年第5期55-58,共4页
On Economic Problems
基金
国家社科基金项目(11BRk006)
全国统计科学研究计划项目(2011LY043)
江苏省社会科学重点基金项目(09JD001)
关键词
公司债券
信用价差
分位数回归
corporate bond
credit spread
quantile regression
