中国公司债信用利差的影响机理研究

The Influence Mechanism of the Credit Spread of Chinese Corporate Bonds

借助公司债的结构化定价理论和多元回归方法,研究中国公司债信用利差的影响机理。利用Merton的结构化模型剖析了公司债信用利差的理论影响机理。进一步,以无风险利率、收益率曲线斜率、流动性、剩余期限、到期收益率波动率作为解释变量,构建多元回归模型,检验中国公司债信用利差的影响因素。研究发现:无风险利率、收益率曲线斜率对公司债信用利差影响显著,流动性因素对公司债利差解释能力较弱。

In the paper the structural pricing theory about corporate bonds and the multivariate regression method are used to study the impact mechanism about the credit spread of corporate bonds in China market. The Merton’s structural model is applied to analyzing the theory impact mechanism about the credit spread of corporate bonds. Furthermore, using the free risk interest rate, slope of yield curve, liquidity, maturity and volatility of yield maturity as explaining variables, multiple regression models is set to test the impact factors of the credit spread of China’s corporate bonds. It is found that the risk-free interest rate and the slope of yield curve are significant for impacting the credit spread of corporate bonds, while liquidity risk is not significant.