宏观环境、股票市场与企业债务成本的关系研究

Research on the Relationship between Macro Environment,Stock Market and Corporate Debt Cost

利用2005-2013年债券市场、股票市场以及宏观变量的月度数据,实证检验宏观变量、股票市场变量以及企业特征变量与信用利差之间的关系。研究结果发现,在经济增长率越高以及经济增长率波动越小的情况下,债券的信用利差较小,而且在金融危机前后,宏观经济变量影响债券信用利差的作用存在显著差异,另外投资者情绪也是债券的信用利差的影响因素;在股市波动越大的情况下,债券的信用利差较小;规模越大,杠杆率越小以及信用等级越高的企业,债券的信用利差较小。进一步比较发现,企业特征变量对债券信用利差的解释力度最强,宏观经济变量次之。最后,根据相关研究结果提出降低企业融资成本的具体措施。

Using monthly data form 2005 to 2013 about the bond market, stock market and macroeconomic variables, empirical test the relationship between macroeconomic variables, stock market variables, firm characteristics variables and credit spreads. Found that the higher the rate of economic growth and the smaller economic growth fluctuations, the smaller bond credit spreads, also the role of macroeconomic variables affect bond credit spreads exist significant differences under before-after the financial crisis, in addition to investment emotional factors also affect bonds credit spreads; the higher stock market volatility, the larger corporate size, the less leverage and the higher credit rating, has the smaller bond credit spreads, further comparison, find the intensity of the characteristic variables explain corporate bond credit spreads is the strongest, followed by macroeconomic variables. Finally, accorded with the relevant findings, we propose specific measures to reduce financing costs.