债券利率风险与信用风险对信用价差的交互影响研究

Interaction Effect of Bond's Interest Rate Risks and Credit Risks on Credit Spread

为解释"信用价差之谜",学者们对信用价差的影响因素进行探索。利率风险、信用风险是债券信用价差的重要影响因素,然而鲜有文章从这两种风险交互关系的角度研究对信用价差的影响。选取2014年3月——2016年3月中国公司债券的面板数据,利用利率风险、信用风险以及二者的交互作用,从发行期限、信用等级和所属行业等角度对信用价差的影响因素进行多元回归分析,并加入流动性风险因素与结构化模型结果相比较,检验利率风险和信用风险对信用价差的交互作用是否仍然显著,得出稳定的结论。结果表明,利率风险和信用风险的交互作用显著影响中国公司债券的信用价差。本文为我国公司债券信用价差影响因素的研究方法做补充,为解释"信用价差之谜"提供了新思路。

Researchers have explored determinants of credit spread to find causes of the＂credit spread puzzle＂.Bond＇s credit spread is influenced by interest rate and credit risk.However,few papers study the determinants of credit spread from the interaction of them.We analyze panel data of China＇s corporate bonds from March 2014 to March 2016,investigate the determinants of credit spread from the interaction between interest rate and credit risk,use the method of multiple regression to discuss the credit spread from term,credit rating and industry respectively,and add the factor of liquidity risk compared with the structure model to acquire stable results.We find that the interaction of interest rate and credit risk has a significant effect on credit spread of China＇s corporate bonds.The empirical results provide a new method for research of credit spread and explanation of＂credit spread puzzle＂.