中国市政债券信用价差影响因素分析

An Analysis of Influential Factors of Credit Price Gap of Municipal Bonds in China

地方政府债务危机已经成为抑制中国地方经济发展的重要问题。地方政府债务危机主要由信用风险造成,为此,确定市政债券信用价差的影响因素可以有效建立市政债券信用风险管理机制。通过研究债券信用价差影响因素相关文献,使用多元回归模型对市政债券信用价差的影响因素进行实证研究,结果显示:宏观经济预警指数、股票交易量、财政收支差额的变动对市政债券信用价差不具有显著影响;克强指数、消费者物价指数、人民币汇率、上海同业拆借利率、20年期国债收益率、广义货币供应量、银行理财产品收益率的变化会引起市政债券信用价差的变化。

The debt crisis of local governments has become an important factor to curb the development of China's local economy,which is mainly caused by credit risk.Therefore,determining the credit price gap of municipal bonds may effectively establish the management mechanism of municipal bond credit risk.Based on the study of the literature related to the factors that have impact on the credit price gap of bonds,the paper uses the multiple regression model to make an empirical study of the factors that have impact on the credit price gap of municipal bonds.The results show that the changes of the macroeconomic warning index,the stock trading volume,the change of the credit spreads do not have significant impact on credit price gap of municipal bonds; the Keqiang index,consumer price index,RMB exchange rate,Shanghai inter-bank lending rate,the 20-year state bond return rate,broad money supply and the return rate of the bank's financial products may lead to the change of credit price gap of municipal bonds.