影响中国公司债信用利差的因素研究——基于中国公司债面板数据的实证

Study on Factors Influencing the Credit Spreads of Chinese Corporate Bonds——Empirical Evidence Based on China’s Corporate Bond Panel Data

从结构化模型的输入变量、流动性风险及公司债个债特性三个方面研究中国公司债信用利差的影响因素。首先,采用2009年9月—2017年9月公司债的月度数据,运用面板回归的方法,分析了公司债信用利差的影响因素。面板回归结果显示杆杆比率、系统性风险及流动性风险越大时,公司债信用利差越大;无风险利率及无风险利率斜率越小时,公司债信用利差越大;公司价值波动率对公司债信用利差影响不明显。其次,对2017年9月30日的公司债截面数据进行回归分析,结果显示信用利差和杠杆比率正向变化,与发行规模反向变化;发行人所属行业不同,信用利差不同;信用评级、特殊条款、发行方式及剩余期限对信用利差影响很小。最后根据研究结论提出了相关对策建议。

This paper studies the influence factors of Chinese corporate bond credit spreads from three aspects:structural model input variables,liquidity risk and corporate bond characteristics.Firstly,the monthly data of corporate bonds from September 2009 to September 2017 were used to analyze the influencing factors of corporate bond credit spreads by using panel regression method.The results of panel regression show that the larger the risk of lever ratio,systematic risk and liquidity risk,the larger the credit spread of corporate bonds;the lower the slope of risk-free interest rate and risk-free interest rate,the larger the credit spreads of corporate bonds;corporate value volatility has little impact on corporate bond credit spreads.Secondly,the regression analysis of the corporate bond section data on September 30,2017 showed that the credit spreads and leverage ratio had positive changes,and the issuance scale had negative changes;different issuers in different industries have different credit spreads;credit rating,special terms,issuance and remaining maturity have little impact on credit spreads.Finally,the paper puts forward relevant policy suggestions according to the research conclusion.