我国企业债券信用利差宏观决定因素研究
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财经研究 2011 年 第 37 卷第 12 期, 页码：63 - 73
摘要
参考文献
摘要
文章以Merton(1974)的结构化模型为基础,基于2000年2月至2010年9月的面板数据,对影响我国沪深债市企业债券信用利差因素进行了实证研究。研究结果表明,GDP指数和M1发行量对企业债券信用利差的影响为正,无风险利率和收益率曲线斜率的影响为负。此外,模型的解释力明显随信用级别的降低而提高,且加入非线性变量和前期变量后模型的拟合度大幅提高,说明新模型更加符合实际情况。
①《企业债券管理条例》规定,“本条例适用于中华人民共和国境内具有法人资格的企业在境内发行的债券。但是,金融债券和外币债券除外”。西方债券市场与此大致相对应的是公司债券。
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[2]周孝坤.公司债券定价结构化模型实证分析[J].社会科学家,2006,(4):65-68.
[3]江乾坤.公司债券“信用价差之谜”探析[J].外国经济与管理,2007,(2):57-64.
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[5]李岚,杨长志.基于面板数据的中期票据信用利差研究[J].证券市场导报,2010,(8):73-77.
[6]张燃.信用价差变化的决定因素——一个宏观视角[J].当代财经,2008,(9):62-83.
[7]Amato J D,Remolona E M.The credit spread puzzle[J].Bank of International Settle-ments Quarterly Review,2003,12:51-63.
[8]Black F,Scholes M.The pricing of options and corporate liabilities[J].Journal of Politi-cal Economy,1973,81:637-654.
[9]Collin-Dufresne P,Goldstein R,Martin J S.The determinants of credit spread changes[J].Journal of Finance,2001,56:2177-2207.
[10]Huang J Z,Huang M.How much of the corporate-treasury yield spread is due to creditrisk?[R].Working Paper,Stanford University,2003.
[11]Jayadev M,Jacob J.Credit spread of Indian corporate bonds:Empirical analysis[R].Asian FA/FMA meeting,Auckland New Zealand,2006.
[12]Lepone A,Wong B.Determinants of credit spread changes:Evidence from the Austral-ian bond market[J].Australian Accounting Business and Finance Journal,2009,3(2):26-35.
[13]Litterman R,Scheinkman J.Common factors affecting bond returns[J].Journal ofFixed Income,1991,1:54-61.
[14]Merton R C.On the pricing of corporate debt:The risk structure of interest rates[J].Journal of Finance,1974,29:449-470.
[15]Nakashima K,Saito M.Credit spreads on corporate bonds and the macro economy inJapan[J].Journal of the Japanese and International Economies,2009,23:309-331.
[1]阮文骏,何华,李君.信用风险的结构化模型及其实证研究[R].中国固定收益研究中心工作论文,2003.
[2]周孝坤.公司债券定价结构化模型实证分析[J].社会科学家,2006,(4):65-68.
[3]江乾坤.公司债券“信用价差之谜”探析[J].外国经济与管理,2007,(2):57-64.
[4]陆文磊.我国信用利差与基准利率关系实证研究[J].价格月刊,2008,(10):61-64.
[5]李岚,杨长志.基于面板数据的中期票据信用利差研究[J].证券市场导报,2010,(8):73-77.
[6]张燃.信用价差变化的决定因素——一个宏观视角[J].当代财经,2008,(9):62-83.
[7]Amato J D,Remolona E M.The credit spread puzzle[J].Bank of International Settle-ments Quarterly Review,2003,12:51-63.
[8]Black F,Scholes M.The pricing of options and corporate liabilities[J].Journal of Politi-cal Economy,1973,81:637-654.
[9]Collin-Dufresne P,Goldstein R,Martin J S.The determinants of credit spread changes[J].Journal of Finance,2001,56:2177-2207.
[10]Huang J Z,Huang M.How much of the corporate-treasury yield spread is due to creditrisk?[R].Working Paper,Stanford University,2003.
[11]Jayadev M,Jacob J.Credit spread of Indian corporate bonds:Empirical analysis[R].Asian FA/FMA meeting,Auckland New Zealand,2006.
[12]Lepone A,Wong B.Determinants of credit spread changes:Evidence from the Austral-ian bond market[J].Australian Accounting Business and Finance Journal,2009,3(2):26-35.
[13]Litterman R,Scheinkman J.Common factors affecting bond returns[J].Journal ofFixed Income,1991,1:54-61.
[14]Merton R C.On the pricing of corporate debt:The risk structure of interest rates[J].Journal of Finance,1974,29:449-470.
[15]Nakashima K,Saito M.Credit spreads on corporate bonds and the macro economy inJapan[J].Journal of the Japanese and International Economies,2009,23:309-331.
引用本文
戴国强, 孙新宝. 我国企业债券信用利差宏观决定因素研究[J]. 财经研究, 2011, 37(12): 63–73.
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