中国企业债信用利差与宏观经济指标关系的实证研究

发布时间：2018-02-16 23:39

本文关键词： 企业债信用利差 VAR方法面板数据逐步回归法　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着中国企业债券市场的日益发展,企业债信用利差受到越来越广泛的关注。在国外比较成熟的资本市场,企业债信用利差与宏观经济指标有着显著的联动关系。本文采用AAA级与AA级企业债之间的信用利差,首先分析了企业债信用利差的内部特征,揭示出信用利差序列本身存在异方差,序列滞后期的扰动对序列本身存在正向影响,序列本身具有一定的短时记忆性。之后运用VAR方法,采用2007年6月至2013年12月的市场数据,分析了中国企业债信用利差与国内主要生产、流动性指标的关系。结果表明,中国企业债信用利差与储蓄总额和无风险利率负相关。但与发达国家市场不同的是,其与生产性指标关系不显著,表明中国债券市场并没有充分发挥其服务生产性企业的作用,债券市场结构和定价机制等方面与发达国家相比还不够完善。接下来本文通过对债券市场面板数据的检验,证明信用利差的变化导致企业投资规模变化的路径在国内不显著,从而解释了信用利差与生产性指标关系不显著的原因。最后,本文通过多元线性回归,采用逐步回归法,分析了宏观因素对企业债信用利差的影响。结果发现,股票市场的波动性、无风险利率对企业债信用利差有负向影响关系,固定资产投资对企业债信用利差有正向影响。
[Abstract]:With the development of China's corporate bond market, credit spreads on corporate bonds have attracted more and more attention. The credit spread of enterprise debt has a significant linkage with macroeconomic indicators. This paper uses the credit spread between AAA and AA to analyze the internal characteristics of corporate debt credit spread. It is revealed that there is heteroscedasticity in the credit spread sequence itself, the disturbance of lag period has a positive effect on the sequence itself, and the sequence itself has a certain short-term memory. Then, using VAR method, the market data from June 2007 to December 2013 are used. This paper analyzes the relationship between the credit spreads of Chinese corporate bonds and the main domestic production and liquidity indicators. The results show that the credit spreads of Chinese corporate bonds are negatively correlated with the total amount of savings and the risk-free interest rate. The relationship between the bond market and the productive indicators is not significant, which indicates that the bond market in China has not given full play to its role as a service producer. Compared with the developed countries, the structure and pricing mechanism of the bond market are still not perfect. Then, through the test of the panel data of the bond market, it is proved that the path of the change of enterprise investment scale caused by the change of credit spreads is not significant in China. Finally, through multiple linear regression and stepwise regression method, this paper analyzes the influence of macro factors on credit spreads of corporate bonds. The volatility of stock market, risk-free interest rate has a negative impact on corporate bond credit spreads, fixed asset investment has a positive impact on corporate debt credit spreads.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F124

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