基于商业周期视角的债券信用利差影响因素分析
发布时间：2019-05-20 09:16
【摘要】：文章利用中债指数数据研究了宏观因素对企业债券信用利差的影响。结果发现:在不区分商业周期的情况下,通货膨胀、无风险利率、债券净供给、股市收益率以及股市波动率对信用利差的影响与基于结构模型的预期结果不完全一致;而在进一步区分商业周期的情况下,通货膨胀与信用利差负相关,但未预期到的高通胀与信用利差正相关;结构模型关于无风险利率对企业债券信用利差负相关的影响只在扩张阶段时适用;债券净供给只对高等级企业债券的信用利差有影响;股市收益率和股市波动率对信用利差的影响具有正负两面性,具体因债券等级不同而异。
[Abstract]:Based on the data of Chinese bond index, this paper studies the influence of macro factors on the credit spread of corporate bonds. The results show that the effects of inflation, risk-free interest rate, net bond supply, stock market yield and stock market volatility on credit spreads are not completely consistent with the expected results based on the structural model without distinguishing the business cycle. In the case of further distinguishing the business cycle, inflation is negatively correlated with credit spreads, but unexpected high inflation is positively correlated with credit spreads. The effect of risk-free interest rate on the credit spread of corporate bonds is only applicable in the expansion stage, and the net supply of bonds only has an impact on the credit spread of high-grade corporate bonds, and the negative correlation of risk-free interest rates on the credit spread of corporate bonds is only applicable in the expansion stage. The effects of stock market yield and stock market volatility on credit spreads have both positive and negative sides, which vary according to the bond grade.
【作者单位】： 南京农业大学经济管理学院;南通职业大学经济管理学院;
【分类号】：F832.51
本文编号：2481536
[Abstract]:Based on the data of Chinese bond index, this paper studies the influence of macro factors on the credit spread of corporate bonds. The results show that the effects of inflation, risk-free interest rate, net bond supply, stock market yield and stock market volatility on credit spreads are not completely consistent with the expected results based on the structural model without distinguishing the business cycle. In the case of further distinguishing the business cycle, inflation is negatively correlated with credit spreads, but unexpected high inflation is positively correlated with credit spreads. The effect of risk-free interest rate on the credit spread of corporate bonds is only applicable in the expansion stage, and the net supply of bonds only has an impact on the credit spread of high-grade corporate bonds, and the negative correlation of risk-free interest rates on the credit spread of corporate bonds is only applicable in the expansion stage. The effects of stock market yield and stock market volatility on credit spreads have both positive and negative sides, which vary according to the bond grade.
【作者单位】： 南京农业大学经济管理学院;南通职业大学经济管理学院;
【分类号】：F832.51
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