科学决策
科學決策
과학결책
Scientific Decision-Making
2013年
9期
1~13
,共null页
石化行业 信用价差 NSS模型 影响因素
石化行業 信用價差 NSS模型 影響因素
석화행업 신용개차 NSS모형 영향인소
petrochemical industry; credit spreads; the NSS model; factors
作为资本密集型的国民经济基础行业，石化行业能否充分运用企业债券对企业融资渠道的拓宽以及企业长期发展极为重要。基于静态利率结构NSS扩展模型及多元回归方法等，文章对石化企业债信用价差结构及宏微观影响因素深入研究。研究结果表明：使用Nelson—Siegel扩展模型拟合无风险利率曲线并计算信用价差，从拟合优度上看，拟合效果较好；宏微观影响因素影响效果显著，其中原油价格作为宏观影响因素对石化企业债信用价差有～定程度的影响。
作為資本密集型的國民經濟基礎行業，石化行業能否充分運用企業債券對企業融資渠道的拓寬以及企業長期髮展極為重要。基于靜態利率結構NSS擴展模型及多元迴歸方法等，文章對石化企業債信用價差結構及宏微觀影響因素深入研究。研究結果錶明：使用Nelson—Siegel擴展模型擬閤無風險利率麯線併計算信用價差，從擬閤優度上看，擬閤效果較好；宏微觀影響因素影響效果顯著，其中原油價格作為宏觀影響因素對石化企業債信用價差有～定程度的影響。
작위자본밀집형적국민경제기출행업，석화행업능부충분운용기업채권대기업융자거도적탁관이급기업장기발전겁위중요。기우정태리솔결구NSS확전모형급다원회귀방법등，문장대석화기업채신용개차결구급굉미관영향인소심입연구。연구결과표명：사용Nelson—Siegel확전모형의합무풍험리솔곡선병계산신용개차，종의합우도상간，의합효과교호；굉미관영향인소영향효과현저，기중원유개격작위굉관영향인소대석화기업채신용개차유～정정도적영향。
As a capital-intensive basic industry of national economy, whether the petrochemical in- dustry can full use the corporate bonds is vital to the financing expansion and long-term develop- ment of enterprises. This article uses the NSS model in the simple model to fit the risk-free yield curve and the structure of the petrochemical companies bonds＇ credit spreads before analysing the determinations of credit spreads in micro and macro-situation. We found that using the Nel- son-Siegel expansion model to fit the risk-free yield curve and calculate the credit spread was well fitted. The micro and macro factors had significant effects on credit spreads. Besides, crude oil price made an impact on credit spreads to a certain extent.
