金融理论与实践
金融理論與實踐
금융이론여실천
Financial Theory and Practice
2015年
6期
17~21
,共null页
公司债 信用利差 结构化模型 收益率曲线 流动性
公司債 信用利差 結構化模型 收益率麯線 流動性
공사채 신용리차 결구화모형 수익솔곡선 류동성
corporate bond;credit spreads;structural model;yield curve;liquidity
借助公司债的结构化定价理论和多元回归方法，研究中国公司债信用利差的影响机理。利用Merton的结构化模型剖析了公司债信用利差的理论影响机理。进一步，以无风险利率、收益率曲线斜率、流动性、剩余期限、到期收益率波动率作为解释变量，构建多元回归模型，检验中国公司债信用利差的影响因素。研究发现：无风险利率、收益率曲线斜率对公司债信用利差影响显著，流动性因素对公司债利差解释能力较弱。
藉助公司債的結構化定價理論和多元迴歸方法，研究中國公司債信用利差的影響機理。利用Merton的結構化模型剖析瞭公司債信用利差的理論影響機理。進一步，以無風險利率、收益率麯線斜率、流動性、剩餘期限、到期收益率波動率作為解釋變量，構建多元迴歸模型，檢驗中國公司債信用利差的影響因素。研究髮現：無風險利率、收益率麯線斜率對公司債信用利差影響顯著，流動性因素對公司債利差解釋能力較弱。
차조공사채적결구화정개이론화다원회귀방법，연구중국공사채신용리차적영향궤리。이용Merton적결구화모형부석료공사채신용리차적이론영향궤리。진일보，이무풍험리솔、수익솔곡선사솔、류동성、잉여기한、도기수익솔파동솔작위해석변량，구건다원회귀모형，검험중국공사채신용리차적영향인소。연구발현：무풍험리솔、수익솔곡선사솔대공사채신용리차영향현저，류동성인소대공사채리차해석능력교약。
In the paper the structural pricing theory about corporate bonds and the multivariate regression method are used to study the impact mechanism about the credit spread of corporate bonds in China market. The Merton’s structural model is applied to analyzing the theory impact mechanism about the credit spread of corporate bonds. Furthermore, using the free risk interest rate, slope of yield curve, liquidity, maturity and volatility of yield maturity as explaining variables, multiple regression models is set to test the impact factors of the credit spread of China’s corporate bonds. It is found that the risk-free interest rate and the slope of yield curve are significant for impacting the credit spread of corporate bonds, while liquidity risk is not significant.
