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本文在Merton模型的基础上,利用中国公司债2012年1月-2016年4月的面板数据,对信用利差进行了实证分析。通过Merton模型估值和Merton模型因素对信用利差回归实证,分析了可能影响中国信用利差的其他因素。本文将这些因素归纳为宏观经济因素、利率因素、货币政策因素、股票市场因素和制度性因素等,并将这些因素纳入模型再次进行了实证。实证表明,公司价值对中国公司债信用利差的解释有限,对信用利差的影响具有复杂性,中国公司债信用利差更多受到其他市场因素的影响。
Based on the Merton model, this paper uses the panel data of Chinese corporate debt from January 2012 to April 2016 to analyze the credit spread. By Merton model valuation and Merton model factor empirical regression of credit spread, analysis of other factors that may affect the credit spread in China. In this paper, these factors are summarized as macroeconomic factors, interest rate factors, monetary policy factors, stock market factors and institutional factors, and these factors into the model once again empirical. Empirical evidence shows that corporate value has a limited explanation of the credit spread of corporate bonds in China, which has a complex impact on credit spreads. The credit spread of corporate bonds in China is more influenced by other market factors.