基于GDP和M2因素的公司债券价差实证分析
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- 英文论文题名：Empirical Analysis on Corporate Bond Spread Based on GDP and M2
- 论文作者：黄杰敏
- 英文论文作者：HUANG Jie-min ; Shenzhen Institute of Information Technology
- 年：2016
- 作者机构：深圳信息职业技术学院;
- 论文关键词：公司债券价差 ; 信心指数 ; GDP ; M2 ; 汇率
- 英文论文关键词：corporate bond spreads ; confidence index ; GDP ; M2 ; exchange rate
- 会议召开时间：2016-10-13
- 会议录名称：第十二届中国软科学学术年会论文集（下）
- 语种：中文
- 分类号：F832.51
- 学会代码：ZGRU
- 会议名称：第十二届中国软科学学术年会
- 会议地点：中国北京
- 主办单位：中国软科学研究会
- 学会名称：中国软科学研究会
- 页数：6
- 文件大小：328k
- 原文格式：D
- 会议级别：全国
摘要
使用沪、深交易所公司债券2008年9月19日至2012年6月1日每周到期收益的面板数据,利用变截距固定效应模型对决定公司债券价差的因素进行实证研究。首先根据企业家信心指数、消费者信心指数和企业景气指数分析宏观经济环境变化,然后利用时间序列回归来分析GDP变化率、M2增长率和汇率对公司债券收益率利差的影响,变量的选取依据国内外定性及定量研究。分析发现研究期间,经济有走弱趋势。实证分析表明,汇率对公司债券利差有重要影响。
We research on determinant factors of corporate bond spreads empirically by using variable intercept fixed effects model through weekly panel data yield to maturity between September 19,2008 to June 1 2012 from Shanghai and Shenzhen Stock Exchange corporate bonds. Firstly,macroeconomic environment change is studied with the use of entrepreneur confidence index,consumer confidence and business climate index. Then the impact on corporate bond yield spreads from change in GDP,M2 growth rate and exchange rate is researched with time-series regression. The variable is selected on qualitative and quantitative researches basis. Finally,analysis finds the economy was going down during the study period. What's more,Empirical analysis shows that the foreign exchange rate has a significant impact on corporate bond spreads.
We research on determinant factors of corporate bond spreads empirically by using variable intercept fixed effects model through weekly panel data yield to maturity between September 19,2008 to June 1 2012 from Shanghai and Shenzhen Stock Exchange corporate bonds. Firstly,macroeconomic environment change is studied with the use of entrepreneur confidence index,consumer confidence and business climate index. Then the impact on corporate bond yield spreads from change in GDP,M2 growth rate and exchange rate is researched with time-series regression. The variable is selected on qualitative and quantitative researches basis. Finally,analysis finds the economy was going down during the study period. What's more,Empirical analysis shows that the foreign exchange rate has a significant impact on corporate bond spreads.
引文
[1]BLACK S,JOSHUA K,WILLIAMS T.A history of Australian corporate bonds[J].Australian Economic History Review,2013,53(3):292-317.
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[10]JAHJAH M.Exchange rate policy and sovereign bond spreads in developing countries[J].Journal of Money,Credit and Banking,2013,45(7):1276-1300.
[11]DAVIES A.Credit spread modeling with regime switching techniques[J].The Journal of Fixed Income,2004,14:36-48.
[12]KRAINER J.What determines the credit spread?[J].FRBSF Economic Letter,2004,36:1-3.
[13]TSUJI C.The credit-spread puzzle[J].Journal of International Money and Finance,2005,24:1073-89.
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[15]ALESSANDRINI F.Credit risk,interest rate risk,and the business cycle[J].The Journal of Fixed Income,1999,9:42-53.
[16]HUANG Y,CHEN C R.The effect of fed monetary policy regimes on the US interest rate swap spreads[J].Review of Financial Economics,2007,16:375-99.
[17]BECKWORTH D,MOON K P,TOLES J H.Monetary policy and corporate bond yield spreads[J].Applied Economics Letters,2010,17:1139-1144.
[2]RAEDELS A.Forecasting the MAPM Purchasing Managers’Index[J].Journal of Supply Chain Management,1990(15):34-39.
[3]KAUFFMAN R G.Indicator qualities of the NAPM report on businesss[J].The Journal of Supply Chain Management,1999(35):29-37.
[4]LINDSEY M D,PAVUR R J.As the PMI turns:A tool for supply chain managers[J].Journal of Supply Chain Management,2005(1):30-39.
[5]CARTER C R,ELLRAM L M.Thirty-five years of the journal of supply chain management:Where havewe been and where are we going?[J].Journal of Supply Chain Management,2003,39(2):27-39.
[6]LARRAIN M.The PMI,the T-Bill and inventories:Acomparative analysis of neural network and regression forecasts[J].The Journal of Supply Chain Management,2007(1):39-51.
[7]张雪茹,孙雪晴.信用价差影响因素的宏观视角分析[J].现代商贸工业,2010(23):226-227.
[8]CLARE AD,OOZEER MC,PRIESTLEY R,et al.Modeling the risk premium on eurodollar bonds[J].The Journal of Fixed Income,2000,9:61-73.
[9]KATIUSCIA M.Modeling credit spreads:An application to the sterling eurobond market[J].International Review of Financial Analysis,2002,11:183-218.
[10]JAHJAH M.Exchange rate policy and sovereign bond spreads in developing countries[J].Journal of Money,Credit and Banking,2013,45(7):1276-1300.
[11]DAVIES A.Credit spread modeling with regime switching techniques[J].The Journal of Fixed Income,2004,14:36-48.
[12]KRAINER J.What determines the credit spread?[J].FRBSF Economic Letter,2004,36:1-3.
[13]TSUJI C.The credit-spread puzzle[J].Journal of International Money and Finance,2005,24:1073-89.
[14]CHRISTENSEN J.The corporate bond credit spread puzzle[J].FRBSF Economic Letter,2008,10:1-3.
[15]ALESSANDRINI F.Credit risk,interest rate risk,and the business cycle[J].The Journal of Fixed Income,1999,9:42-53.
[16]HUANG Y,CHEN C R.The effect of fed monetary policy regimes on the US interest rate swap spreads[J].Review of Financial Economics,2007,16:375-99.
[17]BECKWORTH D,MOON K P,TOLES J H.Monetary policy and corporate bond yield spreads[J].Applied Economics Letters,2010,17:1139-1144.