公司债券利差影响因素实证的研究.pdf

堑婆王西太堂亟±j盆塞 公司厦鲞刭羞髭煎崮丞殴塞运受盈 利率、收益率斜率、股票指数收益率、信用等级以及剩余期限等与利 差都为负相关，公司的杠杆比率与利差关系为正，合同中的回售条款 与利差相关性为正但并不稳健。另外，股票市场波动率指标和发行规 模与利差关系不显著，代表流动性因素的换手率虽然影响显著但方向 相反。最后，根据实证结果本文提出了一些政策建议，对未来公司债 券市场的发展具有一定的指导和借鉴意义。 关键词： 公司债券利差，影响因素，Nelson．Siegel模型 II ANEN口ⅡUCALANAIYSISl0FINFLⅦNCINGR～CTORS OF ATEBONDSPREADS COPOR IlYUlll2llll5lllqll3lllllIIIIIIIIIIIIIIIIIIIIIl49Y2533 ABSTRACT Withthe of tousethe markets，how rapiddevelopmentcapital resourcesofthemarkettoenhancethe valuehasbecomean company’S for an ofdirect issuelisted important companies．Asimportantway statusof bondsinthebondmarkethasbecome financing，Thecorporate its and moreandmore distribution important．Since systemissuing methodsare influencedthe differentfromthe greatly by market,it senseofthe bonds．Itis becauseofits general corporate precisely high marketizationcredit which therisksandvalueof level，thespreadweighs the bondshas been withinvestorsandissuers company alwayspopular foCUSon． Inthis reviewtherelatedliteratureabout paper,wefirstly factorsof bond the influencing corporatespreads，analysisimportant factorswhich the fromthemacroandmicro affectingspreads