摘要
基于2008年4月至2009年11月的月数据,本文实证结果表明,中期票据信用利差的变化与10年期国债收益率、中期票据月成交频率、固定资产投资同比增速、PMI以及M2与M1同比增速之差的变化负相关,且回归系数大多显著。然而,模型解释力不足30%,与国外实证结论一致。同时,模型解释力随财务杠杆的上升和信用资质的降低而提高,随剩余期限的缩短和股东背景的增强而提高。后者与现有研究相悖,主要原因可能是中期票据发行利率及收益率存在顶板效应。
We conduct an empirical research on the determinants of changes in the credit spread of China’s Medium Term Notes （MTNs） using monthly data from April 2008 to November 2009, and discover a significantly negative correlation between the changes in credit spreads of MTNs and the changes in 10-year treasury yields, the monthly trading frequency of MTNs, the YoY growth rate of fixed asset investment, PMI, as well as the difference between YoY growth rates of M2 and M1. We also find that the model can only explain less than 30% of the changes in the credit spread of MTNs. Furthermore, the explanatory power of the model increases as the issuer’s credit quality deteriorates, as the leverage ratio climbs, as the time to maturity reduces, and as the shareholder’s credit quality strengthens. The latter two findings are contrary to existing literature, maybe due to the ceiling effect of the coupon rate and the YTM of MTNs.
出处
《证券市场导报》
CSSCI
北大核心
2010年第8期73-77,共5页
Securities Market Herald
关键词
中期票据
信用利差
企业债
债务工具
MTNs
credit spreads
corporate bonds
debt instruments
