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本文结合中国公司债券市场发展实际，从“信用价差之谜”出发，以信用
价差分解理论为基础，从违约风险、流动性风险、宏观经济指标以及市场风险
四方面来研究公司债券信用价差。通过层层筛选，最终从沪深交易所选取 91 支
样本公司债券，截取 2013 年 1 月至 2015 年 12 月 36 个月度交易数据。在实证
分析部分，为了研究违约风险、流动性风险、宏观经济指标以及市场风险对公
司债券信用价差的影响，本文使用面板数据分析方法，经过两个步骤的模型筛
选，最终选定固定效应模型来进行分析。同时对样本数据从行业、期限和信用
等级三个维度进行分组来研究各因素对信用价差的影响程度。在对样本进行整
体和分组面板数据固定效应模型分析后，利用固定效应变换法对各因素进行分
位数回归分析，从各个分位点上更为细致深入的分析各因素对信用价差的影响
过程
由实证分析结果可得到如下结论：（1）在固定效应模型分析中，假设H 、H 、H 、H 、H 、H 、H 均得到了实证数据结果支持，其中假设H 中杠
杆比率与信用价差显著负相关，这与 Merton 模型预期不一样。假设H 中流动性
指标换手率和零交易天数比率与信用价差显著正相关，这与预期假设相反，而
非流动性指标 Amihud 与信用价差相关性不显著。（2）在样本分组回归结果中
发现，不同行业、不同期限和不同信用等级信用价差的影响因素有差异。（3）
在分位数回归分析中，发现有些因素在整体回归中与信用价差显著相关，但在
分位数回归中这些因素并非在所有分位点上都与价差相关性显著。同时除无风
险利率和杠杆比率外，其他变量与信用价差之间的关系与整体回归模型中一致，
说明这些变量对公司债信用价差的影响是稳健的
关键字：公司债；信用价差；面板数据分析；分位数回归分析III
Abstract
Corporate bonds has becom e an important way of direct financing because of its
low financing cost, and its r isk neutrality and profit stability are favored by
institutional investors. The credit spread is the basis of Corporate bonds pricing, can
effectively measure the rela tive value of corp orate bonds and risk incom e level.
Based on the issuance of corporate bonds in Ch ina, due to the late issuance tim e, the
early release of a small number of factors such as the impact of domestic debt credit
spreads on the relatively s mall, credit risk measurement and control technology is
lagging behind. Therefore, on the basis of the research results of mature foreign bond
market, it is very important to study the influence of corp orate credit and the control
of credit risk by combining the characteristics of corporate bond market in China.
Based on the theory of credit spreads, this paper studies the credit spreads of
corporate bonds from the aspects of defa ult risk, liquidity risk, m acroeconomic
indicators and m arket risk, based on the reality of the developm ent of Chinese
corporate bond m arket. Through layers of screening, and ultim ately from the
Shanghai and Shenzhen S tock Exchange selected 91 sam ple corporate bonds,
intercepted from January 2013 to Decem ber 2015 36 months of transaction data. In
order to study the impact of default risk, liquidity risk, macroeconomic indicators and
market risk on the credit spread of corpor ate bonds, this paper uses the panel data
analysis method, the two-step m odel selection, and finally selected the fixed ef fect
model. To analyze. At the sam e time, the s ample data are div ided into th ree
dimensions: industry, term and credit lev el to study the influence of each factor on
credit spread.After the analysis of the sample and the panel data fixed ef fect model,
the fixed effect transformation method was used to carry out the fractional regression
analysis of each factor , and the inf luence of each factor o n the credit spread was
analyzed in detail from each sub-position.
The empirical results show that: (1) In th e fixed effect model analysis, the
assumptionsH 、H 、H 、H 、H 、H 、H are supported by the empirical data,in
assumptionH which the leverage ratio is negatively correlated with the credit spread,
which is related to the Merton model Expected not the same. AssumptionH that the
ratio of liquidity index and zero-trading da ys is positive ly correlated with cred itIV
spreads, this is contrary to the expected assumptions, while the non-liquidity indicator
Amihud has no significant correlation with credit spreads. (2) In the regression results
of the sa mple group, it was found that the influence factors of credit spreads in
different industries, different periods and different credit grades were different. (3) In
the regression analysis of the quantile, it w as found that some factors were
significantly correlated with the cr edit spread in the over all regression, but these
factors were not significantly correlated with the spread at all the loci in th e
regression of the quantile. At the sam e time, the relationship between the other
variables and the credit spreads is consistent with the overall regression model, which
shows that the impact of these variables on the corporate credit spread is stable.
Key words: corporate bondscredit spreadspanelda ta analysis quantile regression
analysis1
目录
摘要..... I
AbstractIII
目录.......1
第 1 章 绪论.....1
1.1 研究背景.1
1.2 研究目的与研究意义.....4
1.2.1 理论意义......4
1.2.2 实践意义.......5
1.3 研究内容与研究方法.....5
1.3.1 研究内容......5
1.3.2 研究方法......6
1.4 技术路线图.........7
1.5 本文创新之处.....8
第 2 章 相关概念与文献综述.9
2.1 研究目标界定.....9
2.1.1 公司债与企业债......9
2.1.2 信用风险与信用价差........10
2.2 “信用价差之谜”理论...........11
2.2.1 信用价差分解理论11
2.2.2 信用风险分散困境理论....11
2.3 文献综述...........12
2.3.1 信用风险定价模型文献综述........12
2.3.2 信用价差影响因素文献综述........15
第 3 章 公司债信用价差影响因素模型构建...........23
3.1 中国公司债市场整体概况.......23
3.1.1 从发债主体所处行业角度25
3.1.2 从债券信用评级角度........26
3.1.3 从债券发行期限角度........272
3.2 信用价差影响因素分析和研究假设...28
3.2.1 宏观经济层面...........
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