我国中期票据信用利差变动影响因素的实证分析

在结构化模型的框架下，采用面板数据模型对我国63支中期票据信用利差变动的影响因素进行了实证分析。实证结果表明：（1）从总体上来看，实证模型能解释大约21．67％的中期票据信用利差的变动，其中宏观层面因素的解释能力达到20．69％，将样本按照发债主体的股东背景进行分组后发现，模型的解释能力并未发生较大幅度的变动，其中非国企样本组的解释能力有了一定程度的改善，达到26．53％i（2）结构化模型中的宏观层面的变量对中期票据信用利差的变动具有显著的影响，其中货币政策的变动对信用利差的影响尤其显著；（3）公司股票的波动率和公司杠杆率的回归系数在各个子样本中均不显著，公司杠杆率系数的显著程度更弱。

Empirical Analysis on the Determinants of Credit Spreads of Medium-Term Notes in China

This paper adopts panel data models to empirically study the factors affecting credit spread changes of medium - term notes under the framework of structural models. The conclusions are as follows: On the whole, the models used in the paper can only explain about 21.67% of the observed credit spread changes. The common factors can explain about 20.69 % of the observed credit spread changes. After grouping the samples in accordance with the background of the issuers' shareholders, we find the explanatory power of the model did not change substantially. The explanatory power of the non - state - owned enterprises group has a certain degree of improvement. The common factors inspired by structural models are statistically significant. Consistent with the empirical findings of prior literatures, we find the changes of monetary policy has significant impact on credit spread changes in terms of both significance and explanatory power. The company- level fundamentals inspired by structural models, including stock price volatility and leverage indicators are not statistically significant.