總體經濟與內部因素對中國企業債券價格影響分析

An Analysis of the Impacts of Macroeconomics and Internal Factors on Corporate Bond Prices

陳冠志(Guan-Chih Chen) ； 林倚敏(Yi-Min Lin)

《科際整合管理研討會》 2018第20屆 (2018/08) Pp. 878-892

https://doi.org/10.6495/CIMBM.201806.0059

摘要

本文主要研究總體經濟因素與內部因素對企業債券價格的影響。選取上海證券交易所交易上市的101支企業債券2013年到2015年的季度資料作為樣本。首先運用描述性統計對企業債券價格以及總體經濟和內部各變數進行初步的分析，再利用多元線性迴歸分析深入研究總體經濟因素與內部因素對企業債券價格的影響，通過比對縮減模式與全模式下迴歸後的偏判定係數來驗證總體經濟因素所能解釋企業債券價格的比例。實證研究結果顯示，內部因素方面，發行期限對債券價格有顯著負向影響；名義利率、總資產收益率對企業債券價格有顯著正向影響。總體經濟因素方面的，廣義貨幣供應量對企業債券價格有顯著正向影響；工業品出廠價格指數對企業債券價格有顯著負向影響。

關鍵字

企業債券 ； 債券價格 ； 總體經濟因素 ； 內部因素

並列摘要

This paper mainly studies the impact of macroeconomic factors and internal factors on corporate bond prices and selects the quarterly data of 101 corporate bonds listed on the Shanghai Stock Exchange from 2013 to 2015 as samples. First, the descriptive statistics are used to analyze the corporate bond price as well as the macroscopic and internal variables, and multiple linear regression analysis is used to explore the impact of the macroeconomic factors and internal factors to the price of corporate bonds. The impact of the bond price, by comparing the reduction model and the full pattern of regression after the partial judgment coefficient to verify the macroeconomic factors can explain the ratio of corporate bond price. The empirical results show that the bond period has negatively effect on the corporate bond price, but the nominal interest rate and the total assets yield have positively effect on the corporate bond price. For macroeconomic factors, the broad money supply positively affects corporate bond prices, but nominal interest rate and the total assets yield have positively effect on the corporate bond price. For macroeconomic factors, the broad money supply positively affects corporate bond prices, but industrial producer price index negatively affects corporate bond price.

並列關鍵字

corporate bond ； bond price ； macroeconomic factor ； internal factor