【摘要】：企業(yè)債是有價(jià)證券市場(chǎng)上重要的信用債品種。其不僅是涉及公司資本結(jié)構(gòu)來(lái)源的必要融資工具,而且其在二級(jí)市場(chǎng)上價(jià)值的波動(dòng),構(gòu)成了信用風(fēng)險(xiǎn)定價(jià)的基礎(chǔ)。企業(yè)債券市場(chǎng)蓬勃發(fā)展的同時(shí),其價(jià)值確定和信用風(fēng)險(xiǎn)管理也對(duì)投資者提出了更高的要求。尤其2008年8月全面爆發(fā)的美國(guó)次貸危機(jī)(Subprime Crisis),生動(dòng)的闡釋了信用風(fēng)險(xiǎn)管理的重要性和復(fù)雜性。而企業(yè)債券自身收益風(fēng)險(xiǎn)非對(duì)稱性的特點(diǎn),使信用風(fēng)險(xiǎn)難以充分分散化,為投資者投資管理提出了較高的要求,同時(shí)也使其價(jià)格的估計(jì)較為復(fù)雜。而信用利‘差作為企業(yè)債的定價(jià)的核心更是引起國(guó)內(nèi)理論界和具體實(shí)務(wù)界的重視。在理論界國(guó)內(nèi)外學(xué)者研究多集中于研究信用利差的來(lái)源和具體影響因素；在實(shí)務(wù)界操作中,信用債和利率債的多空組合使投資者更加關(guān)注信用利差的變化。隨著我國(guó)銀行間債券市場(chǎng)的蓬勃發(fā)展,企業(yè)債亦發(fā)展迅速,信用利差為理論界和實(shí)務(wù)界所關(guān)注。而對(duì)于信用利差究竟是完全來(lái)自信用違約風(fēng)險(xiǎn),還是承載其它因素并不十分清晰。本文根據(jù)我國(guó)銀行間債券市場(chǎng)情況,以Merton(1974)結(jié)構(gòu)化模型為理論基礎(chǔ)對(duì)我國(guó)銀行間債券市場(chǎng)企業(yè)債信用利差的影響因素來(lái)源和大小進(jìn)行了定性和定量的探索。 在研究方法上,本文首先通過(guò)對(duì)信用利差基礎(chǔ)理論分析,根據(jù)Merton結(jié)構(gòu)化模型從理論上對(duì)信用利差公式進(jìn)行推導(dǎo),得出信用利差是資產(chǎn)波動(dòng)率、利率等變量的函數(shù)。但Merton結(jié)構(gòu)化模型是在完美市場(chǎng)假定下給出的一個(gè)解析解,為更好的從國(guó)銀行間企業(yè)債市場(chǎng)交投方面考慮,深入挖掘影響企業(yè)債信用利差的因素,本文又從我國(guó)企業(yè)債發(fā)行方式、企業(yè)債托管量發(fā)展趨勢(shì)、發(fā)債主體結(jié)構(gòu)以及二級(jí)市場(chǎng)企業(yè)債的投資機(jī)構(gòu)結(jié)構(gòu)和交易方式等幾個(gè)方面對(duì)我國(guó)企業(yè)債的現(xiàn)實(shí)背景進(jìn)行了分析。綜合理論基礎(chǔ)和我國(guó)現(xiàn)實(shí)背景,本文提出把銀行間企業(yè)債信用利差影響因素分為信用風(fēng)險(xiǎn)因素和非信用風(fēng)險(xiǎn)因素兩大方面。其中信用風(fēng)險(xiǎn)因素方面又分為兩個(gè)方向,一是微觀層面?zhèn)l(fā)行主體自身因素,主要包括資本結(jié)構(gòu)、財(cái)務(wù)杠桿以及發(fā)行主體企業(yè)性質(zhì)等因素；二是宏觀層面系統(tǒng)性風(fēng)險(xiǎn),主要包括無(wú)風(fēng)險(xiǎn)利率、通貨膨脹以及反映經(jīng)濟(jì)周期的工業(yè)投資增加值、采購(gòu)經(jīng)理指數(shù)(PMI)等因素。借鑒國(guó)內(nèi)外文獻(xiàn)實(shí)證分析方法,本文從指數(shù)層面和銀行間個(gè)券層面分別構(gòu)建時(shí)序模型和面板數(shù)據(jù)模型,對(duì)信用利差進(jìn)行量化分析。綜合定性和定量分析,本文有如下分析結(jié)論： 1、影響信用利差的信用風(fēng)險(xiǎn)因素方面,微觀層面看,反映企業(yè)財(cái)務(wù)杠桿的資產(chǎn)負(fù)債率變化對(duì)企業(yè)債信用利差影響有限。在第三章分析了企業(yè)債發(fā)行主體構(gòu)成,以國(guó)有企業(yè)背景為主,且在企業(yè)債交投中未曾發(fā)生過(guò)實(shí)質(zhì)性的違約事件,這與政府的“隱性擔(dān)�！狈植婚_(kāi),因而投資者更愿關(guān)注分析發(fā)債主體的背景性質(zhì),從而“揣測(cè)”其信用風(fēng)險(xiǎn),這在國(guó)內(nèi)投資經(jīng)濟(jì)結(jié)構(gòu)環(huán)境中更為實(shí)用。 2、影響信用利差的宏觀層面看,結(jié)構(gòu)化變量利率因素是影響企業(yè)債信用利差的重要因素。不管從指數(shù)層面還是個(gè)券層面的實(shí)證分析中,以10年期國(guó)債收益率表示的無(wú)風(fēng)險(xiǎn)利率變化和國(guó)債收益率期限結(jié)構(gòu)的變化對(duì)信用利差負(fù)相關(guān)。說(shuō)明二者很好的反映了經(jīng)濟(jì)環(huán)境的變化,從而投資者預(yù)期企業(yè)盈利的變化而反映到信用利差的變化上。從加入的10年國(guó)債收益率變化的平方看,其系數(shù)較為顯著,亦即意味著國(guó)債收益率變化對(duì)信用利差的影響是非線性的。 3、從反映宏觀經(jīng)濟(jì)價(jià)格指標(biāo)環(huán)比通貨膨脹看,總體看通貨膨脹環(huán)比和各評(píng)級(jí)企業(yè)債信用利差正相關(guān),即通貨膨脹環(huán)比上升或預(yù)期上升,各期限企業(yè)債信用利差趨于上升。從個(gè)券層面分析的通脹指標(biāo)和信用利差正相關(guān)表明信用債對(duì)通脹預(yù)期較國(guó)債更為敏感。 4、滬深300指數(shù)波動(dòng)率和滬深300指數(shù)收益率在指數(shù)層面和個(gè)券層面有較大不同。從指數(shù)層面來(lái)看,二者變動(dòng)對(duì)信用利差影響微乎其微。不管從期限維度還是評(píng)級(jí)維度實(shí)證分析發(fā)現(xiàn),滬深300指數(shù)波動(dòng)率和滬深300指數(shù)收益率的回歸系數(shù)均趨近于零且不顯著。但從個(gè)券層面看,滬深300指數(shù)波動(dòng)率和滬深‘300指數(shù)收益率對(duì)信用利差負(fù)相關(guān)且顯著,雖然相關(guān)系數(shù)較小。本文分析認(rèn)為個(gè)券層面包含更多的個(gè)性化信息,更多的刻畫(huà)了二者的關(guān)系。從這一結(jié)果中另一方面也可以看到滬深300指數(shù)走勢(shì)反映了經(jīng)濟(jì)周期的變化,至少是企業(yè)庫(kù)存周期的變化趨勢(shì)。 5、流動(dòng)性對(duì)信用利差有負(fù)的影響,即流動(dòng)性越強(qiáng),信用利差將會(huì)越窄,但從實(shí)證結(jié)上看這種效果并不十分明顯。本文采用基于交易頻率的流動(dòng)性變化,刻畫(huà)了企業(yè)債二級(jí)市場(chǎng)流動(dòng)性的變化,從其變動(dòng)趨勢(shì)看,顯示較強(qiáng)的品種依賴和時(shí)間變化(time-varying)特征。由于銀行間債券市場(chǎng)由于“代持”、“過(guò)券”等交易手段,雖然成交量放大,但并不能反映流動(dòng)性引起的信用利差的變化。而從根本上,我國(guó)銀行間企業(yè)債的機(jī)構(gòu)投資者仍以商業(yè)銀行、保險(xiǎn)機(jī)構(gòu)等為主,而此類一般以配置型為主,相較不是特別活躍,從而在實(shí)證分析結(jié)果上看,流動(dòng)性對(duì)信用利差的影響不是特別大。 6、本文在指數(shù)層面實(shí)證模型解釋信用利差變化的35%左右,個(gè)券層面面板數(shù)據(jù)模型只能解釋信用利差變化的20%左右。這與我國(guó)債券銀行間債券市場(chǎng)發(fā)展現(xiàn)狀有很密切的關(guān)系,我國(guó)銀行間債券市場(chǎng)目前仍是單邊市場(chǎng),機(jī)構(gòu)投資者同質(zhì)化嚴(yán)重,以“代持”、“過(guò)券”為代表的虛假成交較多,模型并無(wú)法規(guī)避此中影響,相應(yīng)解釋力較弱。另一方面,從按企業(yè)債債項(xiàng)評(píng)級(jí)的實(shí)證分析結(jié)果的擬合程度看,隨著信用資質(zhì)的降低,模型的解釋力增強(qiáng),這也與國(guó)外實(shí)證結(jié)果一致。通過(guò)指數(shù)層面和個(gè)券實(shí)證結(jié)果證結(jié)果總體對(duì)比發(fā)現(xiàn),二者基本相容。這一方面說(shuō)明了本文實(shí)證結(jié)果的穩(wěn)健性,另一方面也表明了中債登估值數(shù)據(jù)整體的有效性。
[Abstract]:Corporate debt is an important credit loan in the stock market. It is not only a necessary financing tool that involves the source of the capital structure of the company, but also the fluctuation of its value in the two level market, which constitutes the basis of the pricing of credit risk. The higher requirements, especially the Subprime Crisis, which broke out in August 2008, vividly illustrate the importance and complexity of credit risk management, and the asymmetric characteristics of the corporate bond's own income risk make it difficult to divide the credit risk fully and put forward higher requirements for the investment management of the investors, as well as the investment management. The estimation of the price is more complex, and the core of the credit interest 'bad as the pricing of the enterprise debt is more important to the domestic theorists and the concrete practice circles. Investors pay more attention to the change of credit spreads. With the rapid development of the interbank bond market in China, the corporate debt is developing rapidly. The credit spreads are concerned in the theoretical and practical circles. However, it is not very clear whether the credit spreads are entirely from the credit default risk or the other factors. This paper is based on the interbank debt in China. With the Merton (1974) structural model as the theoretical basis, this paper makes a qualitative and quantitative exploration of the source and size of the factors affecting the credit spreads of corporate bonds in the interbank bond market.
In the research method, this paper first analyses the basic theory of credit spreads and deduces the formula of credit difference based on Merton structural model, and concludes that the credit difference is the function of asset volatility, interest rate and other variables. But the Merton structured model is an analytical solution given under the assumption of perfect market. In this paper, the factors that affect the credit spreads of corporate bonds are deeply excavated in the consideration of the exchange and investment of the corporate bond market between China's banks. This paper also comes into the realistic background of China's enterprise debt from several aspects, such as the way of issuing corporate debt, the development trend of corporate debt trust, the main structure of the debt issuance, the structure of the investment institutions and the trading mode of the two level market enterprise debt. On the basis of the comprehensive theory and the realistic background of our country, this paper divides the factors of credit spreads between banks into two aspects: credit risk factors and non credit risk factors. Among them, the credit risk factors are divided into two directions, one is the main factors of the bond issuing subject in the micro level, mainly including the capital structure, Financial leverage and the nature of the enterprise of the main issue; two is the systemic risk at the macro level, mainly including the risk free interest rate, inflation and the value of the industrial investment that reflect the economic cycle, the purchasing manager index (PMI) and other factors. Do not build time series model and panel data model, carry out quantitative analysis of credit spreads.
1, in terms of credit risk factors, the micro level shows that the change of the asset liability rate of corporate financial leverage has limited influence on the credit spreads of corporate bonds. In the third chapter, the main body of the corporate debt issuance is analyzed, which is dominated by the background of the state-owned enterprises, and that the substantive breach of contract has not occurred in the enterprise debt surrender. The "implicit guarantee" of the government can not be separated, so investors are more willing to pay attention to the analysis of the background nature of the subject of debt issuance, so as to "guess" its credit risk, which is more practical in the domestic investment economic structure environment.
2, on the macro level of the credit spreads, the interest rate factor of structured variables is an important factor affecting the credit spreads of corporate bonds. No matter from the index level or the positive analysis of the voucher level, the risk free interest rate change and the change of the bond yield limit structure, expressed by the 10 year Treasury yield, are negatively related to the credit spreads. Two It is a good reflection of the changes in the economic environment, so that the investors expect the change in the profit of the enterprise to reflect the change of credit spreads. From the square of the 10 year return on the yield of national debt, the coefficient is more significant, that is, the change of the yield of the Treasury bond is nonlinear.
3, from the view of the macroeconomic price index, the overall view of the inflation ring ratio is positively related to the credit spreads of the rating enterprise debt, that is, the inflation circle is rising or the expected rise, the credit spreads of the corporate bonds tend to rise in each period. The positive correlation between the inflation index and the credit margin analysis from the level of the voucher level shows that the credit debt is inflationary. It is expected to be more sensitive than Treasury bonds.
4, the Shanghai and Shenzhen 300 index volatility and the Shanghai and Shenzhen 300 index yield are very different between the index level and the voucher level. From the index level, the two changes have little influence on the credit spreads. No matter from the term dimension or the rating dimension empirical analysis, the Shanghai, Shenzhen 300 index volatility and the Shanghai and Shenzhen 300 index return are both convergence. At the level of voucher, the Shanghai and Shenzhen 300 index volatility and the Shanghai and Shenzhen '300 index return are negatively related to the credit spreads, although the correlation coefficient is small. This paper holds that the voucher level contains more personalized information and more portrays the relationship between the two. The CSI 300 index reflects the change of the business cycle, at least the changing trend of the enterprise stock cycle.
5, liquidity has a negative impact on the credit spreads, that is, the stronger the liquidity, the narrower the credit spread will be, but the effect is not very obvious from the empirical analysis. This paper uses the liquidity change based on the trading frequency to depict the changes in the liquidity of the two level market of enterprise debt, showing the strong variety dependence and time change from the trend of its change. Time-varying characteristics. Since the interbank bond market, due to the "holding", "voucher" and other trading means, although the volume of turnover is magnified, it does not reflect the change of credit spreads caused by liquidity. Fundamentally, the institutional investors of the interbank debt in our country are still mainly commercial banks, insurance institutions and so on. As a result, the impact of liquidity on credit spreads is not particularly significant.
6, in this paper, the empirical model of the index level explains about 35% of the change of credit difference, and the voucher level panel data model can only explain about 20% of the change of credit difference, which is closely related to the current situation of bond market development between China's bond banks. The market of the inter-bank bond market in China is still a unilateral market, and the institutional investors are homogeneous and strict. There are more false transactions represented by "holding" and "passing vouchers". The model can not avoid this effect, and the corresponding explanatory power is weak. On the other hand, from the fitting degree of the empirical analysis results of the debt rating of enterprise debt, with the reduction of credit qualification, the release force of the model is enhanced, which is also in agreement with the foreign empirical results. Through the index, the index is also in accordance with the index. The overall comparison of the empirical results between the level and the voucher shows that the two are basically compatible. This aspect shows the robustness of the empirical results, and on the other hand it shows the effectiveness of the overall valuation data.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 戴國(guó)強(qiáng);孫新寶;;我國(guó)企業(yè)債券信用利差宏觀決定因素研究[J];財(cái)經(jīng)研究;2011年12期

2 郭牧炫;魏詩(shī)博;;研究員收益預(yù)測(cè)差異與公司債券信用利差[J];經(jīng)濟(jì)問(wèn)題;2012年01期

3 閔曉平;嚴(yán)武;桂荷發(fā);王磊;;公司債券流動(dòng)性溢價(jià)研究進(jìn)展[J];經(jīng)濟(jì)學(xué)動(dòng)態(tài);2009年06期

4 馮宗憲;郭建偉;孫克;;企業(yè)債的信用價(jià)差及其動(dòng)態(tài)過(guò)程研究[J];金融研究;2009年03期

5 吳育輝;魏志華;吳世農(nóng);;中國(guó)上市公司發(fā)行短期融資券的影響因素分析[J];金融研究;2009年05期

6 胡秋靈;馬麗;;我國(guó)股票市場(chǎng)和債券市場(chǎng)波動(dòng)溢出效應(yīng)分析[J];金融研究;2011年10期

7 周孝坤;;公司債券定價(jià)結(jié)構(gòu)化模型實(shí)證分析[J];社會(huì)科學(xué)家;2006年04期

8 齊天翔;葛鶴軍;蒙震;;基于信用利差的中國(guó)城投債券信用風(fēng)險(xiǎn)分析[J];投資研究;2012年01期

9 江乾坤;;公司債券“信用價(jià)差之謎”探析[J];外國(guó)經(jīng)濟(jì)與管理;2007年02期

10 任兆璋;李鵬;;流動(dòng)性風(fēng)險(xiǎn)對(duì)可違約債券信用利差期限結(jié)構(gòu)的影響[J];系統(tǒng)工程理論方法應(yīng)用;2006年03期

相關(guān)博士學(xué)位論文 前1條

1 李嵐;中國(guó)銀行間債券市場(chǎng)公司債券信用利差決定因素研究[D];南開(kāi)大學(xué);2010年

，

本文編號(hào)：2140408