本文關鍵詞： 公司債券 無風險利率 公司債利差 信用風險 流動性效應　出處：《復旦大學》2012年碩士論文　論文類型：學位論文

【摘要】：公司債作為重要的企業(yè)融資渠道,發(fā)揮著優(yōu)化公司資本結構、優(yōu)化資源配置、分散市場風險、提高市場效率的積極作用。我國公司債起步較晚,2007年長電債的發(fā)行標志著我國公司債的正式起航。截至2011年底我國A股上市公司公司債債發(fā)行規(guī)模約為3000億元,占我國GDP比重0.52%,遠低于發(fā)達國家的163%。這說明我國公司債市場發(fā)債潛力巨大。 由于長期以來我國公司債的定價缺乏一個統(tǒng)一規(guī)范的市場化標準,如何確定公司債券的風險,如何給公司債券合理地定價,如何正確評估公司債券與無風險債券利差以及這種利差受哪些因素的影響,越來越多地受到學者和金融從業(yè)人員的關注。 本文在參考相關文獻的基礎上,結合我國公司債券市場的實際情況,研究了影響我國公司債與國債利率價差的一些因素。通過建立多元回歸模型和實證研究,發(fā)現(xiàn)了一些有意義的結論。公司債券與國債利率差價受宏觀經(jīng)濟環(huán)境的影響顯著,當經(jīng)濟處于繁榮時期,企業(yè)價值增加,違約風險下降,信用利差減少。一些宏觀經(jīng)濟指標例如無風險利率、匯率等,通過反應宏觀經(jīng)濟的走勢而影響公司債券信用利差。并且我國的中期公司債存在著流動性效應。我國的公司債存在流動性效應很大程度上是因為我國公司債市場不發(fā)達,債券存量和交易量遠遠小于發(fā)達金融市場。
[Abstract]:As an important financing channel, corporate bonds play an active role in optimizing the capital structure, optimizing the allocation of resources, dispersing market risks and improving market efficiency. In 2007, the issuance of long electric bonds marked the official departure of corporate bonds in China. As of end of 2011, the issuance scale of bonds of listed companies in China is about 300 billion yuan. The proportion of GDP in China is 0.52%, which is far lower than that in developed countries. For a long time, the pricing of corporate bonds in our country lacks a unified and standardized market-oriented standard, how to determine the risk of corporate bonds and how to reasonably price corporate bonds. More and more scholars and financial practitioners pay more and more attention to how to correctly evaluate the spread between corporate bonds and risk-free bonds and what factors affect the spread. On the basis of reference to relevant literature, combined with the actual situation of our country's corporate bond market, this paper studies some factors that affect the spread of interest rate between corporate bonds and treasury bonds. Through the establishment of multiple regression model and empirical research. Some meaningful conclusions have been found. The difference between corporate bonds and national debt interest rates is significantly affected by the macroeconomic environment. When the economy is in the boom period, the enterprise value increases and the default risk decreases. Reduced credit spreads. Some macroeconomic indicators such as risk-free interest rates, exchange rates, etc. By reflecting the trend of the macro economy, the credit spreads of corporate bonds are affected. Moreover, there is a liquidity effect in the medium term corporate bonds in China. The liquidity effect of corporate bonds in China is largely due to the market of corporate bonds in China. Underdeveloped. Bond stocks and trading volumes are much smaller than developed financial markets.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1460485