發(fā)布時間：2018-02-27 03:16

  本文關(guān)鍵詞： 企業(yè)債券信用利差 波動特征 宏觀影響因素 多元線性回歸　出處：《天津財經(jīng)大學》2012年碩士論文　論文類型：學位論文

【摘要】：企業(yè)債券作為企業(yè)融資的重要途徑之一,在資本幣場中扮演著重要的角色。因此,正確而全面地認識企業(yè)債的信用風險對推動我國企業(yè)債幣場健康快速發(fā)展具有重要意義。 本文以滬深兩市的國債和主體信用級別為AAA、AA+的固定利息企業(yè)債券的相關(guān)數(shù)據(jù)信息為基礎(chǔ),得到我國企業(yè)債券信用利差序列,通過對AAA、AA+總信用利差以及AAA、AA+信用級別的工業(yè)和公用行業(yè)的企業(yè)債信用利差序列構(gòu)建ARMA-GARCH隨機時間序列模型研究其各自的波動特征。實證結(jié)果顯示我國企業(yè)債市場是可以通過對信用利差的波動特征分析,預(yù)測其未來的走勢。此外還得到了從A企業(yè)債信用利差受過去的外部擾動的影響程度大于AA+企業(yè)債。同時,本文選取影響企業(yè)債券信用利差的宏觀經(jīng)濟因素與流動性因素等相關(guān)指標數(shù)據(jù)作為解釋變量,通過多重共線性檢驗和多元線性回歸分析對以上6種企業(yè)債券信用利差的影響因素進行實證研究,得到我國企業(yè)債信用利差受利率和匯率影響較顯著,其中AA+企業(yè)債信用利差受利率影響比AAA企業(yè)債敏感的結(jié)論,以及在對工業(yè)類企業(yè)債券信用利差的宏觀影響因素分析中得到AAA企業(yè)債更具研究的代表性等結(jié)論。在實證結(jié)果的基礎(chǔ)上,本文提出了推動利率市場化以及企業(yè)債券去擔保化發(fā)行等政策建議。 但是,由于我國企業(yè)債發(fā)行數(shù)量較少導(dǎo)致實證研究的樣本數(shù)據(jù)有限,加之宏觀解釋變量選擇的合理性有待考察以及未將微觀層面的影響因素納入多元回歸模型等不足會使本文實證結(jié)果和理論分析有些不符并存在一定局限性。
[Abstract]:Corporate bonds, as one of the important ways of enterprise financing, play an important role in the capital currency market. Therefore, it is of great significance to correctly and comprehensively understand the credit risk of corporate bonds in order to promote the healthy and rapid development of the enterprise bond market in China. Based on the national debt of Shanghai and Shenzhen stock market and the relevant data of fixed interest enterprise bond with AAACAA credit grade, this paper obtains the sequence of credit spreads of Chinese corporate bonds. By constructing the ARMA-GARCH stochastic time series model for the total credit spread of AAA ACA AA and the corporate bond credit spread sequence of the AA AA AA credit grade, the empirical results show that the enterprise bond market in our country is characterized by the fact that the market of corporate bonds is a kind of enterprise bond market in China. By analyzing the fluctuating characteristics of credit spreads, Forecast its future trend. In addition, it is found that the credit spreads from A corporate bonds are more affected by the past external disturbances than the AA corporate bonds. At the same time, In this paper, macroeconomic factors and liquidity factors affecting corporate bond credit spreads are selected as explanatory variables. Through multiple collinear test and multivariate linear regression analysis, the paper makes an empirical study on the influencing factors of the credit spreads of the above six kinds of corporate bonds, and concludes that the credit spreads of corporate bonds in China are significantly affected by interest rate and exchange rate. Among them, the credit spreads of AA corporate bonds are more sensitive to the interest rate than AAA corporate bonds. And in the analysis of macroscopical factors affecting the credit spreads of industrial enterprises, we get the representative conclusion that AAA corporate bonds are more representative. On the basis of the empirical results, This paper puts forward some policy suggestions such as promoting marketization of interest rate and debenture issuance of enterprise bonds. However, due to the small amount of corporate bond issuance in China, the sample data of empirical research are limited. In addition, the rationality of macro explanatory variable selection needs to be investigated and the influence factors at micro level are not incorporated into the multivariate regression model, which will make the empirical results of this paper and theoretical analysis somewhat inconsistent and have some limitations.
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

中國期刊全文數(shù)據(jù)庫 前10條

1 王能華;;分數(shù)O-U過程下信用風險結(jié)構(gòu)化模型[J];安慶師范學院學報(自然科學版);2008年04期

2 張燃;;信用價差變化的決定因素——一個宏觀視角[J];當代財經(jīng);2008年09期

3 張榆;鄢濤;;信用風險度量之結(jié)構(gòu)型模型和簡化型模型的比較與融合[J];福州大學學報(哲學社會科學版);2007年04期

4 肖慶憲;肖喻;;信用價差的動態(tài)模型及其在期權(quán)定價中的應(yīng)用[J];上海理工大學學報;2007年03期

5 任兆璋;李鵬;;中國企業(yè)債券價差個體性影響因素的實證分析[J];華南理工大學學報(社會科學版);2006年01期

6 陸文磊;;我國信用利差與基準利率關(guān)系實證研究[J];價格月刊;2008年10期

7 郭樂琴;鄭小芬;;外部信用評級結(jié)果使用現(xiàn)狀與思考[J];經(jīng)濟師;2009年07期

8 馮宗憲;郭建偉;孫克;;企業(yè)債的信用價差及其動態(tài)過程研究[J];金融研究;2009年03期

9 劉小莉;;信貸組合中兩組相關(guān)性的聯(lián)合度量研究——違約相關(guān)性和信用風險與利率風險相關(guān)性[J];生產(chǎn)力研究;2006年07期

10 程文衛(wèi);;我國交易所上市企業(yè)主體債券利差的影響因素研究[J];生產(chǎn)力研究;2009年08期

中國碩士學位論文全文數(shù)據(jù)庫 前3條

1 陳施微;我國企業(yè)債券利差影響因素的實證研究[D];浙江大學;2008年

2 孫成濤;債券信用利差影響因素實證分析[D];華東師范大學;2010年

3 方華;中國企業(yè)債券信用價差影響因素實證研究[D];湖南大學;2010年

，

本文編號：1540886