發(fā)布時(shí)間：2018-03-01 02:02

  本文關(guān)鍵詞： 中期票據(jù)市場(chǎng) 流動(dòng)性 流動(dòng)性風(fēng)險(xiǎn)　出處：《湖南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2008年4月15日，中國(guó)人民銀行頒布了《銀行間債券市場(chǎng)非金融企業(yè)債務(wù)融資工具管理辦法》，允許符合條件的非金融企業(yè)在銀行間債券市場(chǎng)向合格機(jī)構(gòu)投資者發(fā)行中期票據(jù)。正如短期融資券是一年以內(nèi)短期貸款的替代品一樣，，中期票據(jù)成為除企業(yè)債、公司債以外重要的中期融資工具，是高信用等級(jí)企業(yè)的3-5年期貸款的替代品。隨著經(jīng)濟(jì)全球化進(jìn)程的加速和國(guó)內(nèi)發(fā)展多層次資本市場(chǎng)體系的要求，我國(guó)中期票據(jù)市場(chǎng)也將面臨國(guó)內(nèi)外眾多資本市場(chǎng)參與者的投融資需求。在這種背景下，開展對(duì)我國(guó)中期票據(jù)市場(chǎng)流動(dòng)性的研究，對(duì)于提高我國(guó)中期票據(jù)市場(chǎng)的質(zhì)量和國(guó)際競(jìng)爭(zhēng)力具有重要的意義，從而更好地發(fā)揮中期票據(jù)市場(chǎng)在完善資本市場(chǎng)結(jié)構(gòu)、分散金融體系風(fēng)險(xiǎn)中的作用。 本文從理論分析、現(xiàn)實(shí)考察、度量研究三個(gè)方面對(duì)我國(guó)中期票據(jù)市場(chǎng)流動(dòng)性進(jìn)行了研究。在理論分析部分，本文依托證券市場(chǎng)微觀結(jié)構(gòu)理論中的價(jià)格發(fā)現(xiàn)理論和市場(chǎng)結(jié)構(gòu)理論對(duì)證券市場(chǎng)的流動(dòng)性進(jìn)行了闡述。在現(xiàn)實(shí)考察部分，系統(tǒng)地梳理了我國(guó)中期票據(jù)市場(chǎng)的發(fā)展歷程，并對(duì)我國(guó)中期票據(jù)市場(chǎng)流動(dòng)性的影響因素及流動(dòng)性不足的成因進(jìn)行了總結(jié)。在度量研究部分，對(duì)中期票據(jù)市場(chǎng)流動(dòng)性的度量采取的是宏觀和微觀層面相結(jié)合，考察目前的流動(dòng)性狀況及其影響因素。對(duì)中期票據(jù)市場(chǎng)流動(dòng)性風(fēng)險(xiǎn)的測(cè)度采取的是VaR方法，將傳統(tǒng)VaR與引入流動(dòng)性風(fēng)險(xiǎn)的VaR進(jìn)行對(duì)比，比較兩種方法測(cè)度市場(chǎng)風(fēng)險(xiǎn)的準(zhǔn)確度，同時(shí)測(cè)度流動(dòng)性風(fēng)險(xiǎn)在市場(chǎng)風(fēng)險(xiǎn)中占有的比重。文章最后在結(jié)合中期票據(jù)市場(chǎng)流動(dòng)性的現(xiàn)實(shí)狀況和研究結(jié)果的基礎(chǔ)上，分別從中期票據(jù)市場(chǎng)供給、中期票據(jù)市場(chǎng)需求、中期票據(jù)市場(chǎng)中介機(jī)構(gòu)和中期票據(jù)市場(chǎng)監(jiān)管四個(gè)方面提出了加強(qiáng)我國(guó)中期票據(jù)市場(chǎng)流動(dòng)性的政策建議。
[Abstract]:April 15th 2008, The people's bank of china has promulgated the measures on the management of debt financing instruments for non-financial enterprises in the interbank bond market, which allows eligible non-financial enterprises to issue interim notes to qualified institutional investors in the inter-bank bond market. Short-term financing bills are like alternatives to short-term loans within a year. As an important medium term financing tool besides corporate bonds and corporate bonds, medium-term notes are a substitute for the 3-5 year loans of high credit grade enterprises. With the acceleration of the process of economic globalization and the requirements of the domestic development of multi-level capital market system, China's medium-term bill market will also face the investment and financing needs of a large number of capital market participants at home and abroad. Under this background, the liquidity of China's medium-term paper market will be studied. It is of great significance to improve the quality and international competitiveness of China's medium-term paper market, and thus play a better role in perfecting the capital market structure and dispersing the risks in the financial system. This paper studies the liquidity of China's medium-term bill market from three aspects: theoretical analysis, practical investigation and measurement research. Based on the price discovery theory and the market structure theory of the securities market, this paper expounds the liquidity of the securities market. The paper also summarizes the influencing factors of liquidity and the causes of lack of liquidity in China's medium-term bill market. In the part of measurement research, the paper combines macro and micro levels to measure liquidity of medium-term bill market. To measure the liquidity risk of medium-term bill market, the VaR method is adopted to measure the liquidity risk. The traditional VaR is compared with the VaR which introduces the liquidity risk, and the accuracy of the two methods is compared. At the same time, the paper measures the proportion of liquidity risk in the market risk. Finally, based on the actual situation and the research results of the medium-term bill market liquidity, the paper separately from the medium-term bill market supply, medium-term bill market demand, This paper puts forward four suggestions on strengthening the liquidity of our country's medium-term bill market from four aspects: intermediary institution of medium-term bill market and supervision of medium-term bill market.
【學(xué)位授予單位】：湖南大學(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7條

1 于鑫;龔仰樹;;中國(guó)股票市場(chǎng)系統(tǒng)流動(dòng)性研究[J];財(cái)經(jīng)科學(xué);2008年04期

2 羅登躍,王春峰,房振明,韓冬;基于時(shí)間序列的上海股市系統(tǒng)風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)溢價(jià)實(shí)證研究[J];系統(tǒng)工程;2005年07期

3 姜海軍;;發(fā)展銀行間市場(chǎng)中期票據(jù)業(yè)務(wù)的重要性分析[J];海南金融;2009年06期

4 陳文麗;;我國(guó)啟動(dòng)中期票據(jù)市場(chǎng)對(duì)銀行業(yè)的影響[J];金融理論與實(shí)踐;2008年07期

5 馬駿;廖士光;;證券市場(chǎng)流動(dòng)性及其影響因素研究[J];上海立信會(huì)計(jì)學(xué)院學(xué)報(bào);2007年04期

6 唐銘帥;;我國(guó)債券市場(chǎng)流動(dòng)性實(shí)證研究[J];河北大學(xué)學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版);2012年05期

7 張金清;梁勇;;流動(dòng)性風(fēng)險(xiǎn)度量:最優(yōu)出清策略下的La_RVaR模型[J];統(tǒng)計(jì)與決策;2007年13期

本文編號(hào)：1549897