本文選題：信用利差　切入點(diǎn)：公司債券　出處：《湖南大學(xué)》2016年博士論文　論文類型：學(xué)位論文

【摘要】：從2014年4月份“超日債”違約到“湘鄂債”本金違約、再到首單國(guó)企公募債“11天威MTN2”及中小企業(yè)私募債“13大宏債”相繼爆出違約,債券信用風(fēng)險(xiǎn)風(fēng)險(xiǎn)問(wèn)題變得頻繁。研究代表公司債券信用風(fēng)險(xiǎn)的信用利差問(wèn)題變得具有重要意義。雖然公司債券信用利差問(wèn)題在國(guó)外的研究文獻(xiàn)中已然成熟,但國(guó)內(nèi)學(xué)者從2000年后才關(guān)注這方面的研究,且大多數(shù)是從銀行間債券市場(chǎng)的企業(yè)債券角度展開(kāi),為此,綜合研究證券交易所市場(chǎng)上公司債券信用利差問(wèn)題變得尤為突出。本文以2007年9月至2014年11月間證交所發(fā)行與交易的公司債券為研究樣本,采用以實(shí)證的定量分析為主,以理論的定性分析為輔,綜合研究了宏觀的經(jīng)濟(jì)、市場(chǎng)和地區(qū)制度層面,微觀的公司整體狀況、信息披露和擔(dān)保程度層面,個(gè)券層面的發(fā)行特征、流通性風(fēng)險(xiǎn)等相關(guān)因素對(duì)公司債券利差的影響,并對(duì)比不同層面因素對(duì)債券信用利差的解釋程度。然后,基于N-S模型擬合債券信用利差曲線,分析不同評(píng)級(jí)債券信用利差曲線的自身和相互之間的動(dòng)態(tài)變化特征。首先,本文理論上分析了可能影響公司債券信用利差的宏觀層面因素,結(jié)合公司債券樣本數(shù)據(jù)實(shí)證分析得到:經(jīng)濟(jì)層面上,GDP、GDP波動(dòng)率會(huì)顯著的降低公司債券的信用利差,廣義貨幣供應(yīng)量增大、生產(chǎn)者價(jià)格指數(shù)的擴(kuò)大則會(huì)在相應(yīng)水平下顯著增大公司債券信用利差。而消費(fèi)者價(jià)格指數(shù)這一因素對(duì)于公司債券信用利差的影響不是很顯著。市場(chǎng)層面上,無(wú)風(fēng)險(xiǎn)利率和匯率的提升會(huì)顯著增大公司債券信用利差,股票市場(chǎng)收益波動(dòng)率變化會(huì)在一定層面上降低公司債券信用利差。地區(qū)制度環(huán)境面上,地區(qū)法制環(huán)境越好和市場(chǎng)化程度越高的地區(qū)公司債券信用利差會(huì)顯著的較低�；貧w模型的整體擬合優(yōu)度達(dá)到了0.336,表明宏觀層面因素在解釋公司債券信用利差中占有很重要的比例。其次,本文分析可能會(huì)影響公司債券微觀層面的因素,對(duì)于微觀層面因素的研究更多是考慮影響公司債券信用風(fēng)險(xiǎn)的因素,實(shí)證得到:就微觀層面上公司特有性質(zhì)而言,公司規(guī)模與資產(chǎn)收益率越大,公司債券信用利差會(huì)越小。較高的資產(chǎn)負(fù)債率和較大的現(xiàn)金流波動(dòng)率都會(huì)增大公司經(jīng)營(yíng)的不確定性,提高公司的信用風(fēng)險(xiǎn),從而增大公司債券的信用利差。整體上公司股票波動(dòng)率對(duì)公司債券信用利差的影響是不顯著的。公司信息披露狀況越來(lái)越受到債券投資者的關(guān)注,較低的信息不對(duì)稱程度和較高的信息披露質(zhì)量都會(huì)顯著降低公司債券的信用利差。政府的隱性擔(dān)保程度上,公司有較大的社會(huì)破產(chǎn)成本和產(chǎn)權(quán)性質(zhì)為國(guó)有企業(yè)的公司,因受到政府的特別照顧,公司發(fā)生信用風(fēng)險(xiǎn)的概率較小,公司債券信用利差會(huì)越小。同樣,綜合微觀層面因素的模型整體擬合優(yōu)度達(dá)到了0.372,表明信用風(fēng)險(xiǎn)依然是解釋債券信用利差的主要因素。再次,為分析債券自身層面因素的影響,本文考慮了個(gè)券層面上的債券發(fā)行特征和流動(dòng)性風(fēng)險(xiǎn)等非信用風(fēng)險(xiǎn)的影響因素,研究得到:公司個(gè)券層面上,代表債券信用風(fēng)險(xiǎn)的信用評(píng)級(jí)指標(biāo)、債券發(fā)行規(guī)模會(huì)顯著負(fù)向影響公司債券的信用利差。而剩余期限越長(zhǎng)和發(fā)行期限越長(zhǎng)的債券,信用利差會(huì)普遍較大。在分析公司債券特殊條款時(shí),附有擔(dān)保的債券會(huì)有較小的信用利差,但擔(dān)保條款對(duì)信用級(jí)別較高的債券如AAA的級(jí)別作用效果卻不是很顯著。附有債券時(shí)點(diǎn)回售的債券,信用利差會(huì)顯著比未附有的小。流動(dòng)性因素上,流動(dòng)性越高的債券,信用風(fēng)險(xiǎn)發(fā)生概率越小,債券信用利差也會(huì)越小。綜合分析模型的擬合優(yōu)度時(shí),發(fā)現(xiàn)所有個(gè)券層面因素對(duì)債券信用利差的解釋力度達(dá)到了0.39,高于宏觀層面因素和微觀層面因素,表明個(gè)券層面因素所代表的非信用因素在我國(guó)公司債券信用利差中所占的比重較大。采用非平衡面板數(shù)據(jù)的相關(guān)模型,考慮各層面因素綜合影響,實(shí)證分析所得結(jié)果與前文一致。合理設(shè)計(jì)債券類型,是降低公司債券信用利差的關(guān)鍵。然后,本文探究了不同評(píng)級(jí)公司債券信用利差曲線的結(jié)構(gòu)特征,擬合了AAA、AA+、AA和A A-四種不同評(píng)級(jí)公司債券的信用利差曲線。建立A RMA模型,從模型的調(diào)整的擬合優(yōu)度看,ARMA模型對(duì)公司債券信用利差的擬合更適用于AAA級(jí)、AA+級(jí)和AA級(jí)評(píng)級(jí)序列。檢驗(yàn)ARCH模型得到AAA評(píng)級(jí)和AA+評(píng)級(jí)公司債券信用利差存在波動(dòng)聚集性。通過(guò)構(gòu)建不同評(píng)級(jí)債券信用利差的VAR模型,實(shí)證發(fā)現(xiàn),不同評(píng)級(jí)債券信用利差間的相互關(guān)系較為明顯,但格蘭杰因果檢驗(yàn)得到,任意一評(píng)級(jí)債券的信用利差都不會(huì)受到其余評(píng)級(jí)債券信用利差滯后項(xiàng)的影響。進(jìn)而,本文研究了我國(guó)公司債券市場(chǎng)發(fā)展的現(xiàn)狀,得到我國(guó)公司債券市場(chǎng)發(fā)展規(guī)模不斷擴(kuò)大,但總體上相比其他類型債券占比較小,且發(fā)行期限單一,信用評(píng)級(jí)整體偏高,交易量規(guī)模較小,擔(dān)保類債券占比較大等特點(diǎn)。并從利率政策、地區(qū)制度環(huán)境、信息披露質(zhì)量、擔(dān)保特性(包含隱性擔(dān)保)、債券種類和債券投資策略等方面提出了相應(yīng)的政策建議。最后,總結(jié)了本文所得的結(jié)論,提出了全文研究不足。及時(shí)了解公司債券信用利差的影響因素,分析不同評(píng)級(jí)債券信用利差的變化特征,宏觀上可以完善公司債券市場(chǎng)的發(fā)展,為市場(chǎng)監(jiān)管者提供制定政策的依據(jù)。微觀上,為債券投資者合理持有公司債券,避免信用債違約發(fā)生,減少投資損失提供參考。
[Abstract]:From 2014 to April, the super day debt default to "the principal debt default, the first single to SOE debt raised" Print-Rite MTN2 11 "and" 13 major private debt debt default have burst, credit risk becomes frequent. Bond credit spreads on corporate bonds on behalf of the credit risk has become the significance is already mature. Although the research literature problem of corporate bond credit spreads abroad, but domestic scholars from 2000 to focus on research in this area, and most are launched from the inter-bank bond market and corporate bond angle for comprehensive research on corporate bond credit spreads of stock exchange market has become particularly prominent in this paper. From September 2007 to November 2014 between the stock issuance and trading of corporate bonds as the research sample, using empirical analysis based on the theory of quantitative and qualitative analysis to The auxiliary, comprehensive study of the macro economy, market and system level, the overall situation of micro company, information disclosure and security level, issued a certificate level characteristics, related factors that affect the liquidity risk of corporate bond spreads, and explain the extent of comparison of different level factors on the credit spread. Then, N-S the credit spread curve model fitting based on Dynamic Characteristics Analysis between different rating credit spread curve of the self and mutual. Firstly, this paper theoretically analyzes the influencing factors of macro level corporate bond credit spreads, combined with the empirical analysis of corporate bond data obtained: the economic level, GDP, GDP volatility significantly reduce the corporate bond credit spreads, the broad money supply increases, expanding the producer price index will be in the corresponding level significantly increased the corporate bond credit Spread. And the factors of the consumer price index for the corporate bond credit spreads effect is not obvious. The market level, the risk-free interest rate and exchange rate increase will significantly increase the corporate bond credit spreads, stock market volatility changes will reduce the corporate bond credit spreads in a certain level. The institutional environment on credit the higher the bond spreads the regional corporation area better legal environment and market level will be significantly lower. The regression model of the overall goodness of fit reached 0.336, showed that the macro level factors occupies an important proportion in the interpretation of corporate bond credit spreads. Secondly, this paper analysis the factors which may influence the corporate bonds for the micro level. Study on micro level factors is considered more factors influence corporate bond credit risk: Empirical get micro level company specific nature, Ltd. The scale and asset return rate is higher, corporate bond credit spreads will be smaller. The high rate of assets and liabilities and a larger cash flow volatility will increase the uncertainty in business operations, improve the company's credit risk, thereby increasing the corporate bond credit spreads. The impact on corporate bond credit spreads the stock volatility on the whole it is not significant. More and more company information disclosure by bond investors, the quality of information disclosure is low and a high degree of information asymmetry will significantly reduce the corporate bond credit spreads. The implicit guarantee of government, company social bankruptcy cost and property rights of state-owned enterprises, due to take special care of the government, the smaller probability of company credit risk, corporate bond credit spreads will be smaller. Similarly, the micro level factors model of overall goodness of fit Reached 0.372, shows that the credit risk is still the main factors explaining the bond credit spreads. Thirdly, in order to analyze the effect factors of bond's own level, considering the influence factors, the bond issuance level and characteristics of liquidity risk and non credit risk of the bond are: the company level, on behalf of the bond credit risk the credit rating index, bond issuance may have a significant negative impact on corporate bond credit spreads. The remaining period longer and longer duration of the issuance of bonds, credit spreads are generally larger. In the analysis of corporate bonds special provisions, with guaranteed bonds will have smaller credit spreads, but the terms of the credit guarantee level high level bonds such as AAA effect is not very obvious. With the point of bonds sold back bonds, credit spreads significantly than not accompanied by small. The factor of liquidity, liquidity is higher The bond credit risk probability is small, the bond credit spreads will be smaller and smaller. The comprehensive analysis of the goodness of fit for the model, found the explanation of all bond level factors on bond credit spreads reached 0.39, higher than the macro level factors and micro level, show that the non credit factors represented by bond level factors for our corporate bond credit spreads in a larger proportion. The model of unbalanced panel data, considering the influence of many factors, the empirical analysis results are consistent with the previous design. The reasonable type of bond is the key to reducing the corporate bond credit spreads low. Then, this paper explores the structure characteristics of different bond credit Rating firm spread curve, fitting the AAA, AA+, AA and A A- credit spread curve of four different Rating firm bonds. The establishment of A RMA model, from the goodness of model adjustment degree, ARMA mode Fitting of the corporate bond credit spreads type is more suitable for AAA grade, AA+ grade and AA grade rating sequence. ARCH model AAA rating and AA+ Rating firm bond credit spreads volatility clustering. Through VAR model, construct different rating bond credit spreads the empirical analysis found that the relationship between different rating bond credit spreads between the more obvious but, Grainger causality test, any rating bond credit spreads are not affected by lag other rating bond credit spreads the effect. Then, this paper studies the present situation of development of China's corporate bond market development, the scale of China's corporate bond market continues to expand, but on the whole, compared with other types of bonds accounted for a relatively small, and issued for a period of a single, credit rating overall high, trading volume smaller, guarantee bonds accounted for relatively large area. And from the interest rate policy, system environment, letter Information disclosure quality, guarantee characteristics (including implicit guarantee), put forward the corresponding policy proposal bond type and bond investment strategy. Finally, summarizes the conclusions of this paper put forward the research deficiency. Timely understanding of the factors influencing corporate bond credit spreads, analysis of the variation characteristics of different rating bond credit spreads, macro it can improve the development of corporate bond market, provide policy basis for market regulators. The micro, as bond investors reasonably hold corporate bonds, avoid credit debt default, loss of reference to reduce the investment loss.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832.51

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