本文選題：供求關(guān)系 + 資金面��； 參考：《南京大學(xué)》2013年碩士論文

【摘要】：近年來(lái),國(guó)內(nèi)債券市場(chǎng)蓬勃發(fā)展,以企業(yè)債、中期票據(jù)為主的信用產(chǎn)品發(fā)展速度驚人。因此,研究債券收益率或者說(shuō)債券價(jià)格的影響因素成為機(jī)構(gòu)投資者購(gòu)買合適債券的重中之重。投資者只有在準(zhǔn)確預(yù)測(cè)價(jià)格走勢(shì)的情況下才一可能獲利；同時(shí),研究債券市場(chǎng)的流動(dòng)性也是預(yù)測(cè)利率水平的重要方面,深入對(duì)流動(dòng)性的研究可以提前了解債券價(jià)格波動(dòng)方向以及政策基本面情況,為投資者進(jìn)行投資決策提供了有利支持。 目前,商業(yè)銀行是銀行間債券市場(chǎng)主要參與者,持有的債券占到總量的60%-65%,是銀行間債券市場(chǎng)的絕對(duì)主力。進(jìn)一步細(xì)分,全國(guó)性商業(yè)銀行是銀行間債券市場(chǎng)的主要投資者,但從成交量來(lái)看,城市商業(yè)銀行更為活躍。商業(yè)銀行資產(chǎn)配置主要分成兩塊,由客戶貸款和債券投資構(gòu)成,其中客戶貸款約古商業(yè)銀行總資產(chǎn)的50%左右,而債券投資占總資產(chǎn)20%左右,債券投資占總資產(chǎn)的比重近年來(lái)有所增長(zhǎng)。債券投資所獲得的收入增長(zhǎng)較快,已經(jīng)成為僅次于貸款利息收入商業(yè)銀行的主要利潤(rùn)來(lái)源,但是,貸款利息收入在短期內(nèi)仍將是商業(yè)銀行的收入主要來(lái)源,在過(guò)去的很多年了,貸款收益率普遍高于債券的收益率。作為債券市場(chǎng)的主力,銀行的持債行為及其變化對(duì)債券市場(chǎng)有深遠(yuǎn)的影響,深刻理解這種影響對(duì)于我們研究判斷債券市場(chǎng)走向具有重要意義。 中高等級(jí)信用債需求方面由銀行體系資金面決定,對(duì)于銀行體系來(lái)說(shuō),資金面就是銀行類金融機(jī)構(gòu)在中央銀行的超額存款準(zhǔn)備金,在實(shí)踐運(yùn)用中,金融機(jī)構(gòu)對(duì)十銀行體系流動(dòng)性的預(yù)測(cè),一般用超額存款準(zhǔn)備金率或超額存款準(zhǔn)備金的絕對(duì)規(guī)模來(lái)衡量,其被廣泛視作衡量銀行體系流動(dòng)性情況的指標(biāo)。另一個(gè)影響銀行對(duì)債券需求的因素是信貸政策的變化,理論上講,經(jīng)濟(jì)快速增長(zhǎng)階段,銀行加速信貸擴(kuò)張,信貸資產(chǎn)增加對(duì)于銀行的債券投資具有擠出效應(yīng),而在經(jīng)濟(jì)增速回落時(shí),貸款風(fēng)險(xiǎn)上升以及信貸資產(chǎn)收益率下降使得信貸增速放緩,商業(yè)銀行債券投資需求增加。 針對(duì)目前國(guó)內(nèi)學(xué)術(shù)界在債券市場(chǎng)研究上偏重于定性研究和理論綜述的特點(diǎn),本文通過(guò)理論結(jié)合實(shí)證分析,研究了銀行超額存款準(zhǔn)備金,新增人民幣貸款以及債券發(fā)行量對(duì)高等級(jí)企業(yè)債、中期票據(jù)到期收益率的影響。研究結(jié)果表明,長(zhǎng)期限的債券到期收益率受資金面的影響比較��；信用風(fēng)險(xiǎn)越高的債券其到期收益率越容易受到市場(chǎng)資金面的影響；超額存款準(zhǔn)備金對(duì)到期收益率并沒(méi)有影響；新增人民幣貸款上升導(dǎo)致到期收益率下降；信用債發(fā)行量上升帶來(lái)到期收益率上行壓力;利率債發(fā)行量上升促使到期收益率下降。 本文的實(shí)證研究是債券市場(chǎng)流動(dòng)性研究的一個(gè)創(chuàng)新,對(duì)投資實(shí)踐具有一定的意義,通過(guò)跟蹤每月的新增人民幣貸款、債券發(fā)行量以及外匯占款、公開(kāi)市場(chǎng)操作、財(cái)政存款、法定存款準(zhǔn)備金率和現(xiàn)金等多個(gè)宏觀數(shù)據(jù),投資者可以判斷中高等級(jí)信用債到期收益率的變動(dòng)方向和大致走勢(shì),為提高組合到期收益率提供決策依據(jù)。在實(shí)務(wù)界廣泛運(yùn)用超額存款準(zhǔn)備金作為債券需求關(guān)鍵影響因素的背景下,通過(guò)相關(guān)的理論研究以及對(duì)一系列不同信用等級(jí)的債券到期收益率的實(shí)證分析得出超額存款到期收益率并不影響到期收益率的結(jié)論,可謂是顛覆了實(shí)務(wù)界原有的一些觀點(diǎn)。但由于數(shù)據(jù)的偏少以及數(shù)據(jù)波動(dòng)性較大,對(duì)研究結(jié)果產(chǎn)生一定影響,但是作為探索性、先驅(qū)性的研究而言,本文的研究依然存在較大價(jià)值,今后可以尋找其他反映債券供需的高頻數(shù)據(jù)來(lái)對(duì)到期收益率做實(shí)證分析,更加準(zhǔn)確的得出相關(guān)結(jié)論。
[Abstract]:In recent years, the domestic bond market has flourished, and the growth rate of credit products based on corporate debt and medium-term bill is remarkable. Therefore, it is the most important factor to study the bond yield or the influence factors of the bond price. The investor is only likely to make a profit only if the price trend is accurately predicted. At the same time, the study of the liquidity of the bond market is also an important aspect of the prediction of the interest rate level. Deep convective research can understand the direction of the bond price fluctuation and the basic situation of the policy ahead of time, which provides favorable support for investors to make investment decisions.
At present, commercial banks are the main participants in the inter-bank bond market, the bonds held in the total amount of 60%-65%, the absolute main force of the inter-bank bond market. Further subdivision, the national commercial bank is the main investor in the inter-bank bond market, but from the volume of business, the city commercial bank is more active. It is divided into two pieces, consisting of customer loan and bond investment, in which the customer loan is about 50% of the total assets of the old commercial bank, while the bond investment accounts for about 20% of the total assets, and the proportion of the bond investment in the total assets has increased in recent years. The income of the bond investment has increased rapidly and has become a commercial bank second only to the interest income of the loan. The main source of profit is, however, the loan interest income will still be the main source of income of commercial banks in the short term. In the past many years, the yield of the loan is generally higher than the yield of the bond. As the main force of the bond market, the bank's debt holding behavior and its changes have a profound influence on the bond market. It is of great significance to study and judge the trend of the bond market.
The demand for middle and high grade credit is determined by the capital side of the bank system. For the banking system, the capital side is the excess deposit reserve of the bank financial institutions in the central bank. In practice, the prediction of the liquidity of the ten banking system by the financial institutions generally uses the absolute reserve reserve ratio or the excess deposit reserve. In scale, it is widely seen as an indicator of the liquidity of the bank system. Another factor that affects the bank's demand for bonds is the change in the credit policy. In theory, the rapid growth stage of the economy, the bank's acceleration of credit expansion, the increase of credit assets for the bond investment of the bank, and the decline in economic growth. At the same time, the increase in loan risk and the decline in credit assets yield slowed down credit growth and increased demand for commercial bank bond investment.
In view of the characteristics of the qualitative research and theoretical review on the bond market research in the domestic academia, this paper studies the effect of the bank excess deposit reserve, the new RMB loan and the bond issuance on the high grade debt and the maturity rate of maturity by the theory combined with empirical analysis. The maturity of the bond is less affected by the capital surface; the higher the credit risk, the more the maturity yield is affected by the market capital; the excess deposit reserve has no effect on the maturity yield; the rise of the new RMB loans leads to the decline in the maturity yield; the rise of the credit issue is due to maturity. The upward pressure on yields; the rise in interest rate debt issuance pushed down yields.
The empirical study of this paper is an innovation in the liquidity study of the bond market, which is of certain significance to the investment practice. By tracking the monthly new RMB loans, the amount of the bond issuance and the foreign exchange occupied, the open market operation, the financial deposit, the statutory deposit reserve ratio and the present gold, the investors can judge the middle and high levels. The changing direction and general trend of the maturity rate of credit maturity to provide a decision basis for improving the rate of maturity of the combined maturity. In the context of the application of the excess deposit reserve as the key factor for the bond demand in the practical field, the relevant theoretical research and a series of empirical studies on the maturity yield of bonds that are different from the credit rating are carried out. The conclusion is that the expiration rate of excess deposit does not affect the rate of yield due to maturity. It can be described as subverting some of the original views of the practice circle. However, due to the little data and the greater volatility of data, it has a certain impact on the research results, but as an exploratory and pioneer research, the research of this paper still has great value. In the future, we can find other high frequency data reflecting the demand and supply of bonds to make an empirical analysis of the yield to maturity, and draw more accurate conclusions.
【學(xué)位授予單位】：南京大學(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 孫建潮;;基于宏觀角度的商業(yè)銀行流動(dòng)性過(guò)剩分析[J];財(cái)經(jīng)科學(xué);2006年07期

2 駱振心;楊謹(jǐn)夫;;財(cái)政政策如何影響貨幣政策效果:財(cái)政存款渠道[J];南方金融;2012年09期

3 賈春新;;國(guó)有銀行與股份制銀行資產(chǎn)組合配置的差異研究[J];經(jīng)濟(jì)研究;2007年07期

4 賈鐵山;;財(cái)政存款流失對(duì)銀行流動(dòng)性影響問(wèn)題初探[J];金融會(huì)計(jì);2008年12期

5 唐毅亭;韓冬;盧宇榮;;公開(kāi)信息與流動(dòng)性——基于銀行問(wèn)債券市場(chǎng)的實(shí)證研究[J];金融研究;2006年09期

6 李止戈;吳海賢;;我國(guó)商業(yè)銀行流動(dòng)性現(xiàn)狀及對(duì)策分析[J];技術(shù)與市場(chǎng);2007年02期

7 林峰;;銀行體系超額存款準(zhǔn)備金率的“超調(diào)”現(xiàn)象分析——超額存款準(zhǔn)備金率不是衡量銀行體系流動(dòng)性的良好指標(biāo)[J];現(xiàn)代管理科學(xué);2011年06期

8 龔斌恩;關(guān)于我國(guó)債券市場(chǎng)長(zhǎng)期收益率的思考[J];新金融;2003年06期

9 郭泓;武康平;;債券市場(chǎng)流動(dòng)性及其相關(guān)問(wèn)題研究[J];西南民族大學(xué)學(xué)報(bào)(人文社科版);2005年12期

10 康衛(wèi)華;從資源配置角度看信貸市場(chǎng)、債券市場(chǎng)及股票市場(chǎng)的相關(guān)性[J];中國(guó)金融;2003年12期

相關(guān)碩士學(xué)位論文 前2條

1 吳婭媛;關(guān)于中國(guó)銀行間債券市場(chǎng)流動(dòng)性問(wèn)題的思考[D];西南財(cái)經(jīng)大學(xué);2011年

2 沈凡;我國(guó)商業(yè)銀行債券業(yè)務(wù)策略研究[D];安徽大學(xué);2006年

，

本文編號(hào)：2000243