本文選題：中期票據(jù) + 信用利差　； 參考：《江西財(cái)經(jīng)大學(xué)》2017年碩士論文

【摘要】：中期票據(jù)自2008年在我國(guó)銀行間債券市場(chǎng)正式發(fā)行流通以來,以一種后來者居上的態(tài)勢(shì)扮演著市場(chǎng)中越來越重要的融資工具角色。中期票據(jù)與所有的信用債一樣,存在信用利差現(xiàn)象,即為了彌補(bǔ)投資者承擔(dān)中期票據(jù)發(fā)行方違約的風(fēng)險(xiǎn)而高于無風(fēng)險(xiǎn)利率的利差。因此,信用利差可作為投資者的一種手段來推斷中期票據(jù)的信用風(fēng)險(xiǎn)情況,從而做出最有利的投資決策。在學(xué)術(shù)界,針對(duì)信用債存在的信用利差進(jìn)行過大量的研究,但尚未得出一個(gè)統(tǒng)一的結(jié)論。研究中期票據(jù)信用利差的影響因素及其影響的過程,將對(duì)投資者在進(jìn)行投資品種、投資時(shí)點(diǎn)等方面的選擇提供幫助;同時(shí),有助于監(jiān)管層制定出一個(gè)被市場(chǎng)接受的指導(dǎo)價(jià)格,從而有助于使我國(guó)信用債交易更加順暢。目前,對(duì)于國(guó)內(nèi)中期票據(jù)信用利差的相關(guān)學(xué)術(shù)研究很少,更缺少在實(shí)證研究的基礎(chǔ)上得出對(duì)我國(guó)中期票據(jù)市場(chǎng)存在的現(xiàn)實(shí)性問題的研究,因此,本文對(duì)此進(jìn)行研究將有助于豐富已有的研究成果。本文首先從我國(guó)中期票據(jù)的概念、發(fā)展歷程、風(fēng)險(xiǎn)因素等方面進(jìn)行了定性分析,然后利用模型對(duì)我國(guó)中期票據(jù)信用利差影響因素進(jìn)行實(shí)證研究,最后利用本文得到的中期票據(jù)信用利差影響因素構(gòu)建多因素模型對(duì)信用利差進(jìn)行預(yù)測(cè)分析。本文為了達(dá)到更全面研究信用利差影響因素的目的,從三個(gè)方面系統(tǒng)的總結(jié)出有可能影響我國(guó)中期票據(jù)信用利差的影響因素:一是宏觀經(jīng)濟(jì)因素,包括進(jìn)出口增長(zhǎng)指標(biāo)、人民幣有效匯率、房地產(chǎn)相關(guān)指標(biāo)、Shibor等;二是中期票據(jù)市場(chǎng)自身影響因素,如中期票據(jù)的市場(chǎng)流動(dòng)性、中期票據(jù)的供求情況等;三是從結(jié)構(gòu)化模型出發(fā)考慮的影響因素,如無風(fēng)險(xiǎn)收益率、利率期限結(jié)構(gòu)指標(biāo)等。本文選取了中央國(guó)債登記結(jié)算有限責(zé)任公司的AA級(jí)、AA+級(jí)、AAA級(jí)中期票據(jù)收益率曲線生成的信用利差作為研究對(duì)象,先研究了這三類中期票據(jù)信用利差的影響因素,并分析了這些影響因素的影響特點(diǎn)和影響強(qiáng)度,最后在得出具體的中期票據(jù)信用利差影響因素的基礎(chǔ)上,構(gòu)建了多因素模型預(yù)測(cè)中期票據(jù)信用利差。實(shí)證結(jié)果表明,預(yù)測(cè)值曲線和真實(shí)值曲線走勢(shì)基本保持一致,大部分信用利差預(yù)測(cè)與實(shí)際值偏差較小,達(dá)到了較好預(yù)測(cè)效果。
[Abstract]:Since the official issuance of the medium-term note in the inter-bank bond market in 2008, the medium-term bill has played an increasingly important role in the financing tools in the market. The medium term bill, like all credit bonds, has the phenomenon of credit spreads, that is, to make up for the risk that the investors will take the risk of default of the medium-term bill issuer. It is higher than the margin of risk-free interest rate. Therefore, credit spreads can be used as an investor to deduce the credit risk of medium-term bills and make the most favorable investment decisions. In academic circles, a large number of studies have been made on credit spreads of credit bonds, but a unified conclusion has not been reached. The influence factors of the difference and the process of its influence will help the investors to choose the variety of investment and the time of investment. Meanwhile, it will help the regulators to make a market accepted guiding price, which will help to make the credit transaction of our country more smooth. At present, it is related to the credit spreads of domestic medium term bills. There are few academic studies, and there is a lack of research on the reality of the medium-term bill market in China on the basis of empirical research. Therefore, this study will help to enrich the existing research results. Firstly, this paper makes a qualitative analysis on the concept, the development calendar, the risk factors and so on in the medium term bill in China. This paper uses the model to make an empirical study on the factors affecting the credit spreads of medium-term bills in China. Finally, the paper makes a prediction and analysis of the credit spreads by constructing the multi factor model of the medium-term bill credit spreads. In order to achieve a more comprehensive study of the factors affecting the credit spreads, this paper systematically summarizes the three aspects. The factors that may affect China's medium-term bill credit spreads: one is the macroeconomic factors, including the import and export growth index, the effective exchange rate of RMB, the real estate related index, Shibor and so on; two is the influence factors of the medium-term bill market, such as the market liquidity of medium-term bill, the supply and demand of medium-term bills, and so on; three is from the structured model. In this paper, we select the credit spreads of the AA, AA+ and AAA medium term bill yield curve as the research object, and first study the factors affecting the credit spreads of these three types of medium-term bills, and analyze the factors that influence the credit spreads of these three types of medium-term bills. The impact of these factors and the impact strength, finally on the basis of the specific medium-term bill credit spreads influence factors, the multi factor model is constructed to predict the mid term bill credit spreads. The empirical results show that the trend of the predicted value curve and the real value curve is basically consistent, most of the credit difference prediction and the actual value deviation are deviations. It is smaller and achieves better prediction effect.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.2

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