本文選題：企業(yè)債 + 信用利差��； 參考：《北京交通大學(xué)》2017年碩士論文

【摘要】：2014年,“11超日債”成為我國(guó)第一只違約的公募債券,債券市場(chǎng)剛兌被打破。2015年8月開始,信用違約事件大規(guī)模爆發(fā)。違約風(fēng)險(xiǎn)較低的企業(yè)債也受到波及。企業(yè)債信用利差受哪些因素影響,如何判斷二級(jí)市場(chǎng)企業(yè)債未來利差,如何規(guī)避風(fēng)險(xiǎn)等問題,越來越受到投資人關(guān)注。本文在總結(jié)前人研究成果的基礎(chǔ)上,從企業(yè)債信用風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)、宏觀風(fēng)險(xiǎn)三個(gè)方面對(duì)信用利差的影響因素進(jìn)行實(shí)證研究。選取2013年6月到2016年9月,47只企業(yè)債的40個(gè)月度數(shù)據(jù)進(jìn)行面板回歸,在此基礎(chǔ)上對(duì)二級(jí)市場(chǎng)上交易的企業(yè)債信用利差建立了回歸定價(jià)模型。創(chuàng)新性地利用靜態(tài)利差和政策性金融債來計(jì)算信用利差,靜態(tài)利差法排除了企業(yè)債和無風(fēng)險(xiǎn)債券票面利率不同對(duì)信用利差的影響,使用政策性金融債排除了稅收對(duì)信用利差的影響。經(jīng)過實(shí)證研究得出以下結(jié)論,在信用風(fēng)險(xiǎn)層面上,剩余期限與信用利差正相關(guān),債券主體評(píng)級(jí)、凈資產(chǎn)收益率、資產(chǎn)負(fù)債率和信用利差負(fù)相關(guān)。在宏觀層面上,企業(yè)債信用利差與無風(fēng)險(xiǎn)利率和通貨膨脹率負(fù)相關(guān);采購(gòu)經(jīng)理人指數(shù)、股票市場(chǎng)波動(dòng)性和貸款利率和信用利差成正相關(guān)。流動(dòng)性風(fēng)險(xiǎn)層面,流動(dòng)性因素沒有顯著影響。
[Abstract]:In 2014, the "11 super Japanese bonds" became China's first default public offering bond, the bond market has just been broken, beginning in August 2015, a massive outbreak of credit default events. Corporate bonds with lower default risk are also affected. More and more investors pay more and more attention to the factors that affect the credit spread of enterprise bonds, how to judge the future interest rate difference of enterprise bonds in the secondary market, how to avoid risks and so on. On the basis of summarizing the previous research results, this paper makes an empirical study on the influencing factors of credit spreads from three aspects: corporate bond credit risk, liquidity risk and macro risk. From June 2013 to September 2016, 40 monthly data of 47 corporate bonds were selected for panel regression. Based on this, a regression pricing model was established for the credit spreads of corporate bonds traded in the secondary market. The static interest rate difference and the policy financial debt are used to calculate the credit spread. The static spread method excludes the influence of the different coupon rates on the credit spread between the enterprise bonds and the risk-free bonds. The use of policy financial debt excludes the impact of tax on credit spreads. Through the empirical study, the following conclusions are drawn: at the level of credit risk, the residual term is positively correlated with credit spreads, and the debt ratio is negatively correlated with the credit spread, and the main rating of bonds, the return on net assets, the ratio of assets to liabilities and the credit spreads. On the macro level, corporate bond credit spreads are negatively correlated with risk-free interest rates and inflation rates, while purchasing managers' indices, stock market volatility and loan interest rates and credit spreads are positively correlated. Liquidity risk level, liquidity factors have no significant impact.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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