本文選題：中期票據(jù) + 信用利差��； 參考：《南京大學(xué)》2014年碩士論文

【摘要】：中期票據(jù)作為一種創(chuàng)新型債務(wù)融資工具,自問世后就受到眾多擬發(fā)債主體和機(jī)構(gòu)投資者的青睞,近6年來發(fā)展迅速,其發(fā)行規(guī)模已超越企業(yè)債,成為我國銀行間債券市場(chǎng)主要的債務(wù)融資工具之一。伴隨中期票據(jù)市場(chǎng)的快速發(fā)展,對(duì)中期票據(jù)可能存在的風(fēng)險(xiǎn)也不容忽視,而當(dāng)前債券市場(chǎng)上信用利差通常被當(dāng)作是各種風(fēng)險(xiǎn)的代表。因此,展開對(duì)我國中期票據(jù)信用利差影響因素的研究有助于控制和管理中期票據(jù)市場(chǎng)的風(fēng)險(xiǎn),促進(jìn)我國中期票據(jù)市場(chǎng)又好又快的發(fā)展。本文首先歸納和總結(jié)信用利差研究的文獻(xiàn)以及信用利差的內(nèi)涵、度量方法,然后再結(jié)合我國中期票據(jù)市場(chǎng)的發(fā)展和現(xiàn)狀,選取影響我國中期票據(jù)信用利差的宏觀因素和微觀因素,并確定使用回歸分析法來展開對(duì)我國中期票據(jù)信用利差影響因素的研究。接著針對(duì)宏觀經(jīng)濟(jì)變量的特征,本文選取基于2012年5月至2013年12月的一組時(shí)間序列數(shù)據(jù),運(yùn)用多元回歸模型對(duì)中期票據(jù)信用利差變動(dòng)和宏觀經(jīng)濟(jì)變量變動(dòng)之間的關(guān)系進(jìn)行實(shí)證研究；針對(duì)發(fā)行主體個(gè)體微觀因素,本文選取2013年9月30日的截面數(shù)據(jù),通過多元回歸方法進(jìn)行實(shí)證研究。通過實(shí)證分析,本文得出結(jié)論我國中期票據(jù)信用利差主要是對(duì)信用風(fēng)險(xiǎn)的補(bǔ)償,而在引起信用風(fēng)險(xiǎn)最終導(dǎo)致信用利差產(chǎn)生的影響因素中：宏觀方面,無風(fēng)險(xiǎn)短期利率和股票指數(shù)對(duì)我國中期票據(jù)信用利差變化影響顯著；微觀方面,發(fā)行主體的資產(chǎn)規(guī)模、總資產(chǎn)周轉(zhuǎn)率、資產(chǎn)負(fù)債率和我國中期票據(jù)信用利差顯著相關(guān),而在添入主體信用評(píng)級(jí)虛擬變量后模型的解釋度得到提高,且主體信用評(píng)級(jí)和信用利差亦顯著相關(guān)。最后,本文根據(jù)實(shí)證結(jié)果并結(jié)合我國中期票據(jù)市場(chǎng)現(xiàn)狀,有針對(duì)性地對(duì)我國中期票據(jù)市場(chǎng)提出一些政策建議。
[Abstract]:As an innovative debt financing tool, medium-term paper has been favored by many prospective bond issuers and institutional investors since its inception. It has developed rapidly in the past six years, and its issuance scale has exceeded that of corporate debt. It has become one of the main debt financing instruments in the interbank bond market. With the rapid development of the medium-term paper market, the possible risk to the medium-term note can not be ignored, and the credit spread is usually regarded as the representative of various risks in the current bond market. Therefore, it is helpful to control and manage the risk of medium-term bill market and promote the good and fast development of our country's medium-term bill market. This paper first summarizes and summarizes the research literature of credit spread, the connotation of credit spread, the measurement method, and then combines the development and current situation of our country's medium-term bill market. This paper selects the macro and micro factors that affect the credit spread of our country's medium-term bill, and makes sure to use the regression analysis method to carry out the research on the influencing factors of our country's medium-term bill credit interest margin. Then, according to the characteristics of macroeconomic variables, this paper selects a set of time series data from May 2012 to December 2013. This paper makes an empirical study on the relationship between the variation of credit interest rate and the change of macroeconomic variables by using the multiple regression model. Aiming at the individual and micro factors of the issuer, this paper selects the cross-section data of September 30, 2013. The empirical study is carried out by multiple regression method. Through the empirical analysis, this paper draws the conclusion that the credit spread of medium-term notes in China is mainly to compensate for the credit risk, and in the influencing factors that cause the credit risk to lead to the credit spread: macro aspect. The risk free short-term interest rate and stock index have a significant influence on the change of credit interest rate of medium-term paper in China, and microscopically, the asset size, total asset turnover, asset-liability ratio and credit spread of medium-term paper are significantly related to each other. The explanatory degree of the model is improved with the addition of the virtual variable of the subject credit rating, and there is a significant correlation between the principal credit rating and the credit interest margin. Finally, according to the empirical results and combined with the current situation of China's medium-term bill market, this paper puts forward some policy recommendations to China's medium-term bill market.
【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】：2014
【分類號(hào)】：F832.2;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

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本文編號(hào)：1879768