本文關(guān)鍵詞：關(guān)于影響中期票據(jù)信用利差的宏觀因素的實(shí)證分析　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用利差 信用風(fēng)險(xiǎn) 中期票據(jù) 宏觀經(jīng)濟(jì) 貨幣政策

【摘要】：中期票據(jù)由于其自身特點(diǎn)逐漸成為債券市場(chǎng)的重要角色,受到投資者和融資企業(yè)的青睞。但相對(duì)于蓬勃發(fā)展的中期票據(jù)市場(chǎng),中期票據(jù)相關(guān)研究并沒有跟上發(fā)展的腳步。 信用利差是可違約債券共有的特征中,是區(qū)別于無風(fēng)險(xiǎn)債券價(jià)格的主要因素,研究信用利差可以為投資者估值和發(fā)行方定價(jià)提供支持,意義重大。本文從信用利差與宏觀經(jīng)濟(jì)相關(guān)因素及金融市場(chǎng)流動(dòng)性因素兩方面入手,分析了影響中期票據(jù)信用利差的因子。 本文在國內(nèi)外學(xué)者的基礎(chǔ)上,并依據(jù)我國債券市場(chǎng)特點(diǎn),加入了部分具有中國特色的指標(biāo),例如固定資產(chǎn)投資完成總額、商業(yè)銀行與保險(xiǎn)公司可投資資金等。首先,本文選取了不同期限和評(píng)級(jí)共九種中期票據(jù)信用利差,與宏觀經(jīng)濟(jì)指標(biāo)、流動(dòng)性指標(biāo)等做二元回歸分析,總結(jié)出不同因子對(duì)不同期限和評(píng)級(jí)信用利差的影響程度；其次,本文通過剔除共線性后的逐步多元回歸分析,對(duì)控制期限和評(píng)級(jí)的信用利差進(jìn)行分析,結(jié)果表明經(jīng)濟(jì)周期、無風(fēng)險(xiǎn)利率、資金供給對(duì)中期票據(jù)信用利差的影響顯著。其中,固定資產(chǎn)投資完成總額指標(biāo)作為GDP相關(guān)指標(biāo)對(duì)信用利差具有非常顯著的影響。最后本文對(duì)研究結(jié)果做出總結(jié)并指出下一步研究方向。
[Abstract]:Because of its own characteristics, medium-term paper has gradually become an important role in the bond market, which is favored by investors and financing enterprises, but compared with the booming medium-term paper market. Mid-term bills related research has not kept up with the pace of development. Credit spread is a common feature of defaultable bonds and is the main factor that distinguishes the price of risk-free bonds. The study of credit spreads can provide support for investors' valuation and issuer's pricing. This paper analyzes the factors that affect the credit spread of medium-term bills from two aspects: credit spread, macroeconomic factors and liquidity factors. Based on the domestic and foreign scholars, and according to the characteristics of China's bond market, this paper adds some indicators with Chinese characteristics, such as total fixed asset investment. Commercial banks and insurance companies can invest funds and so on. First of all, this paper selects nine types of medium-term paper credit spreads, and macroeconomic indicators, liquidity indicators to do binary regression analysis. The influence of different factors on the credit spreads of different periods and ratings is summarized. Secondly, through the stepwise multivariate regression analysis after eliminating the collinearity, the paper analyzes the credit spread between the control period and the rating. The results show that the economic cycle, risk-free interest rate. Capital supply has a significant impact on the credit spreads of medium-term notes. The total completion of fixed assets investment as a GDP related index has a very significant impact on credit spreads. Finally, this paper summarizes the research results and points out the next research direction.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1365094