与GDP挂钩的债券的理论与实证研究

发布时间：2018-01-02 08:46

本文关键词：与GDP挂钩的债券的理论与实证研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：与GDP挂钩的债券作为结构化金融产品的一种,在国外的发展比较迅速,但在中国市场上还没有得到肯定和应用,但它确实相对于其他普通的债券有着独有的优势。本文先从与GDP挂钩的债券的理论部分着手,介绍其特点与优势,从债券发行国或地区和投资者的角度,分析与GDP挂钩的债券的产品结构、定价机理等,探讨了与GDP挂钩的债券的理论模型,将中国市场数据带入理论模型当中,对与GDP挂钩的债券和GDP变化之间的敏感度进行分析,对比与GDP挂钩的债券与普通债券的差异。本文的主要结构是：在绪论之后,对在与GDP挂钩的债券的学术理论进行回顾。介绍了与GDP挂钩债券的优点,再通过举例子大致讲述其运作机理。从债券发行国或政府、投资者以及全球经济和金融体系三个方面讲述与GDP挂钩的债券的益处。接下来通过GDP的动态过程以及根据与GDP挂钩的债券的特征分析,推导出与GDP挂钩的债券的定价模型,分析其在四个不同情况下模型的变化与运用。进一步,选取委内瑞拉和印度尼西亚国家的GDP数据带入模型做回归分析,再对中国市场的GDP数据同样进行模拟,分别对三国的与GDP挂钩的债券和GDP变化之间的敏感度进行分析。比较与GDP挂钩的债券与普通债券的差异。接下来分析评估与GDP挂钩的债券中存在的道德风险及如何运用国际金融机构做规避。最后对中国市场是否适用与GDP挂钩的债券的这种形式做分析,并对政府作出理论性建议。本文的主要特点和学术贡献：创新点在于：第一,本文研究的内容比较新颖。国外对于与GDP挂钩的债券的研究比较多,而中国对于这方面的研究少之又少,对这种新型的金融产品还不是特别了解。在中国没有一篇文章这么全面的去对与GDP挂钩的债券进行分析和理论讲解。第二,本文通过对三国的数据模拟分析,比较与GDP挂钩的债券和普通债券之间的差异,更能体现和证实对二者之间差异的讨论。虽然本文有一定的创新性,但任然不可避免会存在一些研究的局限性。无论如何,本文的探讨仅仅是一个初步的尝试,只是希望能够抛砖引玉,为将来的后续研究能够提供些许的参考。希望今后的研究者在选用GDP数据上,更能够确定是用名义GDP还是实际GDP作为模型运算的标准,并且希望在实证当中有更多的数据研究突破,把与GDP挂钩的债券不仅仅作为理论研究的对象,更能够使其运用在今后的金融市场当中,为债权发行国或政府和投资人都带来效益。
[Abstract]:As a kind of structured financial product, bond linked with GDP has developed rapidly in foreign countries, but it has not been affirmed and applied in Chinese market. However, it does have a unique advantage over other ordinary bonds. This paper begins with the theoretical part of bonds linked to GDP, introduces its characteristics and advantages, and from the perspective of bond issuing countries or regions and investors. This paper analyzes the product structure and pricing mechanism of bonds linked to GDP, discusses the theoretical model of bonds linked to GDP, and brings Chinese market data into the theoretical model. The sensitivity between GDP linked bonds and GDP changes is analyzed, and the differences between GDP linked bonds and ordinary bonds are compared. The main structure of this paper is as follows: after introduction, the academic theory of bonds linked to GDP is reviewed, and the advantages of bonds linked to GDP are introduced. Then give an example of how it works. From the bond issuing country or government. Investors, as well as the global economic and financial system, describe the benefits of bonds linked to GDP. Then the dynamic process of GDP and the characteristics of bonds linked to GDP are analyzed. This paper deduces the pricing model of bond linked to GDP, and analyzes the change and application of the model under four different circumstances. The GDP data from Venezuela and Indonesia are selected to do regression analysis, and the GDP data of China market are also simulated. The sensitivity of the three countries' GDP linked bonds and GDP changes were analyzed separately. The differences between the GDP linked bonds and the ordinary bonds were compared. The next analysis was to evaluate the deposit in the GDP linked bonds. In the moral hazard and how to use international financial institutions to circumvent. Finally, the Chinese market is applicable to the GDP linked bond in this form of analysis. And make theoretical suggestions to the government. The main features and academic contributions of this paper are as follows: The innovation lies in: first, the content of this paper is relatively novel. There are more studies on bonds linked to GDP in foreign countries, but there are very few in China. This new financial product is not particularly well understood. No article in China has been so comprehensive in terms of analyzing and explaining GDP linked bonds. Second. By analyzing the data of the three countries, this paper compares the difference between the bond linked with GDP and the ordinary bond, which can better reflect and confirm the discussion of the difference between the two. Although this paper has some innovation, it is inevitable that there will be some limitations of the research. Anyway, the discussion of this paper is only a preliminary attempt, just hope to be able to open a brick. For the future research can provide some reference. Hope that the future researchers in the selection of GDP data, more can determine whether the nominal GDP or the actual GDP as the model operation standard. And we hope that there will be more data breakthrough in the empirical research, the bond linked with GDP is not only the object of theoretical research, but also can be used in the future financial market. Benefits for issuing countries or governments and investors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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