我国经济周期不同阶段企业债券信用利差影响因素研究

发布时间：2018-03-04 12:27

本文选题：企业债券　切入点：信用利差　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：2008年金融危机以来我国企业债券市场发生了两个重要变化,一个是地方政府融资平台城投债发行规模急剧上升,城投平台的信用风险引发监管层和投资者的极大关注,另一个是经济周期下行期间我国诸多企业因为经营业绩恶化遭遇信用评级下调,不少企业甚至濒临违约。我国企业债券市场信用风险已经成为一个重要的话题,信用风险的研究也具有重要的意义。本文首先对我国2007年5月至2012年12月期间各经济周期阶段企业债券信用利差的走势特征进行分析,得出我国企业债券信用利差具有逆经济周期特征的结论。进而,本文基于著名诺贝尔经济学家Merton在1974年提出的结构化模型,对我国经济周期不同阶段企业债券信用利差的影响因素进行探究,发现结构化模型在经济周期各个阶段均对我国企业债券信用利差具有较强的解释力。基于Merton结构化模型所选择的解释变量中,无风险利率、收益率曲线斜率总体上均与信用利差呈负相关关系,股票市场波动率对信用利差的影响方向在经济周期各阶段中非常不稳定,而股票市场收益率对信用利差的影响并不显著。更进一步的,本文在原有模型中分别引入经济增长速度变动方向、通货膨胀率变动方向以及货币政策方向控制变量以研究宏观经济变量在不同经济周期阶段对信用利差的影响。本文得出的结论是经济增长和通货膨胀率变动方向在经济复苏和经济萧条时期均对我国企业债券信用利差有显著影响,但在经济衰退和繁荣时期的影响并不显著；货币政策转向在经济周期各阶段均对我国企业债券信用利差有显著影响,其中货币政策由紧缩转为宽松时,信用利差显著收窄。
[Abstract]:Since the financial crisis in 2008, two important changes have taken place in the corporate bond market of our country. One is the sharp increase in the issuance scale of local government financing platform, and the credit risk of the local investment platform has aroused the great concern of regulators and investors. Another is that during the downward period of the economic cycle, many enterprises in China have suffered a credit rating downgrade due to the deterioration of their business performance, and many enterprises are even on the verge of default. Credit risk in our corporate bond market has become an important topic of discussion. The study of credit risk is also of great significance. This paper first analyzes the trend characteristics of corporate bond credit spreads during the period from May 2007 to December 2012 in China, and draws the conclusion that the corporate bond credit spreads in China have the characteristics of inverse economic cycles. Based on the structural model proposed by the famous Nobel economist Merton in 1974, this paper explores the factors affecting the credit spreads of corporate bonds in different stages of the economic cycle in China. It is found that the structured model has a strong explanatory power on the credit spreads of Chinese corporate bonds at all stages of the economic cycle. Based on the Merton structured model, the risk-free interest rate is the main explanatory variable. Generally speaking, the slope of the yield curve is negatively related to the credit spread. The influence direction of the stock market volatility on the credit spread is very unstable in every stage of the economic cycle, but the stock market yield has no significant effect on the credit spread. Furthermore, this paper introduces the direction of economic growth rate in the original model. The direction of inflation and the direction of monetary policy are used to study the impact of macroeconomic variables on credit spreads in different economic cycles. The conclusion of this paper is the direction of economic growth and inflation. During the period of economic recovery and economic depression, there was a significant impact on the credit spreads of corporate bonds in China. However, in the period of economic recession and prosperity, the influence of monetary policy shift on the credit spread of corporate bonds in China is not significant at all stages of the economic cycle, especially when monetary policy changes from austerity to easing, the credit spread significantly narrows.
【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;F124.8;F224

【共引文献】