中国企业债券流动性对利差影响的实证研究

发布时间：2018-03-14 07:17

本文选题：企业债券　切入点：流动性　出处：《哈尔滨工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：2007年温总理在工作报告中提出“加快发展债券市场，推进债券发行制度市场化改革”之后，企业债券开始迅速地发展起来，而纵观中国企业债券的发展过程，流动性问题一直存在。与此同时，美国发生的次贷危机蔓延至世界各国，流动性问题再次引起了各国学者们的重视。本文总结了国内外有关企业债券流动性与利差相关问题的研究现状，深入探讨了企业债券流动性与利差相互关系及影响机理。在此基础上，本文借鉴前人经验选出了可以应用与本研究的流动性测度指标，并构建了基于金融危机状态和正常状态下企业债券流动性与利差的回归分析模型。然后利用2008年1月1日到2011年12月31日的数据为样本区间，使用面板数据对其进行实证分析。研究发现，我国企业债券流动性确实有解释利差的作用，并且通过对比发现其中流动性测度指标p是检验中国企业债券流动性较为适用的测度指标，，其他流动性测度指标都不如流动性测度指标p。最后通过金融危机期间的假设，将样本的时间段分成危机时期和正常时期，发现危机时期流动性对利差的解释度比正常时期增加24%，证明在金融危机的背景下，我国企业债券流动性问题更突出。流动性问题的研究一直是资本市场理论研究的重要课题之一，得到了世界各国的广泛重视。其中，西方发达国家对市场流动性的研究，不管是从理论上还是在实践上，都已经形成了较完整的理论体系。而我国从1984年就出现的企业债券，一直发展缓慢。本文从定量的角度来考察流动性对我国企业债券利差的影响，在此基础上又从不同时期的角度分析流动性对我国企业债券利差的作用，这将有利于我国企业债券定价模型的完善。另一方面，深入分析中国企业债券流动性对利差的影响，也可以为投资者、发行企业、监管者的市场行为提供一定的判断依据。
[Abstract]:In 2007, Premier Wen proposed in his work report that "speed up the development of the bond market and push forward the market-oriented reform of the bond issuance system." after that, corporate bonds began to develop rapidly. But throughout the development process of Chinese corporate bonds, At the same time, the subprime mortgage crisis in the United States has spread all over the world, and the liquidity problem has once again attracted the attention of scholars from all over the world. This paper summarizes the current situation of research on corporate bond liquidity and interest margin at home and abroad, and probes into the relationship between corporate bond liquidity and interest margin and its influencing mechanism. Based on the previous experience, this paper selects a liquidity measure index that can be applied to this study. A regression model based on the financial crisis and the normal state of corporate bond liquidity and interest margin is constructed, and then the data from January 1st 2008 to December 31st 2011 are used as sample intervals. The empirical analysis with panel data shows that corporate bond liquidity in China does explain the spread of interest rates. And through the comparison, we find that the liquidity measure index p is the more suitable measure to test the liquidity of Chinese corporate bonds, and the other liquidity measures are not as good as the liquidity measure index p. Finally, through the hypothesis during the financial crisis, The sample time period is divided into crisis period and normal period. It is found that liquidity in crisis period has more explanation for interest rate difference than that in normal period, which proves that under the background of financial crisis, the liquidity problem of corporate bonds in China is more prominent. The study of liquidity has been one of the most important topics in capital market theory, and has been paid more and more attention by many countries all over the world. Among them, the research on market liquidity in western developed countries, whether in theory or in practice, has attracted much attention from all over the world. Both of them have formed a relatively complete theoretical system. However, the development of corporate bonds in China has been slow since 1984. This paper examines the effect of liquidity on the spread of corporate bonds in China from a quantitative point of view. On this basis, we analyze the effect of liquidity on corporate bond interest margin in different periods, which will help to perfect the pricing model of Chinese corporate bonds. On the other hand, we deeply analyze the influence of Chinese corporate bond liquidity on interest rate difference. It can also provide some judgment basis for investors, issuers and regulators.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224;F275

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