中国企业债券信用利差的影响因素研究

发布时间：2018-03-28 21:03

本文选题：企业债券　切入点：信用利差　出处：《上海交通大学》2012年硕士论文

【摘要】：自从1993年《企业债券管理条例》发布以来,企业债券的发行数量逐年上升,为市场提供了良好的直接融资渠道。随着我国企业债券品种的不断多样化以及融资主体的不断多元化,信用风险的定价逐渐成为一个主要的问题,准确度量信用风险具有重要的意义。本文运用理论和实证相结合的方法,在分析国内外学者对于企业债券信用价差影响因素的各项研究成果的基础上,结合我国企业债券的特点和实际情况,采用基于结构化模型的时序数据对我国企业债券信用利差的影响因素进行回归分析,并在原模型的基础上引入宏观经济变量。本文选取企业债券、短期融资券、中期票据、公司债等债券的到期收益率时序数据,按照不同的货币周期阶段分析,对无风险利率、预期利率、上证指数收益率、上证指数波动率、信用评级和期限6个因素进行多元回归分析,探索影响企业债券信用价差的关键因素。本文得出的结论如下:短期债券收益率利差与无风险利率高度正相关;中等期限债券的信用利差在大多时候都与无风险利率正相关;AA级中票收益率利差在货币周期不同阶段具有与AAA级中票相同的变动规律,并对无风险利率以及预期利率具有更高的敏感性;不同评级企业债券收益率的敏感性变化规律与中期票据有所不同;各类信用债券均与股票市场收益率不显著相关,与股票市场波动率具有显著相关性,但相关关系极不稳定;各类公司债券与各影响因素均不显著相关。
[Abstract]:Since the issuance of the Enterprise Bond Regulation in 1993, the number of corporate bonds issued has increased year by year. It provides a good direct financing channel for the market. With the continuous diversification of the variety of corporate bonds and the diversification of financing subjects, the pricing of credit risk has gradually become a major problem. It is of great significance to measure the credit risk with accuracy. This paper applies the method of combining theory and demonstration, and based on the analysis of the domestic and foreign scholars' research results on the factors influencing the credit spread of corporate bonds, Combined with the characteristics and actual situation of corporate bonds in China, this paper uses the time series data based on structured model to carry out regression analysis on the factors affecting the credit spreads of corporate bonds in China. Based on the original model, macroeconomic variables are introduced. In this paper, the time series data of maturity yield of corporate bonds, short-term financing bonds, medium-term notes and corporate bonds are selected, and the risk-free interest rates are analyzed according to different currency cycle stages. The expected interest rate, the yield rate of Shanghai Stock Exchange Index, the volatility rate of Shanghai Stock Exchange Index, the credit rating and maturity are analyzed by multivariate regression analysis. This paper explores the key factors influencing corporate bond credit spreads. The conclusions are as follows: the short-term bond yield spreads are highly correlated with risk-free interest rates; In most cases, the credit spreads of medium-maturity bonds are positively correlated with risk-free interest rates. The difference in the yield of AA grades has the same law of change as that of AAA grades in different stages of the currency cycle. And it has higher sensitivity to risk-free interest rate and expected interest rate; the law of sensitivity of bond yield of different rating enterprises is different from that of medium-term paper; all kinds of credit bonds are not significantly related to stock market yield. There is a significant correlation with the volatility of the stock market, but the correlation is very unstable, and all kinds of corporate bonds are not significantly related to each factor.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F275

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