我国企业债信用价差期限结构中的经济增长信息

发布时间：2018-04-06 04:24

本文选题：企业债券　切入点：信用价差　出处：《浙江工商大学》2012年硕士论文

【摘要】：近年来,我国企业债券市场发展迅速,市场机制不断完善,市场规模不断扩大,市场化程度不断提高,投资者参与积极性不断增加。企业债券作为企业进行外部直接融资的工具在金融市场上起着愈加重要的作用,市场参与者基于其己获得信息和预期信息参与市场活动,参与活动的最终结果表现为市场上形成的均衡价格,即企业外部融资的溢价——企业债信用价差。因此,企业债信用价差可能隐含着市场参与者的预期信息,其中,未来的经济增长状况是极其重要的预期信息,正确的预期可以使得投资者保持适当的收益风险比。据此,本文首先从企业外部融资溢价的角度对企业债信用价差与经济增长信息之间的关系进行了理论分析,然后实证检验了我国企业债信用价差是否隐含了经济增长信息。企业债信用价差是企业进行外部融资活动时,由于企业及其融资项目所具有的风险,外部融资价格超出无风险收益率的那部分价格,就是企业的外部融资溢价。企业外部融资易受实体经济环境影响,这使得学术界对企业债信用价差隐含实体经济信息进行了持续的研究,并得出了一些肯定的结论,发现企业债信用价差包含了未来经济增长的预期信息,但是,已有的文献大都是研究国外成熟市场中企业债券。随着我国企业债券市场的迅速发展,企业债信用价差是否也隐含了未来的经济增长信息?其在多大程度上解释未来的经济增长情况? 本文首先在阅读大量宏观经济指示器与企业债信用价差相关研究文献的基础上,梳理出其发展脉络,提炼出关键论点作为本文的部分理论基础。然后,从外部融资溢价角度构建出局部均衡模型和一般均衡模型对企业债信用价差与经济增长信息进行理论分析。最后,本文选取银行间企业债券二级市场的交易数据,通过一般时间序列计量模型和LAR算法模型实证分析了企业债信用价差对经济增长的预测能力,以及与其它宏观经济指示器的相对预测能力,得出我国企业债信用价差隐含着经济增长信息的实证结论。通过上述研究,本文发现我国企业债信用价差对中期的经济增长有着较强的预测能力,AA级较AAA级企业债信用价差的预测能力强,此外,企业债信用价差表现出相对于其它宏观经济金融指示器所具有的较强的预测能力。在此基础上,本文针对我国企业债券市场的发展提出了政策措施建议,旨在提高市场成熟度、完善市场机制、促进市场发展,还提出了将企业债信用价差作为宏观经济指示器的建议。
[Abstract]:In recent years, China's corporate bond market has developed rapidly, the market mechanism has been continuously improved, the market scale has been continuously expanded, the degree of marketization has been improved, and the enthusiasm of investors to participate in the market has been continuously increased.Corporate bonds play an increasingly important role in the financial market as a tool for external direct financing of enterprises. Market participants participate in market activities based on their own information and expected information.The final result of the participation is the equilibrium price formed in the market, that is, the premium of the external financing of the enterprise-the credit spread of the corporate debt.Therefore, the credit spread of corporate debt may imply the expected information of market participants, among which, the future economic growth is the most important expected information, and the correct expectation can make investors maintain a proper ratio of income to risk.Based on this, this paper first analyzes the relationship between corporate bond credit spread and economic growth information from the angle of enterprise external financing premium, and then empirically tests whether the corporate debt credit spread implies economic growth information.Corporate bond credit spread is the external financing premium due to the risk of the enterprise and its financing project, the external financing price exceeds the risk-free rate of return.The external financing of enterprises is easy to be affected by the real economic environment, which makes the academic circles carry on the continuous research on the real economic information implied by the credit spreads of corporate bonds, and draw some positive conclusions.It is found that the credit spread of corporate bonds contains the expected information of future economic growth. However, most of the existing literature is devoted to the study of corporate bonds in mature foreign markets.With the rapid development of the corporate bond market in China, does the credit spread of corporate debt also imply the future economic growth information?To what extent does it explain future economic growth?In this paper, based on reading a large number of macroeconomic indicators and corporate debt credit spreads related to the literature, sort out its development context, extract the key arguments as part of the theoretical basis of this paper.Then, the partial equilibrium model and the general equilibrium model are constructed from the angle of external financing premium to analyze the information of corporate debt credit spread and economic growth.Finally, this paper selects the transaction data of the interbank enterprise bond secondary market, and analyzes the forecasting ability of the corporate bond credit spread to the economic growth through the general time series econometric model and the LAR algorithm model.As well as the relative prediction ability with other macroeconomic indicators, the empirical conclusion that the credit spread of corporate bonds implies economic growth information is obtained.Based on the above research, this paper finds that the credit spread of corporate bonds in China has a strong ability to predict the medium-term economic growth. In addition, the AA grade is stronger than the AAA grade in predicting the credit spreads of corporate bonds.The credit spreads of corporate bonds show strong predictive ability compared with other macroeconomic and financial indicators.On this basis, this paper puts forward some policy and measures to improve the maturity of the market, perfect the market mechanism and promote the development of the market in view of the development of the corporate bond market in China.The paper also puts forward the suggestion that the credit spread of enterprise debt should be taken as a macro-economic indicator.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.4;F224

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