我国中期票据发行信用利差的影响因素分析

发布时间：2018-06-12 06:04

本文选题：中期票据 + 信用利差　；参考：《西南财经大学》2012年硕士论文

【摘要】：为了促进我国企业直接债务融资发展,2008年4月,中国人民银行出台《银行间债券市场非金融企业债务融资工具管理办法》,该办法明确了非金融企业在银行间债券市场采用注册制发行债务融资工具,发行利率根据市场实际情况确定。随后,交易商协会配套印发了《中期票据业务指引》等具体业务操作文件,该系列文件的出台标志了中期票据在我国的正式问世。经过近4年的时间,中期票据在发行制度、发行规模、投资者参与主体等方面均取得了长足进步,在企业融资窗口中正占有越来越重要的地位。截至2011年12月31日,银行间市场共有843家企业发行了总额为20815.7亿元的中期票据,发行规模已经超过了企业债与公司债之和,发展势头盖过了一般企业债券。中期票据市场能够在短短几年之内发展到现在的这种规模,客观上也反映了企业和投资者都有对中期票据的广泛需求。中期票据为企业提供了一条介于短期和长期之间的中期融资渠道,填补了我国在中期期限债务融资品种上的空白。本文希望通过借鉴相关信用债券品种信用风险的研究方法,来分析影响中期票据发行信用利差的主要因素,从而为完善中票发行定价机制,促进中票市场发展贡献自己的力量。由于中期票据在国内问世的时间还不长,违约历史数据的缺乏导致对其信用凤险因素的实证研究还很少。另外,国内的学者大多从时间序列数据出发,来考察债券信用利差与各影响因素的关系,这类研究缺少了对发行主体之间差异的分析。本文选取2008年4月到2011年12月的中票发行截面数据,从宏观因素、发行结构因素、财务因素和行业因素四个方面选择变量全面分析其与中票发行信用利差的关系,并且在每个方面又选取多个不同的指标,力求从多个角度进行细致分析。本文通过构建回归模型进行检验,得出了实证结果,并归纳总结出研究结论： 1、通过对中票发行信用利差宏观影响因素的实证研究后发现,CPI同比增幅与中票发行信用利差显著负相关。CPI增幅越高,意味着国内通胀形势越严峻,人们会不断调高自身的通胀预期,未来的实际利率降低。投资者相应地也会要求更高的中票票面利率来弥补实际收益率的下降,因此中期票据信用利差会增大。研究还发现,存款准备金率对中票发行信用利差具有正的偏效应。中期票据的期限常为3～5年,符合商业银行等机构投资者的中期期限配置偏好,因此商业银行成为中期票据的主要购买者。存款准备金率越高,商业银行可用于中票配置的资金就越少,则中票投资需求越低,中票投资回报的必要收益率提高,导致中期票据信用利差增大。 2、通过对中票信用利差发行结构影响因素的实证研究后发现,发行主体信用等级与中票发行信用利差显著负相关,表明信用等级越高,其违约的可能性越小,投资者要求的风险溢价越小,则债券的信用利差越小。发行期限与信用利差呈负相关,得出这个结果有些意外,之前学界的理论和实证都表明期限越长,信用利差该越大。出现这种情况有可能是因为：能够在银行间债券市场注册发行长期期限中票的企业,企业本身资信情况较好,很多都是大型国企背景,有国家隐性担保的因素,主体信用级别普遍很高。这样,中期票据相当于有一定“金边债券”的特质,而中票持有人在持有中票期间相当于拥有了一份对中票收益率的看涨期权,到期剩余时间越长,中票持有人越有可能以较高的收益率转让。因此,中票发行期限越长信用利差反而较低,即发行期限与中票发行信用利差负相关。 3、通过对中票发行信用利差财务状况影响因素的实证研究后发现,中票信用利差与大多财务指标相关性不强,且资产负债率、净资产收益率和资产收益率对中票信用利差的偏效应却与我们的预期相反,有悖于通常的财务理论常识,也就是说资产负债率越高、盈利能力越低的企业信用利差反而小,这出乎我们的意料。对于信用债券来说,偿债能力直接关系着发行人在财务上对债券的还本付息能力,对信用利差的高低能起到决定性的作用。但是,正如我们分析中票信用利差与发行期限负相关关系时指出,由于我国中票一定意义上存在国家隐性担保,投资者通常认为它们不会出现违约情况。 4、行业虚拟变量与中票发行信用利差的相关性不显著。可能的原因主要有两个方面：一方面,本文选取的样本数量有限,而经过行业归类后各行业的样本数量更少,以此得到结论就不理想；另一方面,行业因素对信用利差的影响结果已经通过其他因素指标表现出来,自身的影响已被削弱。文章随后在实证结果的基础上提出了一些政策建议。本文在借鉴相关债券品种信用风险影响因素的研究方法后,对发行信用利差的研究主要从以下三个方面进行了改进： 1、研究对象。在国内已有的信用债券品种的研究方面,由于中期票据的历史最短,对其的研究文献也非常少见,更多的研究成果集中在企业债、公司债和短期融资券上。本文以中期票据一级市场的发行利差为研究对象,研究内容新颖且实用。 2、数据的选取。国内外文献大多选取时间序列数据来研究信用利差,本文则选取自中票在国内问世以来所有发行主体为上市公司的数据样本,数据覆盖面最全最新。 3、变量的选取。本文主要从宏观因素、发行结构因素、财务因素和行业因素四个方面选择变量全面分析其与中票信用利差的关系,并且在每个方面又选取多个不同的指标,力求从多个角度细致地进行分析。其中,存款准备金率、中票月新增发行量占整个债券市场比率、托管量以及与发债相关的财务指标等多个变量,均为本文的创新。由于无法获得中期票据在二级市场上的交易数据,本文没有分析中票二级市场信用利差的情况。今后将扩大中票信用利差的研究范围,将二级市场的情况也纳入到研究之中,不断完善影响中票信用利差的因素体系。
[Abstract]:In order to promote the development of Chinese enterprises ' direct debt financing , in April 2008 , the People ' s Bank of China issued the Measures for the Management of the Debt Financing Instruments of Non - financial Enterprises in the Inter - bank Bond Market , which clearly identified non - financial enterprises to adopt the registration system to issue the debt financing instruments in the inter - bank bond market . The issuance of the series of documents marks the important status of the medium - term notes in our country . As of December 31 , 2011 , there were 843 enterprises in the inter - bank market issued a medium - term paper with a total amount of 2015.70 billion yuan . The issuance scale has exceeded the sum of corporate bonds and corporate bonds , and the development momentum has cover general corporate bonds .

The medium - term paper market is able to grow to the present scale within a few years and objectively reflects the wide demand for medium - term notes in both enterprises and investors . Medium - term notes provide a medium - term financing channel between short - term and long - term , filling gaps in our country ' s debt - financing varieties in the medium term .

In this paper , we hope to analyze the main factors that affect the credit spread of medium - term notes by drawing on the research methods of credit risk of relevant credit bonds , so as to improve the pricing mechanism of ticket issuance and promote the development of the middle - ticket market .

Due to the fact that the medium - term notes are not long in China , the lack of historical data leads to little empirical research on their credit risk factors . In addition , domestic scholars mostly analyze the relationship between the credit spreads and the influencing factors from the time series data . The paper selects the variables of the middle - ticket issue cross - section data from April 2008 to December 2011 , analyzes the relationship between the credit spreads of the bonds and the credit spreads in the middle - ticket issuance , and selects a plurality of different indexes in each aspect , so as to carry out detailed analysis from a plurality of angles .

In this paper , a regression model is constructed to verify the results , and the conclusions are summarized .

1 . After the empirical research on the macro - effect factors of the credit spread in the middle - term notes , the higher the CPI , the higher the CPI , which means that the more severe the domestic inflation situation , the higher the real interest rate of the medium - term paper . The higher the reserve requirement ratio , the less the commercial banks can use to make the medium - term notes . The lower the reserve requirement ratio , the lower the return on the medium - ticket investment , which leads to an increase in the credit spread of the medium - term paper .

2 . After the empirical research on the influencing factors of the issuance structure of the credit spreads in the middle ticket , it is found that the higher the credit rating is , the less the probability of default is , the smaller the risk premium is , the smaller the credit spreads .

3 . Based on the empirical research on the influencing factors of the credit spread of the middle - ticket issuing credit , it is found that the difference between the credit spreads of the middle - ticket and the majority of the financial indexes is not strong , and the negative effect of the asset - liability ratio , the yield of the net assets and the return on the return of the assets to the credit spreads of the middle - ticket is smaller , which is contrary to the general common sense of financial theory .

4 . There are no significant correlations between industry virtual variables and medium - ticket issuance credit spreads . There are two main reasons : on the one hand , the number of samples selected in this paper is limited , and the number of samples after industry classification is less , so that the conclusion is not ideal ;
On the other hand , the influence of industry factor on credit spreads has been shown through other factors , and its influence has been weakened .

The article then puts forward some policy suggestions on the basis of the empirical results .

After studying the influencing factors of the credit risk of bond varieties , this paper mainly improves the study of the credit spreads in the following three aspects :

1 . The research object . In the research of domestic credit note varieties , because of the short history of medium - term notes , the research literature is very rare , and more research results are concentrated on corporate bonds , corporate bonds and short - term financing bonds . In this paper , the paper focuses on the issue of the medium - term paper market as the research object , and the research content is novel and practical .

2 . The data is selected . Most of the literatures at home and abroad select the time series data to study the credit spreads . In this paper , the data samples of the listed companies have been selected since the middle ticket in China . The data coverage is the most up - to - date .

3 . Selection of variables . This paper mainly analyzes the relationship between macro - factor , issue structure factor , financial factor and industry factor , and selects a plurality of different indexes in each aspect , and tries to analyze it from a plurality of angles .

Since the transaction data of medium - term paper in secondary market cannot be obtained , this paper does not analyze the credit spread of secondary market . In the future , it will expand the research scope of the credit spread of middle - term ticket , and integrate the situation of secondary market into the research , and continuously improve the factor system which affects the credit spread of the middle - term ticket .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】