我国城投债发行信用利差影响因素研究

发布时间：2018-05-20 18:10

本文选题：城投债 + 信用利差　；参考：《复旦大学》2014年硕士论文

【摘要】：目前,我国经济正处在平稳发展阶段,传统的依靠税收、转移支付、土地出让等方式获取资金已经无法满足城市发展所需资金。为了解决地方政府融资问题,地方政府融资平台应运而生。融资平台主主体发债,可以视作城投债,但其最终信用主体是地方政府。近年来,地方政府的债务总量扩张明显,融资渠道逐渐多样化。平台公司通过银行贷款、城投债、信托贷款、BT等多重方式隐性加杠杆,融资需求的扩张进一步推升了融资成本,信用风险在逐步累积。2011年的城投风波使得城投债信用风险开始受到学界和业界的广泛关注,之后城投债信用评级下调现象屡屡发生,有些城投债甚至沦为高收益债。在此背景下,研究城投债的信用风险显得更为重要。本文主要研究我国不同信用等级城投债发行时信用利差的影响因素。采用信用风险分析模型中的多元线性回归模型,选取2011-2013年共三年新发城投债中AA+和AA等级的7年期企业债作为样本,将地方政府财政因素及平台公司财务因素的相关指标作为自变量,分析不同信用等级城投债信用利差的影响因素有何异同。在中国市场环境下,将不同信用等级城投债发行信用利差的影响因素分类研究是本文相比前人最大的突破点。另外,在对城投债市场概述时也结合了业界经验,紧密贴合市场。总体来看,地方财政因素对发行信用利差的影响比平台公司财务因素显著,尤其是行政级别这一指标。分类来看财政因素对高等级城投债的影响相对更显著,而财务因素对低等级城投债的影响相对更显著。财政因素中行政级别、一般财政收入影响较显著；财务因素中ROE、销售净利率和现金流量指标对发行信用利差影响较显著。具体来看,对AA+和AA等级城投债来说,共同之处是行政级别对信用利差都具有最显著的负向影响,ROE对信用利差也都具有显著的负向影响。不同之处在于,对AA+等级城投债来说,地方政府一般财政收入具有显著的负向影响,其他财务指标没有。而对AA等级城投债来说,销售净利率和现金流量指标也具有显著的影响,其他财政指标没有。在目前城投债发行“量升质降”的情况下,考虑城投债信用风险控制问题,最后本文试图从城投公司、地方政府和中介机构等不同角度提出了一些建议。
[Abstract]:At present, the economy of our country is in the stable development stage, the traditional way of obtaining funds by relying on tax, transfer payment and land transfer has been unable to meet the needs of urban development funds. In order to solve the problem of local government financing, local government financing platform emerged as the times require. The main body of financing platform issues debt, which can be regarded as city investment debt, but the final credit subject is local government. In recent years, the total amount of local government debt expansion, financing channels gradually diversified. Through bank loans, city investment debt, trust loans, and so on, the platform companies implicitly leverage and leverage, and the expansion of financing demand further increases the financing costs. Credit risk is gradually accumulated. The 2011 Citycast storm caused the credit risk of CityInvestment debt to be paid more and more attention by academic circles and the industry. After that, the phenomenon of credit rating downgrade occurred frequently, and some of the CICs even reduced to high-yield debt. In this context, it is more important to study the credit risk of city investment debt. This paper mainly studies the influencing factors of credit spread when issuing city bond with different credit grades in China. Using the multivariate linear regression model in the credit risk analysis model, the 7-year corporate bonds with AA and AA grades in the newly issued city debt in 2011-2013 were selected as samples. Taking the local government financial factors and platform company financial factors as independent variables, this paper analyzes the differences and similarities of the factors affecting the credit spreads of different credit grades. In the Chinese market environment, it is the biggest breakthrough point of this paper to classify the factors that influence the credit spread of different credit grade city investment bond issuance. In addition, in the city investment debt market overview is also combined with industry experience, close to the market. In general, the local financial factors have a more significant impact on the issue credit spreads than the platform company financial factors, especially the administrative level of this indicator. According to the classification, the influence of financial factors on debt investment of high grade cities is more significant, while that of financial factors on debt investment of low grade cities is more significant. Among the financial factors, the administrative level, the general revenue, the ROE, the net sales interest rate and the cash flow index have a significant effect on the margin of the issuing credit interest. In particular, for AA and AA grade cities, the common point is that the administrative level has the most significant negative impact on credit spreads; ROE also has a significant negative impact on credit spreads. The difference is that local government general revenue has a significant negative impact on AA grade city debt, but no other financial indicators. The net interest rate on sales and the cash flow index also have a significant impact on AA grade city debt, but no other financial indicators. Considering the credit risk control problem of city investment debt, this paper tries to put forward some suggestions from different angles such as city investment company, local government and intermediary organization.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F812.5;F283

【参考文献】