银行间企业债券信用利差的宏观影响因素分析

发布时间：2018-01-11 21:00

本文关键词：银行间企业债券信用利差的宏观影响因素分析　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：企业债是目前企业融资的最重要的方式之一,近几年企业债券融资发展迅速,随着我国企业债券发行市场的逐步扩大,企业债券的信用风险将对整个市场的信用风险影响越来越大。信用利差作为信用风险的重要风向标,对债券的信用利差进行研究有着十分重要的意义。对于投资者而言,有利于投资者对投资进行风险管理和投资决策；对于企业经营者而言,有利于企业经营者选择合适的发行时机和发行利率；对于监管者而言,信用利差可以在一定程度上预测违约事件和违约概率,防范系统性的金融风险。本文首先对国内外的文献进行分析和整理,通过理论分析筛选出影响信用利差的宏观经济因素；其次通过债券收益率曲线,按照企业债券的期限和信用评级,计算得出各期限各信用等级企业债的信用利差,并通过时间序列回归分析的方法筛选出影响信用利差的宏观经济因素的显著变量,并得出信用利差与宏观经济因素的相关关系。结论显示对于同样为短期限但评级不同的企业债,影响信用利差的宏观因素大体相同,而对于同样为长期限但评级不同的企业债,影响信用利差的宏观因素差异较大,对于评级相同但期限不同的企业债,影响信用利差的宏观因素亦不相同。本文的研究成果对信用债定价有着积极的意义,能够帮助市场相关者,从宏观经济的角度认识宏观经济因素对信用利差的影响。
[Abstract]:Corporate debt is one of the most important ways of enterprise financing. In recent years, corporate bond financing has developed rapidly, with the gradual expansion of the corporate bond issuance market in China. The credit risk of enterprise bond will affect the credit risk of the whole market more and more. Credit spread is an important vane of credit risk. It is of great significance to study the credit spread of bonds. For investors, it is helpful for investors to manage risk and make investment decisions. For the enterprise operators, it is beneficial for the enterprise operators to choose the right issuing opportunity and interest rate. For regulators, credit spreads can predict default events and default probability to a certain extent and prevent systemic financial risks. In this paper, the domestic and foreign literature analysis and collation, through theoretical analysis to screen out the impact of credit spreads macroeconomic factors; Secondly, through the bond yield curve, according to the term of corporate bonds and credit rating, calculate the credit spreads of each credit grade enterprise bonds. And through the time series regression analysis method to screen out the influence credit interest rate difference macroeconomic factor significant variable. The conclusion shows that for corporate bonds with the same short term but different ratings, the macro factors affecting credit spreads are roughly the same. For the same long term corporate bonds with different ratings, the macro factors affecting credit spreads are quite different, and for the same rating but different maturity corporate bonds. The macro factors affecting credit spreads are also different. The research results of this paper have positive significance to the pricing of credit debt and can help the market stakeholders. To understand the impact of macroeconomic factors on credit spreads from the point of view of macro-economy.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F830.42

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