我国银行间企业债券信用利差走势及其影响因素分析

发布时间：2018-01-22 21:01

本文关键词： 信用利差经济周期中期票据 Z-score模型银行间企业债多元回归　出处：《财政部财政科学研究所》2012年硕士论文　论文类型：学位论文

【摘要】：银行间企业类债券是企业依照法定程序,在银行间市场发行和交易的约定在债券存续期内还本付息的有价证券。信用利差从定义上可以表述为企业债券收益率与相同剩余期限国债收益率的差值。企业债券收益率既包含了企业自身的财务状况、经营状况和信用资质等个体的因素,同时也是对宏观经济运行状况的一定反映；国债收益率曲线则预示了很多关于通货膨胀、经济预期增长情况、货币政策变化等宏观经济因素。信用利差作为二者的差值,既受到企业自身因素的影响,同时必然会受到宏观经济因素的影响,本文尝试探索信用利差的变动规律及其影响因素。本文主要包括六个章节：第一,概述本文的选题背景与研究意义,同时对信用利差的传统理论——结构化模型、简约模型、利差分解理论和回归分析方法进行了简单介绍,详细总结了国内外学者对信用利差变动影响因素的研究结果及研究方法,并在此基础上提出了文章的创新之处与不足之处；第二,概述了我国银行问信用债券市场现状及存在的问题；第三,概述我国经济周期和银行间信用债券市场走势。探讨了财政政策、货币政策不同搭配对债券市场的影响；通过参考美林投资时钟理论并结合我国债券市场投资现状,提出了在不同的经济运行阶段,如何在不同的行业部门、不同信用等级、不同期限的信用债券间进行合理配置的投资策略；通过观察我国市场数据,发现周期性因素是影响信用利差变动的重要因素,信用利差与经济周期间存在一定程度的相关性,信用利差在一定程度上反映了经济周期的变化：在经济发展态势良好时,信用利差有缩窄的趋势；而当经济态势比较恶劣时,信用利差有扩大的趋势。由于周期性因素受到宏观经济走势的影响,各宏观经济变量对信用利差变动的影响程度是我们进行实证分析的主要议题。第四,概述了影响信用利差变动的宏观因素、微观因素和其他因素,考虑到本文的写作宗旨,用较大篇幅就宏观因素进行了细致分析,简单概述了微观因素和其他因素。第五,实证分析部分。在该部分我们采用市场化程度较高的中期票据作为样本券,样本区间为2008年5月到2012年3月。本文尝试将不同期限、不同信用等级的中期票据信用利差的时间序列数据作为被解释变量,将影响信用利差变动的通货膨胀率、国债收益率曲线斜度、股票市场回报率、信用债券市场流动性、短期无风险国债利率等宏观经济变量的时间序列数据作为解释变量进行多元线性回归,并且得出了具有一定指导意义的结论。第六,研究结论与研究展望。该部分归纳了通过研究分析得出的五个较有价值的结论,综合考虑学术界现有研究的基础上提出了对未来研究的展望,诸如拓展计量分析模型、完善数据资料库等。
[Abstract]:The inter-bank enterprise bond is the enterprise according to the legal procedure. An agreement to issue and trade in an interbank market. A negotiable security that pays principal and interest over the life of a bond. The credit spread can be expressed by definition as the difference between the yield of corporate bonds and the yield of bonds of the same remaining maturity. Corporate bonds. The rate of return includes the financial situation of the enterprise itself. The individual factors, such as operating condition and credit qualification, are also a certain reflection of the macro-economic running condition at the same time; Treasury bond yield curve indicates a lot of macroeconomic factors, such as inflation, expected economic growth, monetary policy changes, etc. Credit spreads as the difference between the two are affected by the enterprise's own factors. At the same time, it will inevitably be influenced by macroeconomic factors. This paper tries to explore the variation of credit spreads and its influencing factors. This paper mainly includes six chapters: first, summarize the background and significance of this paper. At the same time, it introduces the traditional theory of credit spread, such as structured model, reduced model, spread decomposition theory and regression analysis method. The research results and methods of influencing factors of credit spreads are summarized in detail, and the innovations and shortcomings of this paper are put forward. Secondly, it summarizes the current situation and existing problems of the credit bond market in China. Thirdly, it summarizes the economic cycle and the trend of interbank credit bond market. It also discusses the influence of different monetary policies on the bond market. By referring to Merrill Lynch investment clock theory and combining with the present investment situation of China's bond market, this paper puts forward how to make different credit grades in different sectors in different stages of economic operation. Investment strategy for reasonable allocation of credit bonds with different maturities; By observing the market data in China, it is found that the cyclical factors are the important factors affecting the change of credit spreads, and the credit spreads have a certain degree of correlation with the economic week. The credit spread reflects the change of the economic cycle to some extent: when the economic development situation is good, the credit spread has the tendency of narrowing; But when the economic situation is relatively bad, the credit spread has the tendency to expand, because the cyclical factor is affected by the macroeconomic trend. The influence of macroeconomic variables on credit spreads is the main topic of empirical analysis. 4th, it summarizes the macro factors, micro factors and other factors that affect the change of credit spreads. Considering the purpose of this paper, the author makes a detailed analysis of the macro factors and summarizes the micro factors and other factors. 5th. The empirical analysis part. In this part we use the high degree of marketization of medium-term notes as sample coupons, the sample interval is from May 2008 to March 2012. The time series data of credit spread of medium term notes with different credit grades as explained variables will affect the inflation rate of credit spreads, the slope of bond yield curve, and the return rate of stock market. The time series data of macroeconomic variables such as the liquidity of credit bond market and the interest rate of short-term risk-free treasury bonds are used as explanatory variables for multivariate linear regression, and a conclusion with certain guiding significance is obtained. 6th. Research conclusions and research prospects. This part summarizes the five valuable conclusions through research and analysis, and puts forward the prospect of future research on the basis of comprehensive consideration of the existing research in academia. Such as expand the econometric analysis model, improve the data base, and so on.
【学位授予单位】：财政部财政科学研究所
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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