短期融资券发行利率影响因素分析

发布时间：2018-02-05 01:48

本文关键词： 短期融资券发行利率多元回归分析　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：短期融资券是我国具有法人资格的非金融类企业,采取注册制的方式,在银行间债券市场发行,并约定在一定期限内还本付息的有价证券,发行的最长期限不超过一年。短期融资券在我国发展的历史可以追溯到上世纪九十年代,不过后来由于发行混乱、监管不足等原因被终止发行,直到2005年才重新启动。启动后短期融资券市场发展势头良好,尤其是最近两年,在通货膨胀的压力下,央行不断采用紧缩政策来抑制流动性,使得企业偏好于通过发债进行融资,使得短期融资券无论是在发行总量还是在发行期数上,都得到了迅速的扩张,去年已经成为仅次于金融债、国债和央行票据的第四大债券融资市场。随着短期融资券市场的不断扩大,其发行利率定价的市场化也为投融资双方带来了新的课题。本文试图通过量化分析,并以此建立数学模型,来确定短期融资券发行利率的影响因素。文章采用2007年至2011年短期融资券的发行数据,尝试性地以shibor利率、央行票据利率、银行回购利率和国债利率作为短期融资券的基准利率,来研究其发行利率与基准利率的相关性。实证分析结果显示,基准利率中,shibor利率的回归效果最佳,说明其作为国内货币市场基准利率的地位越来越得到确认。文中通过定性分析和定量检验的方法,建立了发行利率的定价模型,模型中短期融资券与shibor利率间的利差主要由信用溢价、流动性溢价和期限溢价组成,同时还受企业所有制形式、企业规模和授信额度的影响。文中最后将由该定价模型计算得到的模拟利率与2012年新发行的143期短期融资券的实际发行利率进行了对比和检验,证明本文所建立的模型对于短期融资券发行定价具有一定的指导作用。
[Abstract]:Short-term financing bond is a kind of non-financial enterprise with legal personality in our country. It is issued in the interbank bond market by the way of registration system, and it is agreed to pay the principal and interest within a certain period of time. The maximum period of issuance is not more than one year. The history of the development of short-term financing bonds in China can be traced back to -10s, but later due to the chaos of issuance, inadequate supervision and other reasons, the issue was terminated. It was not until 2005 that the market for short-term financing bills was well developed, especially in the last two years, when the central bank continued to tighten policy to curb liquidity under the pressure of inflation. Make enterprises prefer to issue bonds to finance, so that short-term financing bills, whether in the total amount of issuance or in the number of issues, have been rapidly expanded, last year has become second only to financial debt. With the expansion of the short-term financing market, the marketization of interest rate pricing has also brought new problems to both investors and financiers. This paper attempts to establish a mathematical model through quantitative analysis to determine the factors that affect the interest rate of short term financing bonds. This paper adopts the data of short term financing bills issued from 2007 to 2011. Try to use shibor rate, central bank paper rate, bank repo rate and government bond rate as the benchmark interest rate for short-term financing paper. Empirical analysis results show that the return of the benchmark interest rate is the best. It shows that its status as the benchmark interest rate in the domestic money market is more and more recognized. In this paper, the pricing model of issuing interest rate is established by qualitative analysis and quantitative test. The spread between short term financing paper and shibor interest rate is mainly composed of credit premium, liquidity premium and term premium, and is also subject to the form of enterprise ownership. In the end, the simulated interest rate calculated by the pricing model is compared with the actual interest rate of the 143-issue short-term financing paper issued in 2012. It is proved that the model established in this paper has a certain guiding effect on the pricing of short-term financing bills.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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