我国企业债券的信用利差波动特征及其宏观影响因素研究

发布时间：2018-02-27 03:16

  本文关键词： 企业债券信用利差 波动特征 宏观影响因素 多元线性回归　出处：《天津财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：企业债券作为企业融资的重要途径之一,在资本币场中扮演着重要的角色。因此,正确而全面地认识企业债的信用风险对推动我国企业债币场健康快速发展具有重要意义。 本文以沪深两市的国债和主体信用级别为AAA、AA+的固定利息企业债券的相关数据信息为基础,得到我国企业债券信用利差序列,通过对AAA、AA+总信用利差以及AAA、AA+信用级别的工业和公用行业的企业债信用利差序列构建ARMA-GARCH随机时间序列模型研究其各自的波动特征。实证结果显示我国企业债市场是可以通过对信用利差的波动特征分析,预测其未来的走势。此外还得到了从A企业债信用利差受过去的外部扰动的影响程度大于AA+企业债。同时,本文选取影响企业债券信用利差的宏观经济因素与流动性因素等相关指标数据作为解释变量,通过多重共线性检验和多元线性回归分析对以上6种企业债券信用利差的影响因素进行实证研究,得到我国企业债信用利差受利率和汇率影响较显著,其中AA+企业债信用利差受利率影响比AAA企业债敏感的结论,以及在对工业类企业债券信用利差的宏观影响因素分析中得到AAA企业债更具研究的代表性等结论。在实证结果的基础上,本文提出了推动利率市场化以及企业债券去担保化发行等政策建议。 但是,由于我国企业债发行数量较少导致实证研究的样本数据有限,加之宏观解释变量选择的合理性有待考察以及未将微观层面的影响因素纳入多元回归模型等不足会使本文实证结果和理论分析有些不符并存在一定局限性。
[Abstract]:Corporate bonds, as one of the important ways of enterprise financing, play an important role in the capital currency market. Therefore, it is of great significance to correctly and comprehensively understand the credit risk of corporate bonds in order to promote the healthy and rapid development of the enterprise bond market in China. Based on the national debt of Shanghai and Shenzhen stock market and the relevant data of fixed interest enterprise bond with AAACAA credit grade, this paper obtains the sequence of credit spreads of Chinese corporate bonds. By constructing the ARMA-GARCH stochastic time series model for the total credit spread of AAA ACA AA and the corporate bond credit spread sequence of the AA AA AA credit grade, the empirical results show that the enterprise bond market in our country is characterized by the fact that the market of corporate bonds is a kind of enterprise bond market in China. By analyzing the fluctuating characteristics of credit spreads, Forecast its future trend. In addition, it is found that the credit spreads from A corporate bonds are more affected by the past external disturbances than the AA corporate bonds. At the same time, In this paper, macroeconomic factors and liquidity factors affecting corporate bond credit spreads are selected as explanatory variables. Through multiple collinear test and multivariate linear regression analysis, the paper makes an empirical study on the influencing factors of the credit spreads of the above six kinds of corporate bonds, and concludes that the credit spreads of corporate bonds in China are significantly affected by interest rate and exchange rate. Among them, the credit spreads of AA corporate bonds are more sensitive to the interest rate than AAA corporate bonds. And in the analysis of macroscopical factors affecting the credit spreads of industrial enterprises, we get the representative conclusion that AAA corporate bonds are more representative. On the basis of the empirical results, This paper puts forward some policy suggestions such as promoting marketization of interest rate and debenture issuance of enterprise bonds. However, due to the small amount of corporate bond issuance in China, the sample data of empirical research are limited. In addition, the rationality of macro explanatory variable selection needs to be investigated and the influence factors at micro level are not incorporated into the multivariate regression model, which will make the empirical results of this paper and theoretical analysis somewhat inconsistent and have some limitations.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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