我国中期票据市场的流动性研究

发布时间：2018-03-01 02:02

本文关键词： 中期票据市场流动性流动性风险　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：2008年4月15日，中国人民银行颁布了《银行间债券市场非金融企业债务融资工具管理办法》，允许符合条件的非金融企业在银行间债券市场向合格机构投资者发行中期票据。正如短期融资券是一年以内短期贷款的替代品一样，，中期票据成为除企业债、公司债以外重要的中期融资工具，是高信用等级企业的3-5年期贷款的替代品。随着经济全球化进程的加速和国内发展多层次资本市场体系的要求，我国中期票据市场也将面临国内外众多资本市场参与者的投融资需求。在这种背景下，开展对我国中期票据市场流动性的研究，对于提高我国中期票据市场的质量和国际竞争力具有重要的意义，从而更好地发挥中期票据市场在完善资本市场结构、分散金融体系风险中的作用。本文从理论分析、现实考察、度量研究三个方面对我国中期票据市场流动性进行了研究。在理论分析部分，本文依托证券市场微观结构理论中的价格发现理论和市场结构理论对证券市场的流动性进行了阐述。在现实考察部分，系统地梳理了我国中期票据市场的发展历程，并对我国中期票据市场流动性的影响因素及流动性不足的成因进行了总结。在度量研究部分，对中期票据市场流动性的度量采取的是宏观和微观层面相结合，考察目前的流动性状况及其影响因素。对中期票据市场流动性风险的测度采取的是VaR方法，将传统VaR与引入流动性风险的VaR进行对比，比较两种方法测度市场风险的准确度，同时测度流动性风险在市场风险中占有的比重。文章最后在结合中期票据市场流动性的现实状况和研究结果的基础上，分别从中期票据市场供给、中期票据市场需求、中期票据市场中介机构和中期票据市场监管四个方面提出了加强我国中期票据市场流动性的政策建议。
[Abstract]:April 15th 2008, The people's bank of china has promulgated the measures on the management of debt financing instruments for non-financial enterprises in the interbank bond market, which allows eligible non-financial enterprises to issue interim notes to qualified institutional investors in the inter-bank bond market. Short-term financing bills are like alternatives to short-term loans within a year. As an important medium term financing tool besides corporate bonds and corporate bonds, medium-term notes are a substitute for the 3-5 year loans of high credit grade enterprises. With the acceleration of the process of economic globalization and the requirements of the domestic development of multi-level capital market system, China's medium-term bill market will also face the investment and financing needs of a large number of capital market participants at home and abroad. Under this background, the liquidity of China's medium-term paper market will be studied. It is of great significance to improve the quality and international competitiveness of China's medium-term paper market, and thus play a better role in perfecting the capital market structure and dispersing the risks in the financial system. This paper studies the liquidity of China's medium-term bill market from three aspects: theoretical analysis, practical investigation and measurement research. Based on the price discovery theory and the market structure theory of the securities market, this paper expounds the liquidity of the securities market. The paper also summarizes the influencing factors of liquidity and the causes of lack of liquidity in China's medium-term bill market. In the part of measurement research, the paper combines macro and micro levels to measure liquidity of medium-term bill market. To measure the liquidity risk of medium-term bill market, the VaR method is adopted to measure the liquidity risk. The traditional VaR is compared with the VaR which introduces the liquidity risk, and the accuracy of the two methods is compared. At the same time, the paper measures the proportion of liquidity risk in the market risk. Finally, based on the actual situation and the research results of the medium-term bill market liquidity, the paper separately from the medium-term bill market supply, medium-term bill market demand, This paper puts forward four suggestions on strengthening the liquidity of our country's medium-term bill market from four aspects: intermediary institution of medium-term bill market and supervision of medium-term bill market.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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