我国公司债券信用利差研究

发布时间：2018-03-02 12:07

本文选题：信用利差　切入点：公司债券　出处：《湖南大学》2016年博士论文　论文类型：学位论文

【摘要】：从2014年4月份“超日债”违约到“湘鄂债”本金违约、再到首单国企公募债“11天威MTN2”及中小企业私募债“13大宏债”相继爆出违约,债券信用风险风险问题变得频繁。研究代表公司债券信用风险的信用利差问题变得具有重要意义。虽然公司债券信用利差问题在国外的研究文献中已然成熟,但国内学者从2000年后才关注这方面的研究,且大多数是从银行间债券市场的企业债券角度展开,为此,综合研究证券交易所市场上公司债券信用利差问题变得尤为突出。本文以2007年9月至2014年11月间证交所发行与交易的公司债券为研究样本,采用以实证的定量分析为主,以理论的定性分析为辅,综合研究了宏观的经济、市场和地区制度层面,微观的公司整体状况、信息披露和担保程度层面,个券层面的发行特征、流通性风险等相关因素对公司债券利差的影响,并对比不同层面因素对债券信用利差的解释程度。然后,基于N-S模型拟合债券信用利差曲线,分析不同评级债券信用利差曲线的自身和相互之间的动态变化特征。首先,本文理论上分析了可能影响公司债券信用利差的宏观层面因素,结合公司债券样本数据实证分析得到:经济层面上,GDP、GDP波动率会显著的降低公司债券的信用利差,广义货币供应量增大、生产者价格指数的扩大则会在相应水平下显著增大公司债券信用利差。而消费者价格指数这一因素对于公司债券信用利差的影响不是很显著。市场层面上,无风险利率和汇率的提升会显著增大公司债券信用利差,股票市场收益波动率变化会在一定层面上降低公司债券信用利差。地区制度环境面上,地区法制环境越好和市场化程度越高的地区公司债券信用利差会显著的较低。回归模型的整体拟合优度达到了0.336,表明宏观层面因素在解释公司债券信用利差中占有很重要的比例。其次,本文分析可能会影响公司债券微观层面的因素,对于微观层面因素的研究更多是考虑影响公司债券信用风险的因素,实证得到:就微观层面上公司特有性质而言,公司规模与资产收益率越大,公司债券信用利差会越小。较高的资产负债率和较大的现金流波动率都会增大公司经营的不确定性,提高公司的信用风险,从而增大公司债券的信用利差。整体上公司股票波动率对公司债券信用利差的影响是不显著的。公司信息披露状况越来越受到债券投资者的关注,较低的信息不对称程度和较高的信息披露质量都会显著降低公司债券的信用利差。政府的隐性担保程度上,公司有较大的社会破产成本和产权性质为国有企业的公司,因受到政府的特别照顾,公司发生信用风险的概率较小,公司债券信用利差会越小。同样,综合微观层面因素的模型整体拟合优度达到了0.372,表明信用风险依然是解释债券信用利差的主要因素。再次,为分析债券自身层面因素的影响,本文考虑了个券层面上的债券发行特征和流动性风险等非信用风险的影响因素,研究得到:公司个券层面上,代表债券信用风险的信用评级指标、债券发行规模会显著负向影响公司债券的信用利差。而剩余期限越长和发行期限越长的债券,信用利差会普遍较大。在分析公司债券特殊条款时,附有担保的债券会有较小的信用利差,但担保条款对信用级别较高的债券如AAA的级别作用效果却不是很显著。附有债券时点回售的债券,信用利差会显著比未附有的小。流动性因素上,流动性越高的债券,信用风险发生概率越小,债券信用利差也会越小。综合分析模型的拟合优度时,发现所有个券层面因素对债券信用利差的解释力度达到了0.39,高于宏观层面因素和微观层面因素,表明个券层面因素所代表的非信用因素在我国公司债券信用利差中所占的比重较大。采用非平衡面板数据的相关模型,考虑各层面因素综合影响,实证分析所得结果与前文一致。合理设计债券类型,是降低公司债券信用利差的关键。然后,本文探究了不同评级公司债券信用利差曲线的结构特征,拟合了AAA、AA+、AA和A A-四种不同评级公司债券的信用利差曲线。建立A RMA模型,从模型的调整的拟合优度看,ARMA模型对公司债券信用利差的拟合更适用于AAA级、AA+级和AA级评级序列。检验ARCH模型得到AAA评级和AA+评级公司债券信用利差存在波动聚集性。通过构建不同评级债券信用利差的VAR模型,实证发现,不同评级债券信用利差间的相互关系较为明显,但格兰杰因果检验得到,任意一评级债券的信用利差都不会受到其余评级债券信用利差滞后项的影响。进而,本文研究了我国公司债券市场发展的现状,得到我国公司债券市场发展规模不断扩大,但总体上相比其他类型债券占比较小,且发行期限单一,信用评级整体偏高,交易量规模较小,担保类债券占比较大等特点。并从利率政策、地区制度环境、信息披露质量、担保特性(包含隐性担保)、债券种类和债券投资策略等方面提出了相应的政策建议。最后,总结了本文所得的结论,提出了全文研究不足。及时了解公司债券信用利差的影响因素,分析不同评级债券信用利差的变化特征,宏观上可以完善公司债券市场的发展,为市场监管者提供制定政策的依据。微观上,为债券投资者合理持有公司债券,避免信用债违约发生,减少投资损失提供参考。
[Abstract]:From 2014 to April, the super day debt default to "the principal debt default, the first single to SOE debt raised" Print-Rite MTN2 11 "and" 13 major private debt debt default have burst, credit risk becomes frequent. Bond credit spreads on corporate bonds on behalf of the credit risk has become the significance is already mature. Although the research literature problem of corporate bond credit spreads abroad, but domestic scholars from 2000 to focus on research in this area, and most are launched from the inter-bank bond market and corporate bond angle for comprehensive research on corporate bond credit spreads of stock exchange market has become particularly prominent in this paper. From September 2007 to November 2014 between the stock issuance and trading of corporate bonds as the research sample, using empirical analysis based on the theory of quantitative and qualitative analysis to The auxiliary, comprehensive study of the macro economy, market and system level, the overall situation of micro company, information disclosure and security level, issued a certificate level characteristics, related factors that affect the liquidity risk of corporate bond spreads, and explain the extent of comparison of different level factors on the credit spread. Then, N-S the credit spread curve model fitting based on Dynamic Characteristics Analysis between different rating credit spread curve of the self and mutual. Firstly, this paper theoretically analyzes the influencing factors of macro level corporate bond credit spreads, combined with the empirical analysis of corporate bond data obtained: the economic level, GDP, GDP volatility significantly reduce the corporate bond credit spreads, the broad money supply increases, expanding the producer price index will be in the corresponding level significantly increased the corporate bond credit Spread. And the factors of the consumer price index for the corporate bond credit spreads effect is not obvious. The market level, the risk-free interest rate and exchange rate increase will significantly increase the corporate bond credit spreads, stock market volatility changes will reduce the corporate bond credit spreads in a certain level. The institutional environment on credit the higher the bond spreads the regional corporation area better legal environment and market level will be significantly lower. The regression model of the overall goodness of fit reached 0.336, showed that the macro level factors occupies an important proportion in the interpretation of corporate bond credit spreads. Secondly, this paper analysis the factors which may influence the corporate bonds for the micro level. Study on micro level factors is considered more factors influence corporate bond credit risk: Empirical get micro level company specific nature, Ltd. The scale and asset return rate is higher, corporate bond credit spreads will be smaller. The high rate of assets and liabilities and a larger cash flow volatility will increase the uncertainty in business operations, improve the company's credit risk, thereby increasing the corporate bond credit spreads. The impact on corporate bond credit spreads the stock volatility on the whole it is not significant. More and more company information disclosure by bond investors, the quality of information disclosure is low and a high degree of information asymmetry will significantly reduce the corporate bond credit spreads. The implicit guarantee of government, company social bankruptcy cost and property rights of state-owned enterprises, due to take special care of the government, the smaller probability of company credit risk, corporate bond credit spreads will be smaller. Similarly, the micro level factors model of overall goodness of fit Reached 0.372, shows that the credit risk is still the main factors explaining the bond credit spreads. Thirdly, in order to analyze the effect factors of bond's own level, considering the influence factors, the bond issuance level and characteristics of liquidity risk and non credit risk of the bond are: the company level, on behalf of the bond credit risk the credit rating index, bond issuance may have a significant negative impact on corporate bond credit spreads. The remaining period longer and longer duration of the issuance of bonds, credit spreads are generally larger. In the analysis of corporate bonds special provisions, with guaranteed bonds will have smaller credit spreads, but the terms of the credit guarantee level high level bonds such as AAA effect is not very obvious. With the point of bonds sold back bonds, credit spreads significantly than not accompanied by small. The factor of liquidity, liquidity is higher The bond credit risk probability is small, the bond credit spreads will be smaller and smaller. The comprehensive analysis of the goodness of fit for the model, found the explanation of all bond level factors on bond credit spreads reached 0.39, higher than the macro level factors and micro level, show that the non credit factors represented by bond level factors for our corporate bond credit spreads in a larger proportion. The model of unbalanced panel data, considering the influence of many factors, the empirical analysis results are consistent with the previous design. The reasonable type of bond is the key to reducing the corporate bond credit spreads low. Then, this paper explores the structure characteristics of different bond credit Rating firm spread curve, fitting the AAA, AA+, AA and A A- credit spread curve of four different Rating firm bonds. The establishment of A RMA model, from the goodness of model adjustment degree, ARMA mode Fitting of the corporate bond credit spreads type is more suitable for AAA grade, AA+ grade and AA grade rating sequence. ARCH model AAA rating and AA+ Rating firm bond credit spreads volatility clustering. Through VAR model, construct different rating bond credit spreads the empirical analysis found that the relationship between different rating bond credit spreads between the more obvious but, Grainger causality test, any rating bond credit spreads are not affected by lag other rating bond credit spreads the effect. Then, this paper studies the present situation of development of China's corporate bond market development, the scale of China's corporate bond market continues to expand, but on the whole, compared with other types of bonds accounted for a relatively small, and issued for a period of a single, credit rating overall high, trading volume smaller, guarantee bonds accounted for relatively large area. And from the interest rate policy, system environment, letter Information disclosure quality, guarantee characteristics (including implicit guarantee), put forward the corresponding policy proposal bond type and bond investment strategy. Finally, summarizes the conclusions of this paper put forward the research deficiency. Timely understanding of the factors influencing corporate bond credit spreads, analysis of the variation characteristics of different rating bond credit spreads, macro it can improve the development of corporate bond market, provide policy basis for market regulators. The micro, as bond investors reasonably hold corporate bonds, avoid credit debt default, loss of reference to reduce the investment loss.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.51

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