我国企业债信用价差的影响因素研究

发布时间：2018-03-17 20:36

本文选题：企业债　切入点：信用价差　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：在金融市场中,企业债扮演着融资和资本配置媒介等重要职能。近年来我国债券市场发展迅速,但是相比较于国债和金融债的飞速发展,企业债始终止步不前。究其原因,企业债除了面临利率风险外,还面临信用风险。在二级市场上,通常可以用信用价差来代替企业债的信用风险。那么,企业债信用价差的影响因素包括哪些呢?在这些影响因素中,又有哪些因素是显著性影响因素呢?最后,这些影响因素究竟是通过何种路径和机制作用于信用价差呢?本文将对此展开研究。本文首先从理论模型出发,阐述了信用价差决定理论中的结构化模型、简化模型和混合模型,并从中得出企业债券信用价差的影响因素；紧接着,本文结合国内外关于信用价差影响因素的实证研究出发,进一步发掘出利率期限结构和债券评级等影响因素,并从宏观经济层面、企业债发行主体自身状况因素和企业债自身特征因素这三个层面,对我国企业债信用价差的影响因素进行了系统归类；之后,本文以我国85家上市公司发行的企业债的相关数据信息为基础,采用多元线性回归和相关性分析法考察了上述三个层面的因素对我国企业债券信用价差的影响,并得出了以下结论： (1)在宏观经济因素层面,无风险利率和汇率与企业债信用价差负相关；在发债主体自身状况因素层面,企业的盈利能力和偿债能力与企业债的信用价差显著相关,企业的盈利能力和偿债能力越强,则企业债的信用价差越小；在企业债自身特征因素层面,发债企业的信用评级是影响企业债信用价差的关键因素,发债企业的信用评级越高,相应的企业债的信用价差越小。 (2)股票价格波动率因为其对信用价差的解释力度不大而被剔除出最终的回归模型,与发债企业所处行业和发债企业的主体性质相关的指标也均被排除在了回归模型之外。 (3)作用机制分析显示,上述影响因素都是通过作用于企业债违约概率或者企业债市场的供需而影响企业债的信用价差。
[Abstract]:In the financial market, corporate bonds play an important role in financing and capital allocation. In recent years, China's bond market has developed rapidly, but compared with the rapid development of national debt and financial debt, corporate bonds have been stagnant. In the secondary market, the credit spread can be used to replace the credit risk of corporate debt. Among these factors, what are the significant factors? Finally, through what path and mechanism do these factors affect credit spreads? This article will carry out the research to this. In this paper, the structural model, simplified model and mixed model of the credit spread decision theory are expounded from the theoretical model, and the influencing factors of the corporate bond credit spread are obtained. Based on the empirical research on the factors affecting credit spreads at home and abroad, this paper explores the influence factors such as the term structure of interest rates and bond ratings, and from the macroeconomic level, This paper systematically classifies the factors affecting the credit spreads of corporate bonds in China from the three aspects of the main body of corporate debt issuance and the characteristics of corporate bonds. After that, the factors affecting the credit spreads of corporate bonds in China are systematically classified. Based on the relevant data of corporate bonds issued by 85 listed companies in China, this paper uses multiple linear regression and correlation analysis to investigate the influence of the above three factors on the credit spreads of corporate bonds in China. The conclusions are as follows:. At the level of macroeconomic factors, the risk-free interest rate and exchange rate are negatively correlated with the credit spreads of corporate bonds, and the profitability and solvency of enterprises are significantly related to the credit spreads of corporate bonds. The stronger the profitability and solvency of enterprises, the smaller the credit spread of corporate bonds, and the higher the credit rating of bond issuing enterprises, the more the credit rating of bond issuing enterprises is the key factor affecting the credit spreads of corporate bonds. The credit spread of the corresponding corporate debt is smaller. 2) the stock price volatility is eliminated from the final regression model because of its weak explanation of credit spreads, and the indexes related to the industry and the main nature of the bond issuing enterprises are also excluded from the regression model. 3) the analysis of the action mechanism shows that the above factors affect the credit spread of the enterprise debt by acting on the probability of default or the supply and demand of the enterprise bond market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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