我国城投债信用风险研究

发布时间：2018-03-26 03:32

本文选题：城投债　切入点：交通债　出处：《山东大学》2017年硕士论文

【摘要】：2014年"43号文"的出台及新预算法的通过,使得城投公司及城投债的地位相比之前发生了重大变化,新政策将地方政府与城投公司的权属关系进行了明确剥离,地方政府不得以任何形式再为城投公司发行的债券提供显性或隐形的担保,尤其在2017年地方政府债务置换完毕后,除部分纳入财政预算的融资平台债务外,所有的城投公司债务均明确不再属于地方政府债务,地方政府对城投公司进行扶持只能通过资产注入或者补贴的形式,公司也不能再依靠其背后地方政府信用对其债务进行背书,但是制度的隔离确能直接影响投资者的价值判断,投资者在对城投债进行投资时也会更关注城投公司经营的财务状况。城投债种类较多,相比纯公益性质债券,交通类债券主营业务明确,具有较稳定的收益来源,对地方财政的依赖程度弱,更符合投资者投资产业债的逻辑。本文以交通类城投债作为研究对象,并选择交通类债券"甬交投"进行案例分析,源于宁交投主营业务明确,盈利能力要远远好于其他类型的城投公司,但是其连续两年亏损,2016年被进行停牌处理,但是其信用级别并未被下调。通过对交通类城投债资产负债表、利润表、现金流量表的解读了解背后的一些特殊科目所特有的含义,可以此识别影响其财务状况的风险因素。在实证部分,综合考虑"43号文"等系列新政对债券市场的影响和数据的可获得性,本文选取2014年及之后发行的33只交通类债券作为实证对象,通过因子分析对财务数据进行降维处理,构建多元有序Logistic回归模型,研究结果表明交通类城投公司的偿债能力、资产结构、现金流获取能力、业务获利能力、政府支持力度、地方经济发展水平、地方财政收支状况、担保增信指标越优,越有利于降低债券的违约概率,降低信用风险。此外通过检验实证参数构建的交通类债券违约概率模型,说明该模型简单可操作性强且具有一定的违约概率预警能力。最后,文章提出相关政策建议:地方政府应发挥积极主导作用,加强城投公司的市场化改革,建立健全对城投公司的信息披露制度,完善债券信用评级市场。
[Abstract]:The introduction of the "43 article" in 2014 and the adoption of the new budget law have made the status of the city investment company and the city investment debt changed significantly compared with the previous ones. The new policy has clearly stripped off the ownership relationship between the local government and the city investment company. Local governments are not allowed to provide explicit or implicit guarantees in any form for bonds issued by CICs, especially after 2017 when local government debt swaps are completed, with the exception of part of the financing platform debt included in the budget. All CICC debts are clearly no longer local government debt, and local government support to CICs can only take the form of asset injections or subsidies. The company can no longer rely on the credit of the local government to endorse its debt, but the isolation of the system can directly affect the value judgment of investors. Investors will also pay more attention to the financial situation of the city investment companies when they invest in the city investment bonds. There are more types of city investment bonds. Compared with pure public interest bonds, the main business of transport bonds is clear and has a more stable source of income. The degree of dependence on local finance is weak, which is more in line with the logic of investors' investment in industrial bonds. Profitability is far better than other types of CICs, but it lost two years in a row and was suspended in 2016, but its credit rating has not been downgraded. The interpretation of the statement of cash flows understands the specific meaning of some of the special subjects behind it, which can be used to identify the risk factors that affect its financial position. Considering the influence of the New deal on the bond market and the availability of data, this paper selects 33 traffic bonds issued in 2014 and after as the empirical object, and analyzes the financial data through factor analysis. The multivariate ordered Logistic regression model is constructed. The results show that the traffic city investment company's solvency, asset structure, cash flow acquisition ability, business profitability, government support, local economic development level, local financial revenue and expenditure situation, The better the guarantee credit index is, the better the default probability of bonds is and the lower the credit risk is. In addition, the model of default probability of transportation bonds is constructed by testing the empirical parameters. It shows that the model is simple and operable and has certain ability of early warning of default probability. Finally, the paper puts forward some relevant policy suggestions: local governments should play an active leading role in strengthening the market-oriented reform of city investment companies. To establish and improve the information disclosure system for CITIC, and improve the bond credit rating market.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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