我国企业债券信用价差影响因素研究

发布时间：2018-04-09 00:36

本文选题：企业债券　切入点：结构化模型　出处：《暨南大学》2013年硕士论文

【摘要】：我国企业债券的信用价差，本文定为企业债券和对应期限的国债到期收益率之差，用于观测企业债券市场的风险状况，观察投资者在风险态度不变的情况下，对企业债券市场风险程度的判断。在2010年第一季度到2012年第三季度期间,我国企业债券市场的信用价差表现为上升的总体趋势中，，包含先下降，后上升再下降的分段趋势，以每年的第三季度作为折点；从信用价差的标准差来看，信用价差的分布较为分散。本文以信用价差表征信用风险，可以看出我国企业债券市场信用风险在总体增加的趋势中，呈现出每四个季度一个趋势段的状态，同时，信用风险的分散性表明了我国企业债券市场发展仍待完善。本文采用结构化模型推导信用价差的影响因素，并结合我国企业债券市场的特殊性加入其它重要影响因素，运用面板模型对微观因素和宏观因素进行综合实证分析。实证结果显示，结构化模型对我国企业债券市场具有一定的指导作用，最终确定的面板模型的解释力为47.66%。我国企业债券市场信用价差的变动多依赖于宏观经济指标的变动，企业微观层面上的财务指标信息对投资者做出风险判断的贡献较小。另外，由于我国企业债券市场投资者多为机构投资者，对个体投资者影响甚大的股票市场收益率的信息对企业债券市场的实际影响力并不显著。
[Abstract]:The credit spread of corporate bonds in China, which is defined as the difference between corporate bonds and maturing yields of bonds with corresponding maturities, is used to observe the risk situation in the corporate bond market and to observe the investors' constant risk attitude.Judge the degree of risk in the corporate bond market.In the period from the first quarter of 2010 to the third quarter of 2012, the credit spreads of our country's corporate bond market show the general trend of rising, including the sub-trend of first decreasing, then rising and then decreasing, and taking the third quarter of each year as the break point.From the standard deviation of credit spreads, the distribution of credit spreads is more dispersed.In this paper, the credit risk is characterized by credit spread. It can be seen that the credit risk in the corporate bond market in our country shows a trend segment every four quarters in the overall increasing trend, and at the same time,The dispersion of credit risk indicates that the development of corporate bond market in China is still to be improved.In this paper, we use structured model to deduce the influencing factors of credit spreads, and add other important factors to the particularity of our country's corporate bond market, and use the panel model to make a comprehensive empirical analysis of micro and macro factors.The empirical results show that the structured model has a certain guiding effect on the corporate bond market in China, and the interpretation power of the final panel model is 47.66.The change of credit spreads in our country's corporate bond market depends on the change of macroeconomic indicators, and the financial index information on the micro level of enterprises contributes little to the risk judgment of investors.In addition, because the investors in our country's corporate bond market are mostly institutional investors, the information of the yield of the stock market, which has a great influence on the individual investors, has little effect on the actual influence of the corporate bond market.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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