我国中期票据市场流动性实证研究

发布时间：2018-05-09 03:03

本文选题：流动性 + 评级　；参考：《复旦大学》2013年硕士论文

【摘要】：中期票据为一种创新的银行间债券品种,中期票据的发行不仅能满足银行间市场的资金需求,还为企业融资低成本创造了新的机遇。发行中期票据对金融市场有着深远影响。本文主要是以中国的中期票据市场为研究对象,通过研究总结国内外有关流动性研究的文献,然后借鉴别人的模型对中国市场流动性进行检验。文章先是回顾了中国中期票据市场的发展,从2008年到2011年,中票市场无论是发行数量还是发行总额都显著的增加,发行的债券品种也多样化。接着又通过模型定量的计算08-11期间发行的中票的流动性并使之与发行主体、主体评级、发行规模和发行年限进行相关性分析。发现流动性与公司的性质,主体评级和发行规模都有显著相关。同时又对信用利差和流动性做了回归分析,发现流动性越大,信用利差越小。最后针对研究发现中国中期票据市场虽然自起步至今发展迅速,但是与发达国家相比仍然有待提高,并对此提出发展研究看法。
[Abstract]:Medium-term note is a kind of innovative interbank bond, and the issuance of medium-term note can not only satisfy the interbank. The capital demand of the market, also created new opportunity for enterprise financing low cost. The issue of mid-term notes has a profound impact on financial markets. This article mainly takes China's medium-term bill market as the research object, through the research summarizes the domestic and foreign literature about the liquidity research, then draws lessons from others' model to carry on the test to the Chinese market liquidity. The paper first reviews the development of China's medium-term paper market. From 2008 to 2011, both the amount of issuance and the total amount of issuance have increased significantly, and the variety of bonds issued is also diversified. Then the liquidity of the ticket issued in the period of 08-11 is quantitatively calculated by the model, and the correlation analysis is made between the liquidity of the ticket and the main body, the main rating, the size of the issue and the issue life. It is found that liquidity is significantly related to the nature of the company, the main rating and the size of the issue. At the same time, the regression analysis of credit spreads and liquidity shows that the greater the liquidity, the smaller the credit spreads. Finally, it is found that China's medium-term paper market has been developing rapidly since its inception, but it still needs to be improved compared with developed countries.
【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

【参考文献】