我国短期融资券信用利差影响因素实证研究

发布时间：2018-05-30 05:02

本文选题：短期融资券 + 信用利差　；参考：《东北财经大学》2012年硕士论文

【摘要】：自2005年中国人民银行重新开启短期融资券市场以来,中国的短期融资券市场得到了迅猛的发展,市场规模持续扩大,市场功能不断得到健全。短期融资券市场的活跃并不能掩盖短期融资券市场所存在的问题,我国金融产品不够丰富,信用市场发展历史还比较短,信用产品的风险都未能形成合理的市场化定价机制。这就需要研究人员对信用风险因素进行实证研究,建立合适的风险评估模型对短期融资券的风险进行计量分析,对当前中国短期融资券市场来说显得非常迫切。本文研究的主要目的是通过对我国短期融资券发行信用利差的研究来找出对利差的主要影响因素,使参与短期融资券的各方对信用风险有更好的认识,以此来为发行主体和投资者提供一定的参考价值；此外还将利用各显著因素构造信用利差和发行利率的预测模型,可以利用预测模型为监管机构、发行主体和投资者提供参考。本文理论分析部分首先回顾了国内外的信用风险研究历程,并对短期融资券的特点与发展趋势进行总结,也研究了中国短期融资券市场发展情况以及我国短期融资券市场的发行利差情况。然后,结合当前的研究现状,对短期融资券的分析方法使用的主要是信用风险理论以及利率风险理论进行评述,从理论层面分析了信用风险、流动性风险、再投资风险、利率风险在风险定价中的影响。而且着重分析了信用风险因素与利率风险因素对发行利差以及发行定价的影响。在理论分析的基础上,将信用利差影响因素分为宏观和微观两方面的14个因素。本文实证部分是基于前文对发行利差影响因素的理论分析而进行的。分析短期融资券发行定价的模型主要参考了Altman的Z值模型,并结合回归分析等计量方法,对信用利差影响因素进行单因素定量分析,然后考虑所有显著因素构建信用利差预测模型,在模型构建时加入了虚拟变量,并尝试了加法、乘法、混合虚拟变量模型,选取效果最好、理论意义最有价值的回归模型对信用利差进行预测：然后在此基础上构建发行利率预测模型,进行样本外预测,分析模型的预测效果。结合理论分析与实证检验,有以下结论： (1)宏观经济因素对发行利差的影响都是非常显著的,这包括了经济形势(用景气指数来反映)、货币政策(用M1增长率来反映)、国内外基准利率(用SHIBOR和LIBOR来反映)；其次,短融券发行因素中发行评级是非常显著的,而发行规模和发行期限的影响相对不够显著；再次,对于财务因素的分析显示财务因素对于发行利差的影响不够显著,只有资本结构和偿债能力两个因素中有部分指标是显著的。这反映出我国短期融资券市场的财务因素影响机制不够完善；最后,对于发行主体非财务因素的分析显示,行业差异不是一个显著因素,而上市与否和企业性质都是显著因素。 (2)本文建立了短期融资券信用利差与发行利率预测模型。利用预测模型进行样本内和样本外预测都可以达到非常理想的效果。对模型分析发现,不同企业性质的发行主体,其发行利差存在显著差异；不同企业性质的发行主体,其发行利差随基准利率变化也呈现出不同程度的变化；此外,模型中财务因素的影响与理论稍有偏差,这反映出我国短期融资券市场正处于快速发展期,其对发行利差的影响机制尚不完善,有待有关监管部门需要加强监管。
[Abstract]:Since the People ' s Bank of China re - opened the short - term financing bonds market in 2005 , China ' s short - term financing bonds market has been developed rapidly , the market size continues to expand , and the market function is continuously improved .
In addition , the prediction model of the credit spread and the issuing rate will be constructed by using the salient factors , and the prediction model can be used as the reference for the regulatory agency , the issuing subject and the investor .

This paper first reviews the history of credit risk research at home and abroad , summarizes the characteristics and development trend of short - term financing bonds , and reviews the impact of credit risk , liquidity risk , re - investment risk and interest rate risk in risk pricing .

The empirical part of this paper is based on the theoretical analysis of the influencing factors of the issuance of profit margin . The model mainly refers to Altman ' s Z - value model , and combines regression analysis and other measurement methods to make a single - factor quantitative analysis on the influencing factors of credit spreads . Then , considering all the significant factors , we add the virtual variable to the credit spreads , and then try adding , multiplying , mixing the virtual variable models , selecting the best results and the most valuable regression models of the theory to predict the credit spreads .

Combined with theoretical analysis and empirical test , we have the following conclusions :

( 1 ) The impact of macro - economic factors on the distribution spreads is very significant , which includes the economic situation ( reflected by the economic index ) , the monetary policy ( reflected by the growth rate of M1 ) , the domestic and foreign benchmark interest rates ( reflected by SHIBOR and LIBOR ) ;
Secondly , the issuance rating of short - margin issuing factors is very significant , and the effect of the distribution scale and the distribution period is relatively insufficient .
Thirdly , the analysis of the financial factors shows that the financial factors are not significant enough for the issuance of the spreads , and only some of the two factors of the capital structure and the debt service ability are significant . This reflects that the financial factors of the short - term financing bonds market in our country are not perfect ;
Finally , the analysis of non - financial factors of the issuing subject shows that the industry difference is not a significant factor , and the listing or the nature of the enterprise is a significant factor .

( 2 ) In this paper , we establish a model for predicting the credit spread and issuing rate of short - term financing bonds . The prediction model can be used to predict both intra - sample and out - of - sample forecasts .
The issuing body of different enterprise character , its distribution spreads with the benchmark interest rate change also presents different degrees of change ;
In addition , the influence of the financial factors in the model is slightly different from the theory , which reflects that the short - term financing bond market in our country is in the fast development period , its influence mechanism on the issue spreads is not perfect , and the relevant regulators need to strengthen the regulation .
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】