供求关系、流动性对于中高等级信用债到期收益率的影响

发布时间：2018-06-09 15:37

本文选题：供求关系 + 资金面　；参考：《南京大学》2013年硕士论文

【摘要】：近年来,国内债券市场蓬勃发展,以企业债、中期票据为主的信用产品发展速度惊人。因此,研究债券收益率或者说债券价格的影响因素成为机构投资者购买合适债券的重中之重。投资者只有在准确预测价格走势的情况下才一可能获利；同时,研究债券市场的流动性也是预测利率水平的重要方面,深入对流动性的研究可以提前了解债券价格波动方向以及政策基本面情况,为投资者进行投资决策提供了有利支持。目前,商业银行是银行间债券市场主要参与者,持有的债券占到总量的60%-65%,是银行间债券市场的绝对主力。进一步细分,全国性商业银行是银行间债券市场的主要投资者,但从成交量来看,城市商业银行更为活跃。商业银行资产配置主要分成两块,由客户贷款和债券投资构成,其中客户贷款约古商业银行总资产的50%左右,而债券投资占总资产20%左右,债券投资占总资产的比重近年来有所增长。债券投资所获得的收入增长较快,已经成为仅次于贷款利息收入商业银行的主要利润来源,但是,贷款利息收入在短期内仍将是商业银行的收入主要来源,在过去的很多年了,贷款收益率普遍高于债券的收益率。作为债券市场的主力,银行的持债行为及其变化对债券市场有深远的影响,深刻理解这种影响对于我们研究判断债券市场走向具有重要意义。中高等级信用债需求方面由银行体系资金面决定,对于银行体系来说,资金面就是银行类金融机构在中央银行的超额存款准备金,在实践运用中,金融机构对十银行体系流动性的预测,一般用超额存款准备金率或超额存款准备金的绝对规模来衡量,其被广泛视作衡量银行体系流动性情况的指标。另一个影响银行对债券需求的因素是信贷政策的变化,理论上讲,经济快速增长阶段,银行加速信贷扩张,信贷资产增加对于银行的债券投资具有挤出效应,而在经济增速回落时,贷款风险上升以及信贷资产收益率下降使得信贷增速放缓,商业银行债券投资需求增加。针对目前国内学术界在债券市场研究上偏重于定性研究和理论综述的特点,本文通过理论结合实证分析,研究了银行超额存款准备金,新增人民币贷款以及债券发行量对高等级企业债、中期票据到期收益率的影响。研究结果表明,长期限的债券到期收益率受资金面的影响比较小；信用风险越高的债券其到期收益率越容易受到市场资金面的影响；超额存款准备金对到期收益率并没有影响；新增人民币贷款上升导致到期收益率下降；信用债发行量上升带来到期收益率上行压力;利率债发行量上升促使到期收益率下降。本文的实证研究是债券市场流动性研究的一个创新,对投资实践具有一定的意义,通过跟踪每月的新增人民币贷款、债券发行量以及外汇占款、公开市场操作、财政存款、法定存款准备金率和现金等多个宏观数据,投资者可以判断中高等级信用债到期收益率的变动方向和大致走势,为提高组合到期收益率提供决策依据。在实务界广泛运用超额存款准备金作为债券需求关键影响因素的背景下,通过相关的理论研究以及对一系列不同信用等级的债券到期收益率的实证分析得出超额存款到期收益率并不影响到期收益率的结论,可谓是颠覆了实务界原有的一些观点。但由于数据的偏少以及数据波动性较大,对研究结果产生一定影响,但是作为探索性、先驱性的研究而言,本文的研究依然存在较大价值,今后可以寻找其他反映债券供需的高频数据来对到期收益率做实证分析,更加准确的得出相关结论。
[Abstract]:In recent years, the domestic bond market has flourished, and the growth rate of credit products based on corporate debt and medium-term bill is remarkable. Therefore, it is the most important factor to study the bond yield or the influence factors of the bond price. The investor is only likely to make a profit only if the price trend is accurately predicted. At the same time, the study of the liquidity of the bond market is also an important aspect of the prediction of the interest rate level. Deep convective research can understand the direction of the bond price fluctuation and the basic situation of the policy ahead of time, which provides favorable support for investors to make investment decisions.
At present, commercial banks are the main participants in the inter-bank bond market, the bonds held in the total amount of 60%-65%, the absolute main force of the inter-bank bond market. Further subdivision, the national commercial bank is the main investor in the inter-bank bond market, but from the volume of business, the city commercial bank is more active. It is divided into two pieces, consisting of customer loan and bond investment, in which the customer loan is about 50% of the total assets of the old commercial bank, while the bond investment accounts for about 20% of the total assets, and the proportion of the bond investment in the total assets has increased in recent years. The income of the bond investment has increased rapidly and has become a commercial bank second only to the interest income of the loan. The main source of profit is, however, the loan interest income will still be the main source of income of commercial banks in the short term. In the past many years, the yield of the loan is generally higher than the yield of the bond. As the main force of the bond market, the bank's debt holding behavior and its changes have a profound influence on the bond market. It is of great significance to study and judge the trend of the bond market.
The demand for middle and high grade credit is determined by the capital side of the bank system. For the banking system, the capital side is the excess deposit reserve of the bank financial institutions in the central bank. In practice, the prediction of the liquidity of the ten banking system by the financial institutions generally uses the absolute reserve reserve ratio or the excess deposit reserve. In scale, it is widely seen as an indicator of the liquidity of the bank system. Another factor that affects the bank's demand for bonds is the change in the credit policy. In theory, the rapid growth stage of the economy, the bank's acceleration of credit expansion, the increase of credit assets for the bond investment of the bank, and the decline in economic growth. At the same time, the increase in loan risk and the decline in credit assets yield slowed down credit growth and increased demand for commercial bank bond investment.
In view of the characteristics of the qualitative research and theoretical review on the bond market research in the domestic academia, this paper studies the effect of the bank excess deposit reserve, the new RMB loan and the bond issuance on the high grade debt and the maturity rate of maturity by the theory combined with empirical analysis. The maturity of the bond is less affected by the capital surface; the higher the credit risk, the more the maturity yield is affected by the market capital; the excess deposit reserve has no effect on the maturity yield; the rise of the new RMB loans leads to the decline in the maturity yield; the rise of the credit issue is due to maturity. The upward pressure on yields; the rise in interest rate debt issuance pushed down yields.
The empirical study of this paper is an innovation in the liquidity study of the bond market, which is of certain significance to the investment practice. By tracking the monthly new RMB loans, the amount of the bond issuance and the foreign exchange occupied, the open market operation, the financial deposit, the statutory deposit reserve ratio and the present gold, the investors can judge the middle and high levels. The changing direction and general trend of the maturity rate of credit maturity to provide a decision basis for improving the rate of maturity of the combined maturity. In the context of the application of the excess deposit reserve as the key factor for the bond demand in the practical field, the relevant theoretical research and a series of empirical studies on the maturity yield of bonds that are different from the credit rating are carried out. The conclusion is that the expiration rate of excess deposit does not affect the rate of yield due to maturity. It can be described as subverting some of the original views of the practice circle. However, due to the little data and the greater volatility of data, it has a certain impact on the research results, but as an exploratory and pioneer research, the research of this paper still has great value. In the future, we can find other high frequency data reflecting the demand and supply of bonds to make an empirical analysis of the yield to maturity, and draw more accurate conclusions.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】