我国城投债的信用利差影响因素分析

发布时间：2018-03-02 23:13

本文选题：城投债　切入点：信用利差　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：2008年以来,为地方政府融资而设立的融资平台相继设立,我国的城投债发行规模快速增长。随着城投债规模的扩大,其风险特征也越来越受到市场关注。目前国内学术界对城投债的信用利差的研究还不多且不够深入,本文首先从理论上分析了可能影响城投债信用利差的宏微观因素,接着用实证分析的方法进行验证。本文筛选了2006年3月1日至2013年12月31日近2000只城投债数据,将城投债的主要类别企业债、中期票据、短期融资券单独研究。本文首先梳理了城投债发展的历史与现状,从不同角度统计分析了目前我国城投债的特点,包括发行规模、发行期限、发行区域、担保增信等方面。接着又定量分析了信用增信和评级对城投债利差的影响。在实证部分首先运用经典OLS回归模型,将信用评级、发行期限、M2、利率期限结构斜率等宏微观变量纳入基本回归模型,并且控制了行业、跨市场、特殊条款等变量对回归结果的影响,得到初步结论。接着进行扩展性回归分析,首先将被解释变量由税前利差改为税后利差,再用基本模型对三类城投债进行回归分析,观察各变量回归系数的变化并做出解释。最后采用分位数回归模型,通过考察不同分位点的各解释变量对利差的影响,更深入地了解宏微观变量影响信用利差的作用机制。本文主要结论：1、对于宏观因素解释变量,无风险利率期限结构斜率与城投债的发行利差显著负相关；GDP增长率与城投企业债的发行利差负相关；M2增速与城投债利差正相关。2、对于微观因素解释变量,信用评级与城投债发行利差显著负相关；对于城投公司企业债而言,到期剩余期限与信用利差负相关,对于城投公司中期票据而言,到期剩余期限与利差正相关；城投公司企业债的发行规模与发行利差负相关。
[Abstract]:Since 2008, the financing platform for local government financing has been set up one after another, and the scale of city investment bond issuance in China has increased rapidly. At present, the research on credit spread of city investment bond is not enough and deep enough in domestic academic circles. Firstly, this paper theoretically analyzes the macro and micro factors that may affect the credit spread of city investment bond. Then we use the empirical analysis method to verify. This paper selects nearly 2000 city debt data from March 1st 2006 to December 31st 2013, and then analyzes the main types of corporate bonds, medium-term notes, which are the main types of corporate debt. This paper firstly combs the history and the present situation of the development of the city investment debt, and analyzes the characteristics of our country's city investment debt from different angles, including the issuing scale, the issue term, the issuing area, In the empirical part, we first use the classical OLS regression model to evaluate the credit rating. The macro and micro variables such as maturity M 2, slope of interest rate term structure are incorporated into the basic regression model, and the influence of industry, cross market, special clause and other variables on the regression results is controlled, and a preliminary conclusion is obtained. Then the extended regression analysis is carried out. Firstly, the explained variable is changed from the pretax interest difference to the post-tax interest difference, and then the regression analysis of the three types of city debt is carried out by using the basic model, and the variation of the regression coefficient of each variable is observed and explained. Finally, the quantile regression model is used. By investigating the effect of the explanatory variables of different loci on the spread of interest rate, we can better understand the mechanism of macro and micro variables affecting credit spreads. The main conclusion of this paper is: 1, for macro factors, The slope of term structure of risk-free interest rate is negatively correlated with the spread of city bond issuance. The negative correlation between the growth rate of GDP and the margin of issuance interest rate of enterprise bond is the positive correlation between M2 growth rate and the spread of interest rate of city investment bond. Credit rating has a significant negative correlation with the spreads of city investment debt issuance; for corporate bonds of city investment companies, the remaining maturity period is negatively correlated with credit spreads, and for medium-term notes, the maturity remaining period is positively correlated with interest spreads; There is a negative correlation between the issuance scale of corporate debt and the margin of issue interest.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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