城投债发行信用利差的实证分析

发布时间：2018-05-07 06:41

本文选题：城投债 + 市政债　；参考：《复旦大学》2014年硕士论文

【摘要】：自1994年我国实行分税制改革起,地方经济的发展和财政的增收得到了很大促进,但与此同时,地方事权和财权不统一导致了地方政府越来越大的资金缺口。由于地方政府无权发行政府债券,因此通过建立地方政府融资平台公司融资成为筹集城市基础设施建设等公共服务项目资金的重要来源。自1993年上海市城市建设投资开发总公司发行第一支城市投资建设债券以来,经过短短二十年的曲折发展,城投债终于在近年来实现了爆发式增长,逐步为政府、企业以及各方投资者所关注。然而,在快速扩容的同时,地方政府融资平台融资过多过快所引发的一系列问题开始崭露头角,比如城投公司良莠不齐、主营业务赢利微薄、财务数据不可靠、政府隐性或显性担保等,增加了市场对其信用风险的关注,因此在这个时点研究其信用利差的决定因素具有重要意义。城投债作为一个较新的债券品种,目前国内学者相关的研究成果较少,有限的实证研究一般基于百支左右的样本量,说服能力不强。本文以城投类企业债这一债券类别作为切入点,建立多元回归分析模型,对2006年1月1日至2013年12月31日之间发行的城投类企业债发行信用利差的影响因素进行实证研究,通过数据搜集和筛选共得到1402个有效样本。在对大量国内外文献进行研究和综述的基础上,本文将城投类企业债的发行信用利差的影响因素主要分为财务和非财务类因素两大类,并对财务类因素进行主成分分析提取关键因子,之后分别通过多元回归研究这两大类指标对城投债发行利差的影响,最后进行全指标多元回归分析,以得到稳健的结论。全变量模型拟合效果良好,调整的R2达到0.74,模型说服力较强。研究发现,非财务类指标中,各类宏观因子对发行利差都有显著的影响,GDP和货币发行量增长率越高、通货膨胀程度越低、债券市场行情越好,城投债发行利差越低；区域因素中,地方财政赤字率越低、发债主体行政级别越高,城投债的发行利差越低,即市场对城投债的信用风险的判断很大程度上是看发行主体背靠的地方政府；在债券自身相关因素中,债项评级越高、发行量越大,城投债的发行利差越低,而由于城投类企业债发行期限都较长,发行期限对利差的影响不显著,整体非财务类因素的回归结果非常显著,调整的R2达到0.73,模型解释能力较强。而在主成分分析提取的六个财务类主成分中,只有代表公司规模和营运能力的第一主成分和代表负债比率的第四主成分系数显著。将六个财务主成分加入到非财务因素多元模型中,调整R2仅提升0.01,财务因素边际贡献率较低,说明财务类指标对城投债发行利差的解释能力有限。
[Abstract]:Since the implementation of the tax sharing reform in 1994, the development of local economy and the increase of fiscal revenue have been greatly promoted, but at the same time, the disunity of local administrative power and financial power has led to an increasingly large fund gap of local governments. Since local governments have no right to issue government bonds, the establishment of local government financing platforms has become an important source of financing for public service projects such as urban infrastructure construction. Since 1993, when Shanghai Urban Construction Investment and Development Corporation issued its first urban investment and construction bond, after just 20 years of tortuous development, the city investment bond has finally achieved a explosive growth in recent years and gradually became the government. Companies and investors from all sides are concerned. However, at the same time as the rapid expansion of capacity, a series of problems caused by the excessive and too fast financing of local government financing platforms have begun to emerge, such as the mixed mix of city investment companies, the meagre profits of their main businesses, and the unreliable financial data. The implicit or explicit guarantee of the government has increased the market's concern about its credit risk, so it is of great significance to study the determinants of its credit spreads at this point in time. As a new bond variety, there are few related research results of domestic scholars at present. Limited empirical research is based on the sample size of about 100 branches, and the persuasion ability is not strong. In this paper, a multiple regression analysis model is established to analyze the influencing factors of credit spreads between January 1, 2006 and December 31, 2013. A total of 1402 valid samples were obtained through data collection and screening. Based on the research and review of a large number of domestic and foreign literatures, this paper divides the factors that affect the credit spreads of CITIC corporate bonds into two categories: financial factors and non-financial factors. The key factors are extracted by principal component analysis of financial factors, and then the effects of these two indexes on the spread of city investment bond issuance are studied by multiple regression analysis. Finally, the multiple regression analysis of the whole index is carried out to get a robust conclusion. The fitting effect of the whole variable model is good, the adjusted R2 is 0.74, and the model is more persuasive. It is found that in the non-financial indicators, all kinds of macro factors have a significant impact on the spread of issue interest. The higher the growth rate of GDP and currency issuance, the lower the inflation, the better the bond market, and the lower the spreads of the city investment bond issuance. Among the regional factors, the lower the local fiscal deficit rate is, the higher the administrative level of the bond issuers is, and the lower the interest rate difference is, that is, the market judges the credit risk of the city investment debt to a large extent, which depends on the local government that the issuer relies on; Among the related factors of bond itself, the higher the rating of debt, the larger the issuance amount, the lower the interest rate difference of city investment bond issuance, but because of the long issuance period of enterprise bonds, the impact of issuance period on interest rate difference is not significant. The regression results of the whole non-financial factors are very significant, the adjusted R2 is 0.73, and the model has strong explanatory ability. Among the six principal components extracted by principal component analysis, only the first principal component representing the size and operation ability of the company and the fourth principal component coefficient representing the debt ratio are significant. By adding six principal financial components into the multivariate model of non-financial factors, the adjustment R2 is only increased by 0.01, and the marginal contribution rate of financial factors is low, which indicates that the financial indicators have limited ability to explain the margin of interest rate of city investment bond issuance.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F283;F832.4

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