中国城投债券信用利差影响因素的实证研究

发布时间：2018-05-20 00:01

本文选题：城投债 + 信用利差　；参考：《华东师范大学》2014年硕士论文

【摘要】：城投债作为地方政府的融资工具之一,长期以来在我国发展较为缓慢。然而2009年之后,伴随城市化建设的加速及金融危机后4万亿经济刺激计划的带动,城投债成为地方政府解决资金缺口的重要融资手段,并迎来了高速增长阶段。然而,地方政府债务的过度膨胀导致其蕴藏巨大的风险,尤其是进入2013年,地方政府债务问题再度引发持续关注。信用利差作为信用风险的直接体现,在此时对城投债信用利差的研究有助于正确认识我国城投债市场存在的信用风险。本文采用理论与实证相结合的研究方法,力图通过理论论述及实证检验分析我国城投债信用利差的影响因素。研究中首先对城投债及信用利差的概念特性进行梳理；其次对我国城投债产生的背景、发展历程及现状等进行全面的介绍,并提取出潜在的信用利差影响因子；最后通过实证研究得出城投债信用利差各影响因素的作用方向和影响程度。本文通过因子分析提取出城投债信用利差的七大影响因素,并利用多元回归构建了实证模型,结果显示,货币流动性情况、主体规模及盈利能力、地方政府财政实力等因素对城投债的一级市场发行信用利差具备显著地影响。这一方面验证了我国现行的债券直接融资市场仍不健全的事实,债券发行定价机制受货币流动性的影响较大；另一方面也从实证角度揭示了我国城投公司对地方政府财政支持的过度依赖性。文章的结论与目前我国城投债的运行模式及市场状况相吻合。
[Abstract]:As one of the financing tools of local government, city investment debt has been developing slowly in our country for a long time. However, after 2009, with the acceleration of urbanization and the economic stimulus of 4 trillion after the financial crisis, the city investment debt has become an important financing means for local governments to solve the financing gap, and ushered in a period of rapid growth. However, the excessive expansion of local government debt has led to huge risks, especially in 2013, and the problem of local government debt has aroused renewed concern. As the direct embodiment of credit risk, the research on credit spread of city investment bond is helpful to understand the credit risk of our country's city investment bond market. This paper tries to analyze the influencing factors of credit spread of city investment debt in China by theoretical discussion and empirical test by means of combining theory with empirical research. In the study, firstly, the concept characteristics of city investment debt and credit interest difference are combed out; secondly, the background, development course and present situation of city investment debt in China are introduced comprehensively, and the potential credit interest difference influencing factors are extracted. Finally, through the empirical study, we get the direction and degree of the influence factors of the credit spread of city investment debt. Through factor analysis, this paper extracts the seven factors that affect the credit spread of city investment debt, and constructs an empirical model by using multiple regression. The results show that the money liquidity, the main body size and the profitability are the main factors. The local government financial strength and other factors have a significant impact on the credit spread of the first-class market. On the one hand, it verifies the fact that the current direct bond financing market in China is still imperfect, and the pricing mechanism of bond issuance is greatly influenced by monetary liquidity. On the other hand, it also reveals the excessive dependence of CICC on local government financial support from an empirical point of view. The conclusion of this paper is consistent with the operation mode and market situation of our country's city investment debt.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F812.5;F299.24;F832.51

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