沪深交易所公司债券收益率利差决定因素实证分析

发布时间：2018-07-05 13:02

本文选题：公司债券利差 + 采购经理指数　；参考：《哈尔滨工业大学》2014年博士论文

【摘要】：中国债券市场不断发展壮大，在资本市场中的作用越来越重要，沪、深交易所债券市场也日益发展，其中公司债券的发展对公司融资具有重要影响。对公司债券收益率利差的研究具有重要意义。尽管人们普遍认为许多因素对公司债券利差产生影响，但已有的研究多集中于违约风险与信用风险，缺乏较为系统、全面的理论分析和实证研究，迫切需要对公司债券利差影响因素进行更加深入的分析。论文以定量分析为主，以定性分析为辅。采用理论与实证相结合的方法进行研究，分析了宏观经济环境因素、资本市场因素和债券个体因素对公司债券收益率利差的影响，然后，对三个层次的因素进行了综合分析。以下是本文的主要内容：首先，分析了公司债券收益率利差决定因素研究的理论基础。明确了公司债券的内涵，界定了公司债券收益率利差。深入分析了公司债券利差决定因素并介绍了公司债券收益率利差分析方法。为实证分析奠定基础。其次，分析了宏观经济因素对公司债券收益率利差的影响。利用自回归条件异方差模型分析公司债券收益率特性，发现公司债券收益率具有波动聚集性，但公司债券收益率不存在非对称性。接着，采用企业家信心指数、消费者信心指数、企业景气指数三个指标分析了2012年宏观经济环境状况，发现2012年经济有逐渐走低趋势。随后，创新性地选择九个因素作为自变量，它们分别表示制造业发展状况、通货膨胀水平、货币供应量变化与外汇变动。对九个自变量逐步回归分析，发现工业品出厂价格指数、企业商品交易价格指数显著，表明工业、企业产品价格变化对公司债券利差有重要影响；汇率因素与公司债券利差显著负相关；工业增加值因素与公司债券利差显著负相关，它代表宏观经济发展状况，但系数很小；采购经理指数与公司债券利差显著负相关，但从系数看，它的影响远小于价格因素。之后，采用2011年的数据对上述实证结果进行了稳健性检验。再次，分析了资本市场因素对公司债券利差的影响。主要利用面板数据分析了债券综合指数、股票综合指数、债券特质波动率和股票特质波动率对公司债券利差的影响。发现股票综合指数与公司债券利差显著负相关；债券综合指数与公司债券利差显著正相关；债券特质波动率和股票特质波动率与公司债券利差显著正相关，但股票综合指数的影响远小于债券综合指数。股票特质波动率的影响小于债券特质波动率的影响，这是本文的新发现。随后，选取2011年的数据进行了稳健性检验。然后，从两方面分析了债券个体因素对公司债券利差的影响。一方面，利用面板数据分析了基于债券市场的公司规模因素、价值因素、基于股票市场的公司规模因素、价值因素、期限、违约和债券等级因素对公司债券收益率利差的影响。发现基于债券市场的公司规模因素与公司债券利差显著正相关，公司规模越小，公司债券收益率越高，公司规模越大，公司债券收益率越低；违约因素和期限因素与公司债券利差正相关；基于股票市场的公司规模因素与公司债券利差显著正相关；然后，将债券等级因素作为虚拟变量加入模型中，发现它们与公司债券利差显著负相关。另一方面，使用面板数据，利用流动性代理变量方法测量流动性风险对公司债券收益率利差的影响。采用债券价格收益平方代表价格收益波动因素，研究发现它与公司债券利差显著正相关，当价格收益波动率变大时，债券交易面临的不确定性增强，风险增强，因此公司债券利差增加。公司债券发行量与公司债券利差显著负相关，公司发行债券量越大，公司债券的流动性风险越小，，公司债券利差越小。债券交易量与公司债券交易额强相关，因此剔除了债券交易量，债券交易额变量显著，但是与假设不符。在前人研究基础上对债券年龄这一流动性代理变量进行了创新，分别以4个月、8个月、12个月、16个月、20个月及24个月为临界点区分年轻债券与年老债券，分成六组，研究发现其与公司债券利差显著负相关，并且发现在中国公司债券市场以12个月为临界点划分年轻债券与年老债券较为合适。随后，选取2011年的数据进行了稳健性检验。最后，利用期限结构仿射模型和卡尔曼滤波法分析了公司债券收益率，并创新性的对公司债券利差的影响因素进行了综合分析。一方面，建立了公司债券利率期限结构N因素仿射模型，并利用卡尔曼滤波分析法对上交所与深交所公司债券周平均收益率数据进行实证分析，估计模型参数。研究发现，单因素与双因素模型可以预测一步向前公司债券收益率，三因素模型能较好的拟合现有公司债券收益率；另一方面，采用卡尔曼滤波法对公司债券利差影响因素进行综合分析，实证结果显示状态空间模型考虑影响因素系数的时变性，它能较好地拟合模型。对公司债券利差影响因素的研究，一方面，可以发现公司债券利差的影响因素，为投资者投资决策做参考，为发行人做指导，并且为市场监管者提供政策制定的依据，具有重要的现实意义；另一方面可以更加完善该领域的研究，具有重要的理论意义。
[Abstract]:The role of the Chinese bond market is growing and growing, and the role in the capital market is becoming more and more important. The bond market in Shanghai and Shenzhen has also developed increasingly. The development of corporate bonds has an important impact on corporate financing. The study of the margin margin of the bond yield is of great significance. The difference has the influence, but the existing research focuses on the default risk and the credit risk, and the lack of a more systematic, comprehensive theoretical analysis and empirical study. It is urgent to make a more in-depth analysis of the factors affecting the corporate bond spreads.
The thesis focuses on quantitative analysis, supplemented by qualitative analysis, and uses a combination of theoretical and empirical methods to analyze the impact of macroeconomic environmental factors, capital market factors and bond individual factors on the profit margin of corporate bond yields. Then, the three levels of the factors are synthetically analyzed. The following is the main content of this article. :
First, it analyzes the theoretical basis of the study on the determinants of the profit margin of the corporate bond, defines the connotation of the corporate bond, defines the profit margin of the corporate bond yield, analyzes the determinants of the corporate bond spreads and introduces the analysis method of the profit margin of the corporate bond yield, which lays the foundation for the empirical analysis.
Secondly, the influence of macroeconomic factors on the profit margin of corporate bond yields is analyzed. Using the autoregressive conditional heteroscedasticity model to analyze the earnings ratio of corporate bonds, it is found that the yield of corporate bonds has volatility aggregation, but the yield of corporate bonds does not exist unsymmetrical. Then, the index of entrepreneur confidence, consumer confidence index, enterprises are adopted. The three indicators of the industry boom index analyzed the macroeconomic environment in 2012 and found that the economy was gradually decreasing in 2012. Then, nine factors were chosen as independent variables, which indicated the development of the manufacturing industry, the level of inflation, the change of money supply and the change of foreign exchange. The regression analysis of the nine independent variables was made. The present industrial product factory price index and the enterprise commodity transaction price index are significant, which indicates that the change of the product price of the industry has an important influence on the bond spreads of the corporate bonds; the exchange rate factor has a significant negative correlation with the corporate bond spreads, and the industrial added value factor is closely related to the corporate bond spreads, which represents the macro economic development, but the coefficient is very important. The purchasing manager index is significantly negatively related to the corporate bond spreads, but it is far less influenced by the coefficient than the price factor. Then, the data of 2011 are used to test the robustness of the above empirical results.
Thirdly, the influence of capital market factors on the corporate bond spreads is analyzed. The effect of bond comprehensive index, stock index, bond idiosyncratic volatility and stock idiosyncratic volatility on corporate bond spreads is analyzed with panel data. There is a significant positive correlation between the bond spreads and the volatility of the bond trait and the volatility of the stock quality, but the impact of the stock index is much smaller than the bond index. The impact of the stock trait volatility is less than the bond trait volatility. This is a new discovery in this article. Then, the 2011 data are selected. The robustness test was done.
Then, from two aspects, we analyze the impact of individual bond factors on corporate bond spreads. On the one hand, we use panel data to analyze the factors of company size based on the bond market, value factors, the influence of corporate scale factors, value factors, duration, default and bond rating factors on the profit margin of corporate bond yields. The smaller the company size, the higher the corporate bond yield, the larger the company's scale, the lower the yield of the corporate bonds, the higher the company size, the lower the corporate bond yield, the default factor and the term factor and the corporate bond spreads, and the company scale factor based on the stock market and the corporate bond spreads. There is a positive correlation; then, bond rating factors are added to the model as virtual variables, and they are found to be negatively related to the corporate bond spreads. On the other hand, using the panel data, the liquidity risk is used to measure the effect of liquidity risk on the profit margin of corporate bonds. The study found that it has a significant positive correlation with the corporate bond spreads. When the price volatility increases, the uncertainty of the bond transaction is enhanced and the risk is enhanced. Therefore, the corporate bond spreads increase. The issuance of corporate bonds is significantly negatively related to the corporate bond spreads, the greater the amount of the bond issuance, the liquidity wind of the corporate bonds. The smaller the risk, the smaller the corporate bond spreads, the bond trading volume is strongly related to the amount of the corporate bond transaction, so the bond trading volume is eliminated, the bond trading volume is significant, but it does not agree with the hypothesis. On the basis of previous studies, the liquidity agent variables of the bond age are innovating for 4 months, 8 months, 12 months, 16 months, and 20 months, respectively. And 24 months for the critical point to distinguish between young bonds and old bonds, divided into six groups, the study found that it was significantly negatively related to the corporate bond spreads, and found that the Chinese corporate bond market was more appropriate to divide young bonds and old bonds at a critical point of 12 months. Then, the 2011 data were selected to test the robustness.
Finally, we use the time limit structure affine model and Calman filter method to analyze the yield of corporate bonds, and make a comprehensive analysis of the influence factors of the corporate bond spreads. On the one hand, the N factor affine model of the term structure of the corporate bond is established, and the Calman filter analysis method is used to deal with the bonds of the Shanghai Stock Exchange and the Shenzhen Stock Exchange. It is found that the single factor and double factor model can predict one step forward corporate bond yield, and the three factor model can better fit the existing corporate bond yield. On the other hand, the Calman filter method is used to make a comprehensive analysis of the influence factors of the corporate bond spreads. The empirical results show that the state space model takes account of the time variation of the coefficient of influence factors, and it can better fit the model.
On the one hand, we can find the influencing factors of the corporate bond spreads, which can be used as a reference for the investment decision of the investors, guide the issuer and provide the basis for the policy making for the market supervisors. On the other hand, it is important to improve the research in this field. The theoretical significance.
【学位授予单位】：哈尔滨工业大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F224

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