非公开定向债务融资工具发行信用利差研究

发布时间：2018-01-07 06:39

本文关键词：非公开定向债务融资工具发行信用利差研究　出处：《北京交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：非公开定向债务融资工具是银行间交易商协会于2011年在银行间债券市场推出的新兴债务融资工具。自推出以来,由于其发行机制灵活、发行流程简化,发行规模与发行数量一直保持高速增长,目前已经和中期票据、短期票据成为银行间信用债券市场最重要的组成。然而目前针对定向工具的研究大部分集中于定性研究,定量研究较少。非公开定向债务融资工具的定价机制比较灵活,由投资人和发行人直接协商定价,信用利差是影响其定价的主要因素,因此将信用利差的研究作为对定向工具进行定量研究的切入点。本文对信用利差模型进行回顾,将主流的结构化模型、简约模型、分解理论模型和回归模型进行比较分析。结合现实数据获得的难易情况以及对于信用利差的解释程度,确定利用回归分析模型来研究非公开定向债务融资工具的发行信用利差。以2016年全年在银行间市场发行的非公开定向债务融资工具为统计样本,从发行规模、发行期限、发行主体评级、发行企业性质和发行企业行业等方面统计分析定向工具的发行情况,发现非公开定向债务融资工具的发行期限多集中在中短期,主体评级多在AA以上,并且城投债数量占发行总量近一半,募集资金大多流向国有公司。重点研究影响非公开定向债务融资工具发行信用利差的因素,从理论角度分析影响其发行信用利差的宏观因素、发行结构因素、企业性质以及行业因素等,并通过统计数据进行初步佐证。最后利用多元线性回归模型对上述因素的指标进行实证检验,确定其影响是否显著并对回归结果进行分析。本文得出的结论是,非公开定向债务融资工具发行信用利差的决定性影响主要是宏观因素,如经济增长、市场流动性及股票市场繁荣程度等,微观因素如定向工具的发行规模、发行期限、以及评级信息对于定向工具发行信用利差影响很小。这是由于定向工具本身非公开发行的特点决定的。
[Abstract]:Non-public debt financing instruments are interbank Dealers Association in 2011 in the inter-bank bond market launch of the new tool for debt financing. Since its introduction, due to the issue of flexible mechanism, the issuance process simplified, issue size and the number of issued has maintained rapid growth, the short-term and medium-term notes, notes become the inter-bank credit bond market the most important component. But the current research orientation tool focused on qualitative research, quantitative research. The pricing mechanism of non-public debt financing instruments by investment and more flexible, the issuer to directly negotiate pricing, credit spreads are the main factors affecting the pricing, so the research of credit spreads as a starting point for the quantitative research on the directional tool. This paper reviews on credit spread model, the structural model, the mainstream of simple models, decomposition theory Comparison of model and regression analysis model. Combined with the difficult reality data obtained and explain the extent for credit spreads, determined by regression analysis model to study the issue of credit spreads of non-public debt financing instruments. In the year 2016 in the interbank market to the non-public debt financing instruments for the statistical sample, from the issue of scale the main issue, issue time, rating, issue issue of corporate property and the issuance of enterprise and industry and other aspects of statistical analysis tool, found that the non-public issuance of debt financing instruments is more concentrated in the short term, the main rating of more than in AA, and the city voted bonds accounted for nearly half the total number of issued to raise funds, mostly to state-owned the company focusing on the factors that influence the non non-public issuance of debt financing instruments of credit spreads, analysis of the issue of the impact of credit from the angle of theory The spread of the macro factors, issuing structure factors, the nature of the enterprise and industry factors, and according to the statistical data preliminary evidence. Finally, using multiple linear regression model of the factors index for empirical test, to determine whether the effect is significant and the analysis of the regression results. The conclusion is that the decisive influence non-public debt financing issuance of credit spreads is the main macro factors, such as economic growth, market liquidity and stock market prosperity, micro factors such as directional tool issue size, issue period, and the rating information for directional issuance of credit spreads have little effect. This is because the tool itself determines the characteristics of the non directional public offering.

【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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