我国公司债券信用利差的影响因素分析

发布时间：2018-03-08 19:16

  本文选题：公司债券　切入点：信用利差　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国公司债券自2007年问世以来,发展势头迅猛。相关部门对于公司债券的政策也逐步放开,公司债券无论在融资规模还是发行数量上,都在我国债券市场占有不容忽视的分量。特别是2015年中国证券监督管理委员会《公司债券发行与交易管理办法》的出台,公司债的债券发行人由上市公司扩展到公司制法人,同时其发行方式、发行期限、流通场所等得到了全面的放松和扩容。自2015年7月起,一级市场的发行情况堪称火爆,2015年、2016年发行数量同比增幅均超过100%,发行规模(募集资金规模)均超过600%。但伴随着公司债券市场的发展,债券到期兑付高潮随之而来,债券违约频发、信用评级虚高等相关信用风险问题也浮出水面,逐渐进入社会各界的视野。在这样一个大背景下,本文对我国公司债券信用利差的影响因素进行研究。本文首先对信用风险度量模型的研究历史进行了梳理,按照发展分为古典信用分类技术、多变量信用风险判别模型、现代信用风险判别模型,随后梳理了在信用利差影响因素方面国内外的研究现状。进而总结出本文的理论基础,基于多变量信用风险判别模型,结合美国Altman博士 Z值线性回归模型的线性回归方法,全面考虑宏观经济环境层面的影响因素、微观发债企业层面的影响因素及单只债券发行层面的影响因素三个层面中多个变量指标的影响来估计债券的信用利差。然后在介绍我国公司债券的发展及信用利差走势的基础上,结合前人的研究成果,对信用利差可能的影响因素及作用机理,按照宏观经济环境层面的影响因素、微观发债企业层面的影响因素及单只债券发行层面三个维度进行指标选取。理论分析后,构建多元线性回归模型,将理论分析的相关变量,纳入实证模型,选取2008-2016年在沪深证券交易所公开发行的公司债券作为研究的原始样本,剔除极端评级和相关财务数据不可得个券,采用多元线性回归的方式对样本进行回归,回归结果表明对于2008-2016年间沪深两市公开发行的公司债券,宏观经济环境维度的存款准备金率、无风险收益率,微观发债企业层面的公司属性、行业、总资产回报率,单只债券发行层面的利率类型、发行额度、债券评级等因素,对于公司债券发行时的信用利差有显著影响。而后又将样本债券按照信用评级进行分组,进行稳健性检验和对比分析,回归结果表明,不同信用评级债券信用利差的影响因素也略有不同,但总的来说都覆盖了宏观、微观、单只三大层面的影响因素。最显著的共同点是公司属性(国有或非国有)对所有评级债券的信用利差都有显著影响,国有企业比非国有企业更容易取得较低的信用利差。
[Abstract]:China's corporate bonds since 2007, the momentum of rapid development. The relevant departments for corporate debt policy is gradually liberalized, both in the corporate bond financing scale or the number of issued, all can not be ignored in the component of China's bond market. Especially in 2015 China Securities Regulatory Commission management approach of corporate bond issuance and trading. "Corporate bonds issued bonds issued by listed companies to expand the corporate legal system at the same time, the issue of the way, issued for a period, circulation places have been fully relaxed and expansion. Since July 2015, issued in the primary market is hot in 2015, 2016, the number of issued an increase of more than 100%, issue size (the size of funds raised more than 600%.) but with the development of the corporate bond market, bond maturity payment climax followed, bond defaults occur frequently, unreasonably high credit rating The related credit risk problem has surfaced, gradually entering the community view. In such a background, to study the influential factors on the credit spread of our company. Firstly, the research history of credit risk measurement models are summarized, according to development is divided into classical credit classification technology, multi variable credit the risk model of modern credit risk model, then analyzes the research status of influence factors in the credit spreads at home and abroad. Then summarize the theoretical basis of this paper, multivariate discriminant model based on credit risk, with the United States Altman, Z value linear regression model regression method, considering the factors influencing the level of macro economic environment overall, the impact of a number of variables in the three dimensions of corporate bonds influence the micro level factors influencing factors and single bond issuance level to estimate Considering the credit spreads of bonds. Then based on the development of China's corporate bond and credit spreads, combined with previous research results, and effects of the factors affecting the credit spread possible mechanism, in accordance with the influence factors of macro economic environment, micro impact of the three dimensions of corporate bonds and single bond issuance level factors to select the evaluation index. After theoretical analysis, construct multiple linear regression model, the related variables of theoretical analysis, the empirical model, selected 2008-2016 years in Shanghai and Shenzhen Stock Exchange publicly issued corporate bonds as the original sample, excluding extreme ratings and related financial data can not have a ticket, using multiple linear regression method to sample by regression, the regression results show that for 2008-2016 years the Shanghai and Shenzhen two city public issuance of corporate bonds, the macroeconomic environment dimension of the deposit reserve 鐜，

本文编号：1585197