我国中期票据发行利差影响因素研究

发布时间：2018-04-21 12:53

本文选题：中期票据 + 发行利差　；参考：《中国地质大学(北京)》2017年硕士论文

【摘要】：中期票据自2008年发行以来,发展十分迅速。2008-2015年,一般中期票据的发行规模在整个信用债市场中所占的比重为19%,超过了同期的企业债和公司债。然而,中期票据存在的风险也不容忽视。截止到2017年5月15日,共有12只中期票据发生违约。这充分表明,中期票据存在较高的信用风险。而发行利差作为中期票据信用风险的反映,对其进行分析就显得十分有必要。本文首先从发行期限、发行主体现状、担保情况、发行利率类型分布、行业分布以及债项信用等级分布等5个方面对中期票据的发行情况进行了统计。此外,还从上市与否、企业性质以及期限3个视角对中期票据发行利率进行了比较分析。结果显示:(1)对于同一企业性质的中期票据来说,5年期中期票据的发行利率高于3年期中期票据;(2)对于同一期限的中期票据来说,地方国有企业中期票据发行利率高于中央国有企业中期票据;(3)除了地方国有企业3年期中期票据外,非上市企业的中期票据发行利率高于上市企业中期票据。在此基础上,使用主成分分析法和加权最小二乘法,对影响中期票据发行利差的因素进行实证分析,并对结果进行了比较。最终得出:(1)财政依存度、GDP增长率、净资产规模和债务保障率对中央国有企业中期票据发行利差均有显著影响。除了这四个指标外,流动比率对上市中央国有企业中期票据发行利差均有显著影响。贷存比和信息不对称程度对非上市中央国有企业中期票据发行利差均有显著影响;(2)财政依存度、人均社会消费和净资产规模对地方国有企业中期票据发行利差均有显著影响。除了这两个指标外,权益乘数、净资产周转率和债务保障率对上市地方国有企业中期票据发行利差均有显著影响。GDP增长率对非上市地方国有企业中期票据发行利差均有显著影响。最后,对中期票据的发行给出了相应的建议,即丰富中期票据种类、建立中期票据风险预警体系、建立动态透明的中期票据及发债企业信息披露机制、建立合理的中期票据信用评级机制。
[Abstract]:Since the issuance of medium-term paper in 2008, it has developed very rapidly. From 2008 to 2015, the issuing scale of general medium-term paper accounts for 19% in the whole credit bond market, which exceeds the corporate bond and corporate bond in the same period. However, the risk of mid-term bills should not be ignored. As of May 15, 2017, a total of 12 mid-term notes defaulted. This fully indicates that there is a high credit risk in mid-term notes. As a reflection of the credit risk of mid-term bills, it is necessary to analyze the issue spread. This paper firstly makes statistics on the issuance of medium-term bills from five aspects: the issue term, the current situation of the issuer, the guarantee situation, the distribution of the type of interest rate, the distribution of the industry and the credit grade distribution of the debt. In addition, the paper makes a comparative analysis of the interest rate of mid-term bill issuance from the perspectives of listing or not, the nature of the enterprise and the term. The results show that for the same enterprise medium-term notes, the interest rate of five-year notes issued is higher than that of 3-year medium-term notes.) for medium-term notes with the same term, The interest rate of local state-owned enterprise medium-term bill issuance is higher than that of central state-owned enterprise medium-term bill. Except for local state-owned enterprise, the interest rate of non-listed enterprise is higher than that of listed enterprise. On this basis, we use principal component analysis and weighted least square method to analyze the factors that affect the spread of medium-term bill issuance, and compare the results. Finally, it is concluded that the ratio of fiscal dependence and GDP growth, net asset size and debt guarantee rate have a significant effect on the spread of medium-term bill issuance in central state-owned enterprises. In addition to these four indicators, the liquidity ratio has a significant impact on the spread of the mid-term bills issued by the listed central state-owned enterprises. The loan-to-deposit ratio and the degree of information asymmetry have significant influence on the medium term bill issue interest margin of the non-listed central state-owned enterprises. (2) the degree of financial dependence, the per capita social consumption and the scale of net assets have significant influence on the local state-owned enterprise medium-term bill issue interest rate difference. In addition to these two indicators, the equity multiplier, The net assets turnover rate and debt guarantee rate have significant influence on the spread of medium-term notes issued by listed local state-owned enterprises. The growth rate of GDP has a significant effect on the spread of medium-term notes issuance of non-listed local state-owned enterprises. Finally, the paper gives the corresponding suggestions on the issue of medium-term bills, that is, to enrich the types of medium-term notes, to establish a risk warning system for medium-term notes, and to establish a dynamic and transparent mechanism for disclosure of information of medium-term bills and bond issuing enterprises. Establish a reasonable credit rating mechanism for mid-term bills.
【学位授予单位】：中国地质大学(北京)
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.2

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