我国企业债信用利差影响因素的实证研究

发布时间：2018-06-06 17:34

本文选题：企业债 + 信用利差　；参考：《北京交通大学》2017年硕士论文

【摘要】：2014年,“11超日债”成为我国第一只违约的公募债券,债券市场刚兑被打破。2015年8月开始,信用违约事件大规模爆发。违约风险较低的企业债也受到波及。企业债信用利差受哪些因素影响,如何判断二级市场企业债未来利差,如何规避风险等问题,越来越受到投资人关注。本文在总结前人研究成果的基础上,从企业债信用风险、流动性风险、宏观风险三个方面对信用利差的影响因素进行实证研究。选取2013年6月到2016年9月,47只企业债的40个月度数据进行面板回归,在此基础上对二级市场上交易的企业债信用利差建立了回归定价模型。创新性地利用静态利差和政策性金融债来计算信用利差,静态利差法排除了企业债和无风险债券票面利率不同对信用利差的影响,使用政策性金融债排除了税收对信用利差的影响。经过实证研究得出以下结论,在信用风险层面上,剩余期限与信用利差正相关,债券主体评级、净资产收益率、资产负债率和信用利差负相关。在宏观层面上,企业债信用利差与无风险利率和通货膨胀率负相关;采购经理人指数、股票市场波动性和贷款利率和信用利差成正相关。流动性风险层面,流动性因素没有显著影响。
[Abstract]:In 2014, the "11 super Japanese bonds" became China's first default public offering bond, the bond market has just been broken, beginning in August 2015, a massive outbreak of credit default events. Corporate bonds with lower default risk are also affected. More and more investors pay more and more attention to the factors that affect the credit spread of enterprise bonds, how to judge the future interest rate difference of enterprise bonds in the secondary market, how to avoid risks and so on. On the basis of summarizing the previous research results, this paper makes an empirical study on the influencing factors of credit spreads from three aspects: corporate bond credit risk, liquidity risk and macro risk. From June 2013 to September 2016, 40 monthly data of 47 corporate bonds were selected for panel regression. Based on this, a regression pricing model was established for the credit spreads of corporate bonds traded in the secondary market. The static interest rate difference and the policy financial debt are used to calculate the credit spread. The static spread method excludes the influence of the different coupon rates on the credit spread between the enterprise bonds and the risk-free bonds. The use of policy financial debt excludes the impact of tax on credit spreads. Through the empirical study, the following conclusions are drawn: at the level of credit risk, the residual term is positively correlated with credit spreads, and the debt ratio is negatively correlated with the credit spread, and the main rating of bonds, the return on net assets, the ratio of assets to liabilities and the credit spreads. On the macro level, corporate bond credit spreads are negatively correlated with risk-free interest rates and inflation rates, while purchasing managers' indices, stock market volatility and loan interest rates and credit spreads are positively correlated. Liquidity risk level, liquidity factors have no significant impact.
【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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