我国企业债信用利差期限结构研究

发布时间：2018-01-18 13:34

本文关键词：我国企业债信用利差期限结构研究　出处：《天津工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：企业债的发展规模逐渐扩大,伴随而来的是违约事件的发生,企业债的信用风险渐渐凸显,打破了刚性兑付,信用风险成为企业债市场上的主要风险,而在二级市场上,一般情况下选择信用利差期限结构作为反映企业债信用风险的指标。信用利差期限结构是指企业债的信用利差与到期期限的关系,而信用利差是到期期限相等的企业债和国债收益率的差值。所以本文主要通过研究我国企业债信用利差期限结构来分析企业债所存在的信用风险,进而对我国企业债市场信用风险管理提出相关建议以完善我国企业债市场管理体系。全文共分为四章:第一章是导论,主要是概括本文的研究背景以及本文研究的意义。其次,本章通过查阅国内外学者的研究现状总结出有关信用利差期限结构的研究结果,从而得出本文的研究思路以及实证研究方法。第二章是阐述本文涉及的概念和理论基础,并简单分析企业债的风险来源。第三章是本文的核心部分,对信用利差期限结构的特征、影响因素以及对经济增长趋势的预测作用进行实证分析。首先分析我国企业债信用利差期限结构的统计特征,然后进行主成分分析,实证分析信用利差期限结构影响因素,最后验证对经济增长趋势的预测作用。第四章主要是对本文的研究结论进行总结,并根据本文的研究结论,结合我国企业债市场现状提出相关建议和展望。本文通过对我国企业债信用利差期限结构的研究得出以下主要结论:1、水平因子和斜率因子对我国企业债信用利差期限结构的解释力度在900%以上,而对这两个因子影响显著的宏观经济因素主要是无风险利率及其变化和CRB指数。2、评级和期限不同的企业债,其信用利差期限结构受不同的宏观经济因素影响,其中对于短期企业债信用利差而言其更容易受到宏观经济因素的影响。另外,在不同评级的企业债方面,AA级企业债的信用利差期限结构更容易受到宏观经济因素影响。3、无风险利率是最重要的影响因素,并且具有正效应。4、期限的长短和信用评级的高低与信用利差分别呈现正相关和负相关关系,即企业债到期期限越长其信用利差也就越大,而企业债信用评级越低其信用利差也就越大。5、企业债信用利差期限结构可以对我国的经济增长趋势起到一定程度的预测作用。
[Abstract]:The scale of the development of corporate bonds gradually expanded, accompanied by the occurrence of default events, corporate debt credit risk gradually highlighted, breaking the rigid payment, credit risk has become the main risk in the enterprise bond market. In the secondary market, the term structure of credit spreads is generally chosen as the index to reflect the credit risk of enterprise bonds. The term structure of credit spreads refers to the relationship between the credit spreads of enterprise bonds and the maturity period. The credit spread is the difference between the enterprise bonds with the same maturity period and the national debt yield. So this paper mainly analyzes the credit risk of the enterprise bonds by studying the term structure of the corporate bonds credit spreads in our country. And then put forward some suggestions to improve the management system of corporate bond market. The thesis is divided into four chapters: the first chapter is the introduction. This chapter summarizes the research background of this paper and the significance of this study. Secondly, this chapter summarizes the research results about the term structure of credit spreads by consulting the current situation of scholars at home and abroad. The second chapter is to elaborate the concept and theoretical basis of this paper, and simply analyze the risk source of corporate debt. Chapter 3 is the core of this paper. This paper makes an empirical analysis on the characteristics of the term structure of the credit spread, the influencing factors and the forecasting effect on the economic growth trend. Firstly, it analyzes the statistical characteristics of the term structure of the credit spread of the enterprise bonds in China. Then the principal component analysis, empirical analysis of credit spread term structure factors, and finally verify the forecast of economic growth trend. Chapter 4th is the conclusion of this paper. According to the conclusions of this paper, combined with the current situation of the corporate debt market in China, put forward the relevant suggestions and prospects. Through the study of the term structure of the credit spreads of corporate bonds in China, the following main conclusions: 1. The level factor and slope factor explain the term structure of corporate bond credit spread in China more than 900%. The main macroeconomic factors affecting these two factors are risk-free interest rate and its changes, CRB index. 2, rating and maturity of corporate bonds. The term structure of credit spreads is affected by different macroeconomic factors, especially for short-term corporate bonds credit spreads are more vulnerable to macroeconomic factors. In addition, in different ratings of corporate debt. The term structure of credit spreads of AA grade corporate bonds is more vulnerable to macroeconomic factors. The risk-free interest rate is the most important factor, and has a positive effect of .4. The length of the term and the credit rating show a positive correlation and negative correlation with the credit spread, that is, the longer the maturity of corporate debt, the greater the credit spread. The lower the credit rating of enterprise bonds, the greater the credit spread. 5. The term structure of corporate debt credit spreads can predict the economic growth trend of our country to some extent.
【学位授予单位】：天津工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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