我国中期票据信用利差影响因素的研究

发布时间：2018-05-12 18:59

本文选题：中期票据 + 信用利差　；参考：《南京大学》2014年硕士论文

【摘要】：中期票据作为一种创新型债务融资工具,自问世后就受到众多拟发债主体和机构投资者的青睐,近6年来发展迅速,其发行规模已超越企业债,成为我国银行间债券市场主要的债务融资工具之一。伴随中期票据市场的快速发展,对中期票据可能存在的风险也不容忽视,而当前债券市场上信用利差通常被当作是各种风险的代表。因此,展开对我国中期票据信用利差影响因素的研究有助于控制和管理中期票据市场的风险,促进我国中期票据市场又好又快的发展。本文首先归纳和总结信用利差研究的文献以及信用利差的内涵、度量方法,然后再结合我国中期票据市场的发展和现状,选取影响我国中期票据信用利差的宏观因素和微观因素,并确定使用回归分析法来展开对我国中期票据信用利差影响因素的研究。接着针对宏观经济变量的特征,本文选取基于2012年5月至2013年12月的一组时间序列数据,运用多元回归模型对中期票据信用利差变动和宏观经济变量变动之间的关系进行实证研究；针对发行主体个体微观因素,本文选取2013年9月30日的截面数据,通过多元回归方法进行实证研究。通过实证分析,本文得出结论我国中期票据信用利差主要是对信用风险的补偿,而在引起信用风险最终导致信用利差产生的影响因素中：宏观方面,无风险短期利率和股票指数对我国中期票据信用利差变化影响显著；微观方面,发行主体的资产规模、总资产周转率、资产负债率和我国中期票据信用利差显著相关,而在添入主体信用评级虚拟变量后模型的解释度得到提高,且主体信用评级和信用利差亦显著相关。最后,本文根据实证结果并结合我国中期票据市场现状,有针对性地对我国中期票据市场提出一些政策建议。
[Abstract]:As an innovative debt financing tool, medium-term paper has been favored by many prospective bond issuers and institutional investors since its inception. It has developed rapidly in the past six years, and its issuance scale has exceeded that of corporate debt. It has become one of the main debt financing instruments in the interbank bond market. With the rapid development of the medium-term paper market, the possible risk to the medium-term note can not be ignored, and the credit spread is usually regarded as the representative of various risks in the current bond market. Therefore, it is helpful to control and manage the risk of medium-term bill market and promote the good and fast development of our country's medium-term bill market. This paper first summarizes and summarizes the research literature of credit spread, the connotation of credit spread, the measurement method, and then combines the development and current situation of our country's medium-term bill market. This paper selects the macro and micro factors that affect the credit spread of our country's medium-term bill, and makes sure to use the regression analysis method to carry out the research on the influencing factors of our country's medium-term bill credit interest margin. Then, according to the characteristics of macroeconomic variables, this paper selects a set of time series data from May 2012 to December 2013. This paper makes an empirical study on the relationship between the variation of credit interest rate and the change of macroeconomic variables by using the multiple regression model. Aiming at the individual and micro factors of the issuer, this paper selects the cross-section data of September 30, 2013. The empirical study is carried out by multiple regression method. Through the empirical analysis, this paper draws the conclusion that the credit spread of medium-term notes in China is mainly to compensate for the credit risk, and in the influencing factors that cause the credit risk to lead to the credit spread: macro aspect. The risk free short-term interest rate and stock index have a significant influence on the change of credit interest rate of medium-term paper in China, and microscopically, the asset size, total asset turnover, asset-liability ratio and credit spread of medium-term paper are significantly related to each other. The explanatory degree of the model is improved with the addition of the virtual variable of the subject credit rating, and there is a significant correlation between the principal credit rating and the credit interest margin. Finally, according to the empirical results and combined with the current situation of China's medium-term bill market, this paper puts forward some policy recommendations to China's medium-term bill market.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2;F224

【参考文献】