中国流动性溢价和债券定价：信用利差的构成

发布时间：2018-01-01 08:32

本文关键词：中国流动性溢价和债券定价：信用利差的构成　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文用GLS和Fama MacBeth回归两种方法研究了2011年至2013年9月底有双边报价的475个中期票据的信用利差的决定因素，发现流动性指标中的买卖报价差、交易量对信用利差都有较为显著的影响，但交易量在Fama MacBeth回归中不够显著，，买卖报价差在控制发行人的回归中不显著；总体来看，利差中信用风险仍是主要部分，而宏观风险反应在期限利差中。影响力最大的指标是信用评级、发行规模、资产负债率、买卖报价差。按照评级的分组回归显示剩余期限和债券存续期限也开始变得显著，在分组中，其他财务指标可能显著，但这种关系在不同评级的分组中不稳定。另外，信用利差对评级存在路径依赖，投资者也会关注历史评级和当前对于历史变化的趋势。在控制了发行人固定效应影响的Fama MacBeth回归中，流动性指标失去显著性，间接说明流动性指标未必如信用情况的影响大；但发行规模、评级、期限利差、资产负债率依然显著。 Hausman检验显示交易量和债券评级都是外生的，并不由信用利差决定；且流动性本身受到债券信用状况的影响很小，显示模型是有意义的。虽然利差的水平可以由宏观因素和信用因素解释，但利差的波动很难由这些因素解释，这和国外的发现不同。
[Abstract]:In this paper, GLS and Fama MacBeth regression methods are used to study the determinants of credit spread between 2011 and September 2013. It is found that the trading price is poor in liquidity index and the trading volume has a significant effect on credit spreads, but the volume is not significant in Fama MacBeth regression. The difference in price is not significant in the return of the controlling issuer; In general, credit risk is still the main part of the spread, while the macro risk is reflected in the term spread. The most influential indicators are credit rating, issuance scale, asset-liability ratio. The grouping regression according to the rating shows that the remaining maturity and the maturity of the bond are also beginning to become significant, and in the group, other financial indicators may be significant. In addition, credit spreads have path dependence on ratings, and investors will also focus on historical ratings and current trends in historical changes. In the Fama MacBeth regression, which controls the influence of the issuer's fixed effect, the liquidity index loses its significance, which indirectly indicates that the liquidity index may not be as influential as the credit situation. But the issuance scale, the rating, the term interest rate difference, the asset-liability ratio is still remarkable. Hausman test shows that both trading volume and bond rating are exogenous and are not determined by credit spreads. The liquidity itself is little affected by the bond credit situation, which shows that the model is meaningful. Although the level of interest margin can be explained by macro factors and credit factors, it is difficult to explain the fluctuation of interest rate difference by these factors. This is different from what has been found abroad.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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