我国交易所市场城投债利差影响因素实证研究

发布时间：2018-01-13 21:20

本文关键词：我国交易所市场城投债利差影响因素实证研究　出处：《长沙理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：城投债是指由地方政府融资平台发行的,旨在为地方公益性和准公益性项目建设募集资金的债券(包括企业债、中期票据、短期融资券等,此特指企业债)。城投债经过2009年和2012年的爆发式增长,其规模已突破2万亿元,由于短期内爆发式的增长,以及政府与融资平台之间模糊的关系,其蕴含着一定的风险。利差是研究城投债的重要指标,可以反映城投债的信用风险和流动性风险,此外,城投债主要采取跨市场发行的方式,即同时在银行间债券市场和证券交易所市场发行。因此,本文选择交易所市场城投债利差作为突破口进行研究。首先,本文对国内外债券信用定价和利差分解等理论研究和实证研究进行了梳理归纳;其次,对利差分解理论将利差分解为信用利差和流动性利差进行了理论基础的阐释；其后,本文对我国城投债市场的现状进行了描述性分析,并指出了目前城投债市场中存在的乱象和问题；最后,建立了三个回归模型,对基于截面数据的信用利差微观影响因素、基于时间序列的信用利差宏观影响因素、基于面板数据的流动性利差影响因素分别进行了回归分析。通过实证研究,本文得到如下结论：信用利差微观方面,主要受发行人资产负债率、担保覆盖率、债项评级、债券剩余到期年限影响,但地方政府偿债能力指标,以及投融资平台盈利能力、发展能力的指标均不显著,反映了投资者对城投债直观风险的关注,以及对实质性风险关注的缺失；信用利差宏观方面,主要受货币供应量影响；流动性利差方面,主要受市场宽度、已发行年限、上证企债指数影响。在实证结束后,本文提出了促进城投债市场发展的若干建议,主要包括促进城投债信用利差理性发展的建议、降低流动性利差方面的建议以及规范城投债市场、促进长效健康发展的建议。
[Abstract]:The city voted debt is issued by the local government financing platform, aimed at public places and quasi public projects to raise funds bonds (including corporate bonds, medium-term notes, short-term financing bonds, especially the corporate debt). The city voted bonds after 2009 and 2012's explosive growth, its size has exceeded 2 trillion yuan, due to the short period of explosive growth, and the relationship between the government and the fuzzy financing platform, which contains a certain amount of risk. Interest rate is an important index to study the city voted debt, can reflect the credit risk and liquidity risk, in addition, the city voted bonds to cross market issue, i.e. at the same time in the inter-bank bond market and the stock market issue. Therefore, this paper chooses the exchange market of the city voted debt spreads as a breakthrough. First of all, this paper on the domestic and foreign bond pricing and credit spread decomposition theory and etc. The empirical research summarized; secondly, to spread decomposition theory this paper makes a theoretical basis for the spread decomposition of credit spreads and liquidity spreads interpretation; subsequently, the descriptive analysis of the status quo of China's investment and debt markets, and pointed out that the current city voted debt chaos and problems exist in the market; at last. Established three regression models, factors of cross section data of credit spreads influence based on macro influence factors of time series based on credit spreads, liquidity spreads influence factors based on the panel data regression analysis were carried out. Through empirical research, this paper draws the following conclusions: micro credit spreads, mainly by the issuer of the asset liability ratio guarantee, coverage, debt rating, the remaining maturity of bonds, but the local government solvency indicators, as well as the financing platform of profitability, development capacity index Were not significant, reflecting investors on the city voted debt risk visual attention, and lack of substantive attention to the risks of credit spreads; the macroscopic aspect, mainly affected by money supply; liquidity spreads, mainly by the market width, issue age, SSE corporate bond index. In the empirical influence after the end is proposed in this paper. Some suggestions for promoting the city investment bond market development, including the promotion of the city voted debt credit spreads rational development proposals to reduce liquidity spreads of the recommendations and norms of investment and debt markets, promote long-term healthy development of the proposal.

【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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