我国短期融资券信用利差影响因素的实证研究

发布时间：2018-05-04 02:44

本文选题：短期融资券 + 信用利差　；参考：《浙江大学》2014年硕士论文

【摘要】：自2005年中国人民银行重新启动短期融资券业务以来,短期融资券以其较低的发行门槛、较低的发行成本受到市场各类主体的广泛关注。近年来,短期融资券的市场规模得到了迅速的扩张,并已成为我国资本市场发行及交易排名靠前的主要券种。随着发行市场的不断壮大,关于短期融资券发行利率市场化定价的研究也日渐丰富。本文研究的主要目的是通过定性和定量相结合的方法,对我国短期融资券发行时点的信用利差进行研究,试图找出影响其发行利差的主要因素,并运用各显著因素构造出短期融资券的信用利差预测模型。希望通过本文的研究为发行者及其他各类市场参与主体提供一定的参考。本文在整理参考国内外学术界理论研究成果的基础上,结合我国短期融资券业务的发展现状进行了实证研究。文章选用了短期融资券2010年至2013年的发行数据,以SHIBOR利率作为基准利率,将各期短期融资券的主体信用级别、是否上市、行业类别、所有制性质、单笔发行规模作为自变量与短期融资券的信用利差进行相关性分析,选取相关显著因素建立计量经济模型,进行多元线性回归分析。通过实证分析,本文得出了以下结论：短期融资券的信用利差与SHIBOR利率是高度相关的。发行主体的信用级别对信用利差的影响是十分显著的,发行主体信用等级越高其所发行的短期融资券的信用利差就越低。评级机构的信用评价在短期融资券信用利差估值中的作用是非常重要的。在我国,企业的所有制性质也直接决定了其短期融资券的信用利差。国有企业依托政府信用,其发行的短期融资券往往更易受到投资者的亲赖。本文将通过该信用利差预测模型模拟得到的信用利差与2013年下半年发行的短期融资券的实际发行利差进行了对比,证明该模型对于短期融资券发行利差的预测具有一定的指导作用。最后,本文从健全市场违约机制、完善信用评级体系、加强对承销机构的监管、促进发行定价机制的市场化等方面为促进短期融资券市场的健康发展提出了一些建议。
[Abstract]:Since the people's Bank of China restarted the short term financing bill business in 2005, the short term financing bond has been widely concerned by all kinds of market entities because of its lower threshold and lower issuing cost. In recent years, the market size of short-term financing bonds has been rapidly expanded, and has become the capital market in our country, the issuance and trading ranking of the main securities. With the increasing of the issuing market, the research on the market-oriented pricing of short-term financing paper interest rate is becoming more and more abundant. The main purpose of this paper is to study the credit spreads at the time of issuance of short term financing bills in China through the combination of qualitative and quantitative methods, and try to find out the main factors that affect the spreads. The credit margin prediction model of short-term financing bond is constructed by using the significant factors. Through this study, I hope to provide some reference for issuers and other market participants. Based on the theoretical research results of academic circles at home and abroad, this paper makes an empirical study on the development of short-term financing bills in China. This paper selects the issuing data of short term financing bonds from 2010 to 2013, taking the SHIBOR interest rate as the benchmark interest rate, puts forward the main credit grade, whether listed, whether the industry category, ownership nature of each issue of short term financing paper. This paper analyzes the correlation between single issue size as independent variable and credit interest margin of short term financing bond, selects relevant significant factors to establish econometric model, and carries out multivariate linear regression analysis. Through empirical analysis, this paper draws the following conclusions: the credit spread of short-term financing paper is highly correlated with SHIBOR interest rate. The credit grade of the issuer has a significant influence on the credit spread. The higher the credit grade of the issuer, the lower the credit spread of the short term financing bond issued by the issuer. The credit evaluation of rating agencies is very important in the valuation of short-term financing paper credit spreads. In our country, the ownership nature of enterprises also directly determines the credit spreads of short-term financing bonds. State-owned enterprises rely on government credit, and their short-term financing bonds are more likely to be relied on by investors. In this paper, we compare the credit spreads simulated by the credit spread prediction model with the actual issuance spreads of short-term financing bonds issued in the second half of 2013. It is proved that this model can guide the prediction of short-term financing bond issue interest margin. Finally, this paper puts forward some suggestions to promote the healthy development of the short-term financing bond market from the aspects of perfecting the market default mechanism, perfecting the credit rating system, strengthening the supervision of the underwriting institutions, and promoting the marketization of the issuing and pricing mechanism.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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