中国城投债发行价差影响因素研究

发布时间：2018-04-10 22:44

本文选题：城投债 + 发行价差　；参考：《中国地质大学(北京)》2017年硕士论文

【摘要】：我国城投债从2008年开始大量发行,至2015年,累计发行58987.47亿元。随着城投债规模的逐渐扩大,其信用风险也在逐步累积,在此背景下,研究城投债的票面利率和发行价差就具有重要意义。在对2008-2015年我国29个省市发行的5601只城投债进行统计分析之后,发现城投债票面利率受行政级别、发行方式和预算内财政收入/GDP的影响,研究结果如下:(1)省级城投债票面利率低于地级城投债;(2)公募债票面利率低于私募债;(3)预算内财政收入/GDP较低地区的城投债票面利率高于预算内财政收入/GDP较高地区。在对影响城投债发行价差的因素进行理论分析之后,文章实证部分使用加权最小二乘法和主成分分析方法对地方国有企业、固定利率、非含权、中期、无担保城投债的发行价差进行模型分析。在具体分析过程中,因为以前相关研究中没有考虑城市的新增债务规模,所以根据模型是否引入“新增债务规模/GDP”,文章分别建模并对模型结果进行比较分析,以考察该变量是否影响城投债发行价差。具体模型分析结论如下:(1)经济发展水平与发行价差负相关;(2)一般而言,预算内财政收入/GDP与发行价差负相关,但是对于预算内财政收入/GDP较低的地区和江苏省预算内财政收入/GDP较高的地区,当其大量发行债券时,预算内财政收入/GDP的上升也会促进发行价差的扩大;(3)金融市场发展水平的提高可以使城投债发行价差降低,但是当债券发行规模较大、增长率较高时,资金使用效率(贷存比)的提高会导致与发行价差的扩大;(4)国家政策通过影响城投债发行规模,进而影响城投债发行价差。受国家政策影响,当城投债发行规模较大、增长率较高时,发行价差会相应上升;反之,发行价差会降低;(5)受地区的市场流动性、外部融资能力和债务风险的影响,当城投债发行规模较小时,新增债务规模的增加会促使发行价差降低;反之,新增债务规模的增加会促进发行价差的上升;(6)GDP增长率与城投债发行价差正相关;(7)可能是受存货、预付账款等流动性较低的资产、政府对融资平台公司财政支持力度的差异、部分公司财务管理不规范以及投资者更关注地区经济实力和财政实力等因素的影响,公司财务指标诸如流动比率、长期负债占比、资产负债率等与发行价差之间的关系与理论预期差异较大。
[Abstract]:China City Investment debt from 2008 began to issue a large number of 2015, the cumulative issuance of 5.898747 trillion yuan.With the gradual expansion of the city investment debt scale, its credit risk is also gradually accumulated. Under this background, it is of great significance to study the coupon interest rate and the issue price difference of the city debt.Based on the statistical analysis of 5601 city bonds issued by 29 provinces and cities in China from 2008 to 2015, it is found that the coupon rate of city investment bonds is affected by the administrative level, issuing method and budget revenue / GDP.The results of the study are as follows: 1) the coupon rate of provincial city bonds is lower than that of prefecture-level cities. (the coupon interest rate of public offering debt is lower than that of private equity debt.) the interest rate of city bonds in the areas with lower budget revenue and GDP is higher than that in the areas with higher budget revenue and GDP.After the theoretical analysis of the factors that affect the price difference of the city investment bond issuance, the empirical part of the article uses the weighted least square method and principal component analysis method to analyze the local state-owned enterprises, fixed interest rate, non-right, medium term.The unsecured city investment bond issue price difference carries on the model analysis.In the specific analysis process, because the new debt scale of the city is not considered in the previous relevant research, so according to the model whether to introduce "new debt scale / GDP", the article separately models and carries on the comparative analysis to the model result.In order to investigate whether this variable affects the city investment bond issue spread.The results of the specific model analysis are as follows: (1) the level of economic development is negatively correlated with the issue spread. (2) generally speaking, budget revenue / GDP is negatively correlated with the issue spread.But for those regions with lower budget revenue / GDP and those regions with higher budget revenue / GDP in Jiangsu Province, when they issue large amounts of bonds,The increase in budget revenue / GDP will also promote the expansion of the price gap) the higher the level of development of the financial market can reduce the spread in the issuance of urban bonds, but when the issuance of bonds is larger and the growth rate is higher,The increase of the efficiency of capital use (loan-to-deposit ratio) will lead to the expansion of the difference between the issuing price and the issuing price. The national policy will influence the issuance scale of city investment debt and then affect the price difference of city investment bond issuance.Under the influence of state policies, when the issuance scale of urban investment debt is large and the growth rate is high, the spread of the issue price will rise accordingly; conversely, the spread of the issuance price will reduce the market liquidity, external financing capacity and debt risk of the region.When the size of the city bond issue is small, the increase in the size of the new debt will lead to a decrease in the spread of the issue price. Conversely, the increase in the size of the new debt will contribute to the rise in the price difference between the issuance price. The increase in the size of the new debt will contribute to the increase in the price difference.Assets with low liquidity, such as prepaid accounts, differences in government financial support to financing platform companies, non-standard financial management of some companies, and investors paying more attention to the influence of factors such as regional economic strength and financial strength, etc.The relationship between corporate financial indexes such as current ratio, long-term debt ratio, asset-liability ratio and issue price difference is quite different from theoretical expectation.
【学位授予单位】：中国地质大学(北京)
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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