关于影响中期票据信用利差的宏观因素的实证分析

发布时间：2018-01-01 15:28

本文关键词：关于影响中期票据信用利差的宏观因素的实证分析　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：中期票据由于其自身特点逐渐成为债券市场的重要角色,受到投资者和融资企业的青睐。但相对于蓬勃发展的中期票据市场,中期票据相关研究并没有跟上发展的脚步。信用利差是可违约债券共有的特征中,是区别于无风险债券价格的主要因素,研究信用利差可以为投资者估值和发行方定价提供支持,意义重大。本文从信用利差与宏观经济相关因素及金融市场流动性因素两方面入手,分析了影响中期票据信用利差的因子。本文在国内外学者的基础上,并依据我国债券市场特点,加入了部分具有中国特色的指标,例如固定资产投资完成总额、商业银行与保险公司可投资资金等。首先,本文选取了不同期限和评级共九种中期票据信用利差,与宏观经济指标、流动性指标等做二元回归分析,总结出不同因子对不同期限和评级信用利差的影响程度；其次,本文通过剔除共线性后的逐步多元回归分析,对控制期限和评级的信用利差进行分析,结果表明经济周期、无风险利率、资金供给对中期票据信用利差的影响显著。其中,固定资产投资完成总额指标作为GDP相关指标对信用利差具有非常显著的影响。最后本文对研究结果做出总结并指出下一步研究方向。
[Abstract]:Because of its own characteristics, medium-term paper has gradually become an important role in the bond market, which is favored by investors and financing enterprises, but compared with the booming medium-term paper market. Mid-term bills related research has not kept up with the pace of development. Credit spread is a common feature of defaultable bonds and is the main factor that distinguishes the price of risk-free bonds. The study of credit spreads can provide support for investors' valuation and issuer's pricing. This paper analyzes the factors that affect the credit spread of medium-term bills from two aspects: credit spread, macroeconomic factors and liquidity factors. Based on the domestic and foreign scholars, and according to the characteristics of China's bond market, this paper adds some indicators with Chinese characteristics, such as total fixed asset investment. Commercial banks and insurance companies can invest funds and so on. First of all, this paper selects nine types of medium-term paper credit spreads, and macroeconomic indicators, liquidity indicators to do binary regression analysis. The influence of different factors on the credit spreads of different periods and ratings is summarized. Secondly, through the stepwise multivariate regression analysis after eliminating the collinearity, the paper analyzes the credit spread between the control period and the rating. The results show that the economic cycle, risk-free interest rate. Capital supply has a significant impact on the credit spreads of medium-term notes. The total completion of fixed assets investment as a GDP related index has a very significant impact on credit spreads. Finally, this paper summarizes the research results and points out the next research direction.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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