我国城投债利差的影响因素分析

发布时间：2018-05-04 06:25

本文选题：城投债 + 信用风险　；参考：《西南财经大学》2013年硕士论文

【摘要】：分税制改革后,地方财政的收入一直处于紧张状态,加上近年来我国城镇化步伐的不断加快,地方政府对资金的需求越来越大,而同时我国法律明确规定,地方政府不能发行债券,于是各地政府纷纷建立了自己的投融资平台,以便在市场上举债,城投债就这样应运而生了。其独特的产生背景使得其募集资金的用途也比较固定：主要是投向基础设施类和市政类项目,城投债的名称也由此而来。2008年国际上爆发金融危机,我国为了应对金融危机,提出了“支持有条件的地方政府组建融资平台,发行企业债、中期票据等融资工具,拓宽中央政府投资项目的配套资金融资渠道。”1这迎来了2009年城投债的快速发展。加之各个监管机构放松对城投企业的管制,我国城投债出现了跨越式的增长。2012年发行的城投债规模就达到了6367.9亿元,超过2011年一年发行总额的50%。城投债作为债券的一种,与其它债券相比,有其自身的独特之处,首先我国城投债在法律上没有明确的保障措施,然而因城投企业与当地政府关系的紧密,使得城投债多有政府的隐性担保；其次,城投债的发行主体城投企业具有独特的财务特征,一般资产规模较大,营业外收入较多,经营活动现金流较少而筹资活动现金流较大；再次,城投债一般呈现出主体信用评级较低而债项信用评级较高的特点；最后,因监管法律法规不完善,城投债的各项相关信息披露不及时不充分,透明度较低。本文的研究对象是影响城投债利差的主要因素,包括信用风险利差和流动性风险利差两个方面。在前人研究的基础上,笔者力图全面的分析各个主要因素对我国城投债利差的影响。在理论分析部分,笔者将影响因素分为信用风险影响因素和流动性风险影响因素两大类,其中又将信用风险的影响因索分为宏观经济因素、区域因素、企业财务状况、债券自身因素和其它影响因素进行讨论：流动性风险则分别从债券自身因素和债券市场因素进行讨论另外,本文还构建了两个多元回归模型,试图对影响我国城投债利差的因素进行检验分析。第一个模型为我国城投债利差的微观影啊因素模型.由于微观因素太多,各因素之间存在不同程度的相关性,因此本文将运用SPSS软件对影响我国城投债利差的信用风险微观因素进行因子分析,提取出具有代表性的因子进行了回归分析.该模型是基于截面数据的研究.对2011年12月交易所城投债的利差进行了分析和解释。第二个模型为我国城投债利差的宏观影响因素模型,该模型是基于时间序列的研究。因为时间数据多存在不平稳性,所以该实证在开始时对数据的平稳性进行了检验,之后进行协整检验以分析宏观中长期因素的影响,最后建立了向量误差模型来探究宏观影响因素中的短期因素对我国城投债利差的影响。并以此为基础,对2008年10月到2011年12月交易所城投债指数的利差进行了讨论。通过理论和实证分析,笔者得出了相应的结论：信用风险和流动性风险都是影响我国城投债利差的重要因素。微观层面上,投资者并不关注城投企业自身的经营情况.而更关注区域因素和城投债自身的因素。宏观层面上短期只有消费者物价指数对我国城投债利差产生影响,长期对我国城投债利差有影响的是国内生产总值、消费者物价指数和债券市场宽度指标,商业银行贷存比对我国城投债利差无影响。短期消费者物价指数与我国城投债利差负相关,这与其对我国城投债利差的长期的作用方向相反。最后,笔者提出了加强城投企业的独立性、加强城投债市场流动性、建立城投债偿还保障机制和监督机制、促进地方经济健康稳定发展、提高各城投企业透明度、健全相关法律法规六项政策建议。本文的整个研究试图探讨控制城投债的风险的有效方法。明确我国城投债利差的影响因素、影响程度和影响方向,可以使得政策制定者明确所需要关注的因素,为监管部门监管提供依据;其次,也可帮助各地政府通过调整可以控制的影响因素来降低城投债的风险,缩小城投债的利差,减小城投企业的融资成本：再次.明确我国城投债利差的影响因素,可以为信用评级机构进行债券评级提供依据,为投资者的投资决策提供判断依据。本文的主要结构安排：第一部分：绪论。主要是说明本文的研究背景与意义,城投债及城投债利差的概念界定和介绍,研究思路与框架、创新以及不足之处。第二部分：文献综述。在阅读大量文献的基础上,本文对前人的研究进行了梳理,为之后的分析打下基础。第三部分：我国城投债的发展与特征。主要分析了我国城投债的发展历程、现状及特征。第四部分：我国城投债利差影响因素的理论分析。结合第二部分和第三部分,本部分对我国城投债利差影响因素分成了信用风险影响因素和流动性影响因素分别进行具体的分析。第五部分：我国城投债利差影响因素的实证研究。本部分首先根据第四部分的理论分析选取影响因素,然后分别设立我国城投债利差的微观影响因素实证模型和宏观影响因素实证模型。其中微观影响因素实证模型是基于截面数据的分析,经过因子分析后对提取出的因子进行回归；宏观影响因素实证模型是基于时间序列的分析,经过协整检验得到长期的影响因素,又通过建立向量误差性模型来确定我国城投债利差宏观因素中的短期影响因素。第六部分：研究结论与建议。经过前面的研究,本部分给出结论并提出相应的政策建议,最后对未来的研究进行了展望。本文的主要贡献： 1.本文研究的城投债利差是二级市场上的收盘收益率与相同期限国债到期收益率的差额,这样更能反映真实价值,更能充分反映信息。 2.综合考虑了多种影响因素。以往学术界对于债券利差影响因素的研究多是考虑信用风险影响因素或者流动性风险影响因素的一种,在微观和宏观影响层面上也大多只考虑一个层面,未能全面考虑。本文在影响因素的选择上综合考虑信用风险影响因素、流动性风险影响因素、微观影响因素以及宏观影响因素,再通过实证分析以求找到我国城投债利差变动的更全面的解释。 3.运用因子分析进行深度分析。以往学术界在对债券利差影响因素进行实证分析师,多直接进行回归,而经济指标之间会很容易出现相关关系,故本文在进行回归之前,先采用因子分析提取出有解释力但又互相独立的因子,从而能更清晰的找出对城投债利差有影响的变量。本文的不足之处：因时间和笔者能力有限,本文还存在很多不足。首先本文是在综合前人研究的基础上选取的影响因素变量,可能会漏掉研究者未发现但重要的影响因素。其次,仅对固定利率的无担保的城投债进行研究,未分析浮动利率、含权的、担保的城投债,也未对银行间的城投债的利差进行研究。另外,由于一些指标和数据难以获得,比如地区经济情况公开的信息就很少,故本文未能对地区因素进行深层次研究,仅运用了可获得的公开信息。
[Abstract]:After the reform of the taxation system , the income of local finance has been in tension , and in recent years , the demand of local governments has become more and more important . In order to meet the financial crisis , the local government has set up its own investment and financing platform so as to raise the financing channel of the central government ' s investment projects .

As a kind of bond , city investment debt has its own unique place than other bonds . First , it has no definite safeguard measures in the law . However , because of the tight relationship between the city investment enterprises and the local government , the city investment debt has the implicit guarantee of the government .
Secondly , the capital investment enterprises of the capital investment bank have unique financial characteristics , the general assets are large , the operating income is more , the cash flow of the operating activities is less , and the cash flow of the fund raising activities is relatively large ;
Thirdly , city investment debt generally presents the characteristics of lower subjective credit rating and higher debt credit rating ;
Finally , because of the imperfect regulation laws and regulations , the disclosure of the relevant information of the city investment debt is not timely and insufficient , and the transparency is low .

On the basis of the previous research , the author tries to analyze the influence factors of credit risk into two broad categories : credit risk impact factor and liquidity risk factor . In the theoretical analysis part , the author divides the influence factors into two categories : credit risk influence factor and liquidity risk factor .

In addition , we have constructed two multiple regression models , and tried to analyze the factors that affect the interest margin of our city investment . The first model is the micro - shadow factor model of our city ' s debt spreads . Because of too many micro factors and different factors , this paper applies SPSS software to analyze the micro - factors of credit risk factors that affect China ' s capital investment . This model is based on cross - section data . The model is based on the research of cross - section data .

The second model is the macro - impact factor model of the capital investment difference in our country . The model is based on the research of time series . As the time data is not stationarity , the empirical study examines the stationarity of the data at the beginning . Finally , a vector error model is established to explore the influence of short - term factors on macro - factors . Finally , a discussion is made on the difference between short - term factors in macro - influencing factors in the macro - influencing factors .

Based on the theoretical and empirical analysis , the author concludes that credit risk and liquidity risk are the important factors that affect China ' s capital investment . At the micro level , investors don ' t pay attention to the business situation of city investment enterprises .

Finally , the author puts forward the strengthening of the independence of the city investment enterprises , strengthening the liquidity of the investment market in the city , establishing the mechanism and the supervision mechanism of the city investment repayment guarantee mechanism , promoting the stable development of local economic health , improving the transparency of each city investment enterprise and perfecting the six policy recommendations of relevant laws and regulations .

The whole research of this paper attempts to explore the effective way to control the risk of city investment debt . It is clear that the influencing factors , the influence degree and the influence direction of the capital investment spreads in our country can make the policy makers clear the factors which need to be concerned and provide the basis for supervision and supervision . Secondly , it can help the local governments to reduce the risk of capital investment by adjusting the influencing factors that can be controlled , reduce the profit margin of the city investment and reduce the financing cost of the city investment enterprises .

The main structure of this paper is as follows :

Part I : Introduction . It is mainly to illustrate the background and significance of the study , the definition and introduction of the concept of capital investment and the difference between city investment and capital investment , and the thinking and framework , innovation and deficiency .

Part Two : Literature review . On the basis of reading a large number of literatures , this paper sorts out the previous research , and lays the foundation for the later analysis .

The third part : The development and characteristics of our city ' s investment debt . The development course , the present situation and the characteristics of our country ' s investment debt are analyzed .

The fourth part is the theoretical analysis of the influencing factors of the debt spreads in the city of our country . Combining the second part and the third part , this part divides the influencing factors into credit risk influence factor and liquidity influence factor , and carries on the concrete analysis respectively .

The fifth part : The empirical research on the factors that influence the debt spreads in our city . This part firstly selects the influencing factors according to the theoretical analysis of the fourth part , then sets up the empirical model and the macro - influencing factor empirical model of the micro - influence factors of the capital investment spreads in our country . The empirical model of the micro - influencing factors is based on the analysis of the cross - section data , and the extracted factors are returned after the factor analysis ;
The empirical model of macro - influence factors is based on the analysis of time series , and the long - term influence factors are obtained through co - integration test .

Part VI : Research conclusions and recommendations . Through the previous research , this part gives the conclusion and puts forward the corresponding policy recommendations , and finally prospects the future research .

The main contributions of this paper are as follows :

1 . The difference between the bond yield and the yield of bond due to the same period is the difference between the bond yield and the maturity yield of the same period , which can reflect the real value and more fully reflect the information .

2 . A variety of influencing factors are taken into consideration . In previous academic circles , the research on the influencing factors of bond spreads is one of the factors that consider the influence factors of credit risk or the risk of liquidity risk . At the micro and macro - impact level , the factors of credit risk , the influencing factors of liquidity risk , the micro - influencing factors and the macro - influencing factors are considered comprehensively .

3 . Using factor analysis to analyze deeply . In previous academic circles , the author makes an empirical analysis on the influencing factors of bond spreads , and the correlation between economic indexes is easy . Therefore , before the regression , this paper uses factor analysis to extract the factors with explanatory power but also independent of each other , so as to find out the variable which has an influence on the margin of investment in the city .

The shortcomings of this paper are as follows :

Because of the limited time and the author ' s ability , there are many deficiencies in this paper . First of all , this paper studies the influence factors selected on the basis of comprehensive predecessors ' research , which may miss the undiscovered but important influence factors of the researchers . Secondly , because some indexes and data are difficult to obtain , such as the public information of regional economic situation is very few , this paper fails to carry on deep research on regional factors , and only uses the publicly available information .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F812.5

【参考文献】