我国短期融资券发行利差影响因素分析

发布时间：2018-07-14 16:57

【摘要】：短期融资券自2005年5月在银行间债券市场推出以来,受到市场中各类机构投资者的高度青睐,发行期数不断增多,发行规模迅速扩大。截止2012年年底,银行间债券市场共有2298家企业累计发行短融券2994期,发行规模达到40321.57亿元。短融券的推出和发展是以货币市场发展促进金融体制改革的重要政策措施,目前已成为市场中重要的固定收益类投资工具。随着短期融资券市场的日渐繁荣,深入了解影响我国短期融资券利差的因素,不仅有助于金融监管机构维持短融券市场的持续、健康发展,也将为今后信用类债券的发行与研究提供一定的参考价值,并在一定程度上指导银行间债券市场中主要参与者的认知与行为。本文选取了信用风险、流动性风险、系统性风险、财务风险、企业所有制性质、上市、行业等多个具有代表性的指标作为研究的自变量,并基于这些代理变量对我国短期融资券的发行利差进行实证研究。采用层层引入变量的方法进行回归,不仅可以清晰的观察引入变量与利差的影响关系,而且有助于对短期融资券利差进行多角度审视。通过分析得到结论：影响我国短期融资券发行利差的因素主要包括信用风险因素、流动性风险因素、系统性因素以及所有制属性。其中,市场对信用风险的评价主要是基于发行主体的信用等级；部分财务风险指标对解释利差有显著作用；流动性风险因素对利差的影响在模型中得到很好的验证,发行市场定价中考虑了短期融资券的流动性预期；企业所有制的影响则主要体现在市场对国有性质企业(中央、地方)给予的收益率的折让。上市与否和行业类别未能通过显著性检验,即对利差解释作用不大。
[Abstract]:Since the launch of the inter-bank bond market in May 2005, short term financing vouchers have been highly favored by various institutional investors in the market. The number of issuing periods is increasing and the scale of issuance has expanded rapidly. By the end of 2012, 2298 enterprises in the inter-bank bond market have issued 2994 periods of short thawing coupons with a scale of 4 trillion and 32 billion 157 million yuan. The introduction and development are important policies and measures to promote the reform of the financial system with the development of the money market. Now it has become an important fixed income investment tool in the market. With the growing prosperity of the short-term financing voucher market, it is not only helpful for the financial regulators to maintain the short margin market, but also to understand the factors that affect the short term margin difference of the financing vouchers in China. The continuous and healthy development of the field will also provide a certain reference value for the issuance and research of credit bonds in the future, and to a certain extent, guide the cognition and behavior of the main participants in the interbank bond market.
This paper selects credit risk, liquidity risk, systematic risk, financial risk, enterprise ownership, listing, industry and so on as the independent variables of research. Based on these proxy variables, the paper studies the distribution difference of short term financing vouchers in China. It can not only clearly observe the relationship between variables and interest spread, but also help to examine the spreads of short term financing bonds.
Through the analysis, it is concluded that the factors that affect the margin spread of short term financing vouchers in China include credit risk factors, liquidity risk factors, systematic factors and ownership properties. The market for credit risk is mainly based on the credit rating of the subject of issuing, and some financial risk indicators have a remarkable work on the explanation margin. The effect of liquidity risk factors on the difference is well validated in the model, and the liquidity expectation of the short-term financing vouchers is considered in the market pricing, and the influence of the enterprise ownership is mainly reflected in the discount on the rate of return given by the market to the state-owned enterprises (central, local). There is little effect on the explanation of the interest difference.
【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

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