本文關(guān)鍵詞：與GDP掛鉤的債券的理論與實(shí)證研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 與GDP掛鉤的債券 定價(jià) 實(shí)證研究 管理評(píng)估 政府建議

【摘要】：與GDP掛鉤的債券作為結(jié)構(gòu)化金融產(chǎn)品的一種,在國外的發(fā)展比較迅速,但在中國市場上還沒有得到肯定和應(yīng)用,但它確實(shí)相對(duì)于其他普通的債券有著獨(dú)有的優(yōu)勢。本文先從與GDP掛鉤的債券的理論部分著手,介紹其特點(diǎn)與優(yōu)勢,從債券發(fā)行國或地區(qū)和投資者的角度,分析與GDP掛鉤的債券的產(chǎn)品結(jié)構(gòu)、定價(jià)機(jī)理等,探討了與GDP掛鉤的債券的理論模型,將中國市場數(shù)據(jù)帶入理論模型當(dāng)中,對(duì)與GDP掛鉤的債券和GDP變化之間的敏感度進(jìn)行分析,對(duì)比與GDP掛鉤的債券與普通債券的差異。 本文的主要結(jié)構(gòu)是：在緒論之后,對(duì)在與GDP掛鉤的債券的學(xué)術(shù)理論進(jìn)行回顧。介紹了與GDP掛鉤債券的優(yōu)點(diǎn),再通過舉例子大致講述其運(yùn)作機(jī)理。從債券發(fā)行國或政府、投資者以及全球經(jīng)濟(jì)和金融體系三個(gè)方面講述與GDP掛鉤的債券的益處。接下來通過GDP的動(dòng)態(tài)過程以及根據(jù)與GDP掛鉤的債券的特征分析,推導(dǎo)出與GDP掛鉤的債券的定價(jià)模型,分析其在四個(gè)不同情況下模型的變化與運(yùn)用。進(jìn)一步,選取委內(nèi)瑞拉和印度尼西亞國家的GDP數(shù)據(jù)帶入模型做回歸分析,再對(duì)中國市場的GDP數(shù)據(jù)同樣進(jìn)行模擬,分別對(duì)三國的與GDP掛鉤的債券和GDP變化之間的敏感度進(jìn)行分析。比較與GDP掛鉤的債券與普通債券的差異。接下來分析評(píng)估與GDP掛鉤的債券中存在的道德風(fēng)險(xiǎn)及如何運(yùn)用國際金融機(jī)構(gòu)做規(guī)避。最后對(duì)中國市場是否適用與GDP掛鉤的債券的這種形式做分析,并對(duì)政府作出理論性建議。 本文的主要特點(diǎn)和學(xué)術(shù)貢獻(xiàn)： 創(chuàng)新點(diǎn)在于：第一,本文研究的內(nèi)容比較新穎。國外對(duì)于與GDP掛鉤的債券的研究比較多,而中國對(duì)于這方面的研究少之又少,對(duì)這種新型的金融產(chǎn)品還不是特別了解。在中國沒有一篇文章這么全面的去對(duì)與GDP掛鉤的債券進(jìn)行分析和理論講解。第二,本文通過對(duì)三國的數(shù)據(jù)模擬分析,比較與GDP掛鉤的債券和普通債券之間的差異,更能體現(xiàn)和證實(shí)對(duì)二者之間差異的討論。 雖然本文有一定的創(chuàng)新性,但任然不可避免會(huì)存在一些研究的局限性。無論如何,本文的探討僅僅是一個(gè)初步的嘗試,只是希望能夠拋磚引玉,為將來的后續(xù)研究能夠提供些許的參考。希望今后的研究者在選用GDP數(shù)據(jù)上,更能夠確定是用名義GDP還是實(shí)際GDP作為模型運(yùn)算的標(biāo)準(zhǔn),并且希望在實(shí)證當(dāng)中有更多的數(shù)據(jù)研究突破,把與GDP掛鉤的債券不僅僅作為理論研究的對(duì)象,更能夠使其運(yùn)用在今后的金融市場當(dāng)中,為債權(quán)發(fā)行國或政府和投資人都帶來效益。
[Abstract]:As a kind of structured financial product, bond linked with GDP has developed rapidly in foreign countries, but it has not been affirmed and applied in Chinese market. However, it does have a unique advantage over other ordinary bonds. This paper begins with the theoretical part of bonds linked to GDP, introduces its characteristics and advantages, and from the perspective of bond issuing countries or regions and investors. This paper analyzes the product structure and pricing mechanism of bonds linked to GDP, discusses the theoretical model of bonds linked to GDP, and brings Chinese market data into the theoretical model. The sensitivity between GDP linked bonds and GDP changes is analyzed, and the differences between GDP linked bonds and ordinary bonds are compared. The main structure of this paper is as follows: after introduction, the academic theory of bonds linked to GDP is reviewed, and the advantages of bonds linked to GDP are introduced. Then give an example of how it works. From the bond issuing country or government. Investors, as well as the global economic and financial system, describe the benefits of bonds linked to GDP. Then the dynamic process of GDP and the characteristics of bonds linked to GDP are analyzed. This paper deduces the pricing model of bond linked to GDP, and analyzes the change and application of the model under four different circumstances. The GDP data from Venezuela and Indonesia are selected to do regression analysis, and the GDP data of China market are also simulated. The sensitivity of the three countries' GDP linked bonds and GDP changes were analyzed separately. The differences between the GDP linked bonds and the ordinary bonds were compared. The next analysis was to evaluate the deposit in the GDP linked bonds. In the moral hazard and how to use international financial institutions to circumvent. Finally, the Chinese market is applicable to the GDP linked bond in this form of analysis. And make theoretical suggestions to the government. The main features and academic contributions of this paper are as follows: The innovation lies in: first, the content of this paper is relatively novel. There are more studies on bonds linked to GDP in foreign countries, but there are very few in China. This new financial product is not particularly well understood. No article in China has been so comprehensive in terms of analyzing and explaining GDP linked bonds. Second. By analyzing the data of the three countries, this paper compares the difference between the bond linked with GDP and the ordinary bond, which can better reflect and confirm the discussion of the difference between the two. Although this paper has some innovation, it is inevitable that there will be some limitations of the research. Anyway, the discussion of this paper is only a preliminary attempt, just hope to be able to open a brick. For the future research can provide some reference. Hope that the future researchers in the selection of GDP data, more can determine whether the nominal GDP or the actual GDP as the model operation standard. And we hope that there will be more data breakthrough in the empirical research, the bond linked with GDP is not only the object of theoretical research, but also can be used in the future financial market. Benefits for issuing countries or governments and investors.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1368519