本文選題：企業(yè)債券　切入點(diǎn)：信用利差　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2008年金融危機(jī)以來我國企業(yè)債券市場發(fā)生了兩個(gè)重要變化,一個(gè)是地方政府融資平臺城投債發(fā)行規(guī)模急劇上升,城投平臺的信用風(fēng)險(xiǎn)引發(fā)監(jiān)管層和投資者的極大關(guān)注,另一個(gè)是經(jīng)濟(jì)周期下行期間我國諸多企業(yè)因?yàn)榻?jīng)營業(yè)績惡化遭遇信用評級下調(diào),不少企業(yè)甚至瀕臨違約。我國企業(yè)債券市場信用風(fēng)險(xiǎn)已經(jīng)成為一個(gè)重要的話題,信用風(fēng)險(xiǎn)的研究也具有重要的意義。 本文首先對我國2007年5月至2012年12月期間各經(jīng)濟(jì)周期階段企業(yè)債券信用利差的走勢特征進(jìn)行分析,得出我國企業(yè)債券信用利差具有逆經(jīng)濟(jì)周期特征的結(jié)論。進(jìn)而,本文基于著名諾貝爾經(jīng)濟(jì)學(xué)家Merton在1974年提出的結(jié)構(gòu)化模型,對我國經(jīng)濟(jì)周期不同階段企業(yè)債券信用利差的影響因素進(jìn)行探究,發(fā)現(xiàn)結(jié)構(gòu)化模型在經(jīng)濟(jì)周期各個(gè)階段均對我國企業(yè)債券信用利差具有較強(qiáng)的解釋力�；贛erton結(jié)構(gòu)化模型所選擇的解釋變量中,無風(fēng)險(xiǎn)利率、收益率曲線斜率總體上均與信用利差呈負(fù)相關(guān)關(guān)系,股票市場波動(dòng)率對信用利差的影響方向在經(jīng)濟(jì)周期各階段中非常不穩(wěn)定,而股票市場收益率對信用利差的影響并不顯著。 更進(jìn)一步的,本文在原有模型中分別引入經(jīng)濟(jì)增長速度變動(dòng)方向、通貨膨脹率變動(dòng)方向以及貨幣政策方向控制變量以研究宏觀經(jīng)濟(jì)變量在不同經(jīng)濟(jì)周期階段對信用利差的影響。本文得出的結(jié)論是經(jīng)濟(jì)增長和通貨膨脹率變動(dòng)方向在經(jīng)濟(jì)復(fù)蘇和經(jīng)濟(jì)蕭條時(shí)期均對我國企業(yè)債券信用利差有顯著影響,但在經(jīng)濟(jì)衰退和繁榮時(shí)期的影響并不顯著；貨幣政策轉(zhuǎn)向在經(jīng)濟(jì)周期各階段均對我國企業(yè)債券信用利差有顯著影響,其中貨幣政策由緊縮轉(zhuǎn)為寬松時(shí),信用利差顯著收窄。
[Abstract]:Since the financial crisis in 2008, two important changes have taken place in the corporate bond market of our country. One is the sharp increase in the issuance scale of local government financing platform, and the credit risk of the local investment platform has aroused the great concern of regulators and investors. Another is that during the downward period of the economic cycle, many enterprises in China have suffered a credit rating downgrade due to the deterioration of their business performance, and many enterprises are even on the verge of default. Credit risk in our corporate bond market has become an important topic of discussion. The study of credit risk is also of great significance. This paper first analyzes the trend characteristics of corporate bond credit spreads during the period from May 2007 to December 2012 in China, and draws the conclusion that the corporate bond credit spreads in China have the characteristics of inverse economic cycles. Based on the structural model proposed by the famous Nobel economist Merton in 1974, this paper explores the factors affecting the credit spreads of corporate bonds in different stages of the economic cycle in China. It is found that the structured model has a strong explanatory power on the credit spreads of Chinese corporate bonds at all stages of the economic cycle. Based on the Merton structured model, the risk-free interest rate is the main explanatory variable. Generally speaking, the slope of the yield curve is negatively related to the credit spread. The influence direction of the stock market volatility on the credit spread is very unstable in every stage of the economic cycle, but the stock market yield has no significant effect on the credit spread. Furthermore, this paper introduces the direction of economic growth rate in the original model. The direction of inflation and the direction of monetary policy are used to study the impact of macroeconomic variables on credit spreads in different economic cycles. The conclusion of this paper is the direction of economic growth and inflation. During the period of economic recovery and economic depression, there was a significant impact on the credit spreads of corporate bonds in China. However, in the period of economic recession and prosperity, the influence of monetary policy shift on the credit spread of corporate bonds in China is not significant at all stages of the economic cycle, especially when monetary policy changes from austerity to easing, the credit spread significantly narrows.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F124.8;F224

【共引文獻(xiàn)】

相關(guān)期刊論文 前1條

1 李培;吳澤福;;企業(yè)債信用利差研究述評[J];市場周刊(理論研究);2013年03期

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本文編號：1565650