【摘要】：企業(yè)債是有價證券市場上重要的信用債品種。其不僅是涉及公司資本結(jié)構來源的必要融資工具,而且其在二級市場上價值的波動,構成了信用風險定價的基礎。企業(yè)債券市場蓬勃發(fā)展的同時,其價值確定和信用風險管理也對投資者提出了更高的要求。尤其2008年8月全面爆發(fā)的美國次貸危機(Subprime Crisis),生動的闡釋了信用風險管理的重要性和復雜性。而企業(yè)債券自身收益風險非對稱性的特點,使信用風險難以充分分散化,為投資者投資管理提出了較高的要求,同時也使其價格的估計較為復雜。而信用利‘差作為企業(yè)債的定價的核心更是引起國內(nèi)理論界和具體實務界的重視。在理論界國內(nèi)外學者研究多集中于研究信用利差的來源和具體影響因素；在實務界操作中,信用債和利率債的多空組合使投資者更加關注信用利差的變化。隨著我國銀行間債券市場的蓬勃發(fā)展,企業(yè)債亦發(fā)展迅速,信用利差為理論界和實務界所關注。而對于信用利差究竟是完全來自信用違約風險,還是承載其它因素并不十分清晰。本文根據(jù)我國銀行間債券市場情況,以Merton(1974)結(jié)構化模型為理論基礎對我國銀行間債券市場企業(yè)債信用利差的影響因素來源和大小進行了定性和定量的探索。 在研究方法上,本文首先通過對信用利差基礎理論分析,根據(jù)Merton結(jié)構化模型從理論上對信用利差公式進行推導,得出信用利差是資產(chǎn)波動率、利率等變量的函數(shù)。但Merton結(jié)構化模型是在完美市場假定下給出的一個解析解,為更好的從國銀行間企業(yè)債市場交投方面考慮,深入挖掘影響企業(yè)債信用利差的因素,本文又從我國企業(yè)債發(fā)行方式、企業(yè)債托管量發(fā)展趨勢、發(fā)債主體結(jié)構以及二級市場企業(yè)債的投資機構結(jié)構和交易方式等幾個方面對我國企業(yè)債的現(xiàn)實背景進行了分析。綜合理論基礎和我國現(xiàn)實背景,本文提出把銀行間企業(yè)債信用利差影響因素分為信用風險因素和非信用風險因素兩大方面。其中信用風險因素方面又分為兩個方向,一是微觀層面?zhèn)l(fā)行主體自身因素,主要包括資本結(jié)構、財務杠桿以及發(fā)行主體企業(yè)性質(zhì)等因素；二是宏觀層面系統(tǒng)性風險,主要包括無風險利率、通貨膨脹以及反映經(jīng)濟周期的工業(yè)投資增加值、采購經(jīng)理指數(shù)(PMI)等因素。借鑒國內(nèi)外文獻實證分析方法,本文從指數(shù)層面和銀行間個券層面分別構建時序模型和面板數(shù)據(jù)模型,對信用利差進行量化分析。綜合定性和定量分析,本文有如下分析結(jié)論： 1、影響信用利差的信用風險因素方面,微觀層面看,反映企業(yè)財務杠桿的資產(chǎn)負債率變化對企業(yè)債信用利差影響有限。在第三章分析了企業(yè)債發(fā)行主體構成,以國有企業(yè)背景為主,且在企業(yè)債交投中未曾發(fā)生過實質(zhì)性的違約事件,這與政府的“隱性擔�！狈植婚_,因而投資者更愿關注分析發(fā)債主體的背景性質(zhì),從而“揣測”其信用風險,這在國內(nèi)投資經(jīng)濟結(jié)構環(huán)境中更為實用。 2、影響信用利差的宏觀層面看,結(jié)構化變量利率因素是影響企業(yè)債信用利差的重要因素。不管從指數(shù)層面還是個券層面的實證分析中,以10年期國債收益率表示的無風險利率變化和國債收益率期限結(jié)構的變化對信用利差負相關。說明二者很好的反映了經(jīng)濟環(huán)境的變化,從而投資者預期企業(yè)盈利的變化而反映到信用利差的變化上。從加入的10年國債收益率變化的平方看,其系數(shù)較為顯著,亦即意味著國債收益率變化對信用利差的影響是非線性的。 3、從反映宏觀經(jīng)濟價格指標環(huán)比通貨膨脹看,總體看通貨膨脹環(huán)比和各評級企業(yè)債信用利差正相關,即通貨膨脹環(huán)比上升或預期上升,各期限企業(yè)債信用利差趨于上升。從個券層面分析的通脹指標和信用利差正相關表明信用債對通脹預期較國債更為敏感。 4、滬深300指數(shù)波動率和滬深300指數(shù)收益率在指數(shù)層面和個券層面有較大不同。從指數(shù)層面來看,二者變動對信用利差影響微乎其微。不管從期限維度還是評級維度實證分析發(fā)現(xiàn),滬深300指數(shù)波動率和滬深300指數(shù)收益率的回歸系數(shù)均趨近于零且不顯著。但從個券層面看,滬深300指數(shù)波動率和滬深‘300指數(shù)收益率對信用利差負相關且顯著,雖然相關系數(shù)較小。本文分析認為個券層面包含更多的個性化信息,更多的刻畫了二者的關系。從這一結(jié)果中另一方面也可以看到滬深300指數(shù)走勢反映了經(jīng)濟周期的變化,至少是企業(yè)庫存周期的變化趨勢。 5、流動性對信用利差有負的影響,即流動性越強,信用利差將會越窄,但從實證結(jié)上看這種效果并不十分明顯。本文采用基于交易頻率的流動性變化,刻畫了企業(yè)債二級市場流動性的變化,從其變動趨勢看,顯示較強的品種依賴和時間變化(time-varying)特征。由于銀行間債券市場由于“代持”、“過券”等交易手段,雖然成交量放大,但并不能反映流動性引起的信用利差的變化。而從根本上,我國銀行間企業(yè)債的機構投資者仍以商業(yè)銀行、保險機構等為主,而此類一般以配置型為主,相較不是特別活躍,從而在實證分析結(jié)果上看,流動性對信用利差的影響不是特別大。 6、本文在指數(shù)層面實證模型解釋信用利差變化的35%左右,個券層面面板數(shù)據(jù)模型只能解釋信用利差變化的20%左右。這與我國債券銀行間債券市場發(fā)展現(xiàn)狀有很密切的關系,我國銀行間債券市場目前仍是單邊市場,機構投資者同質(zhì)化嚴重,以“代持”、“過券”為代表的虛假成交較多,模型并無法規(guī)避此中影響,相應解釋力較弱。另一方面,從按企業(yè)債債項評級的實證分析結(jié)果的擬合程度看,隨著信用資質(zhì)的降低,模型的解釋力增強,這也與國外實證結(jié)果一致。通過指數(shù)層面和個券實證結(jié)果證結(jié)果總體對比發(fā)現(xiàn),二者基本相容。這一方面說明了本文實證結(jié)果的穩(wěn)健性,另一方面也表明了中債登估值數(shù)據(jù)整體的有效性。
[Abstract]:Corporate debt is an important credit loan in the stock market. It is not only a necessary financing tool that involves the source of the capital structure of the company, but also the fluctuation of its value in the two level market, which constitutes the basis of the pricing of credit risk. The higher requirements, especially the Subprime Crisis, which broke out in August 2008, vividly illustrate the importance and complexity of credit risk management, and the asymmetric characteristics of the corporate bond's own income risk make it difficult to divide the credit risk fully and put forward higher requirements for the investment management of the investors, as well as the investment management. The estimation of the price is more complex, and the core of the credit interest 'bad as the pricing of the enterprise debt is more important to the domestic theorists and the concrete practice circles. Investors pay more attention to the change of credit spreads. With the rapid development of the interbank bond market in China, the corporate debt is developing rapidly. The credit spreads are concerned in the theoretical and practical circles. However, it is not very clear whether the credit spreads are entirely from the credit default risk or the other factors. This paper is based on the interbank debt in China. With the Merton (1974) structural model as the theoretical basis, this paper makes a qualitative and quantitative exploration of the source and size of the factors affecting the credit spreads of corporate bonds in the interbank bond market.
In the research method, this paper first analyses the basic theory of credit spreads and deduces the formula of credit difference based on Merton structural model, and concludes that the credit difference is the function of asset volatility, interest rate and other variables. But the Merton structured model is an analytical solution given under the assumption of perfect market. In this paper, the factors that affect the credit spreads of corporate bonds are deeply excavated in the consideration of the exchange and investment of the corporate bond market between China's banks. This paper also comes into the realistic background of China's enterprise debt from several aspects, such as the way of issuing corporate debt, the development trend of corporate debt trust, the main structure of the debt issuance, the structure of the investment institutions and the trading mode of the two level market enterprise debt. On the basis of the comprehensive theory and the realistic background of our country, this paper divides the factors of credit spreads between banks into two aspects: credit risk factors and non credit risk factors. Among them, the credit risk factors are divided into two directions, one is the main factors of the bond issuing subject in the micro level, mainly including the capital structure, Financial leverage and the nature of the enterprise of the main issue; two is the systemic risk at the macro level, mainly including the risk free interest rate, inflation and the value of the industrial investment that reflect the economic cycle, the purchasing manager index (PMI) and other factors. Do not build time series model and panel data model, carry out quantitative analysis of credit spreads.
1, in terms of credit risk factors, the micro level shows that the change of the asset liability rate of corporate financial leverage has limited influence on the credit spreads of corporate bonds. In the third chapter, the main body of the corporate debt issuance is analyzed, which is dominated by the background of the state-owned enterprises, and that the substantive breach of contract has not occurred in the enterprise debt surrender. The "implicit guarantee" of the government can not be separated, so investors are more willing to pay attention to the analysis of the background nature of the subject of debt issuance, so as to "guess" its credit risk, which is more practical in the domestic investment economic structure environment.
2, on the macro level of the credit spreads, the interest rate factor of structured variables is an important factor affecting the credit spreads of corporate bonds. No matter from the index level or the positive analysis of the voucher level, the risk free interest rate change and the change of the bond yield limit structure, expressed by the 10 year Treasury yield, are negatively related to the credit spreads. Two It is a good reflection of the changes in the economic environment, so that the investors expect the change in the profit of the enterprise to reflect the change of credit spreads. From the square of the 10 year return on the yield of national debt, the coefficient is more significant, that is, the change of the yield of the Treasury bond is nonlinear.
3, from the view of the macroeconomic price index, the overall view of the inflation ring ratio is positively related to the credit spreads of the rating enterprise debt, that is, the inflation circle is rising or the expected rise, the credit spreads of the corporate bonds tend to rise in each period. The positive correlation between the inflation index and the credit margin analysis from the level of the voucher level shows that the credit debt is inflationary. It is expected to be more sensitive than Treasury bonds.
4, the Shanghai and Shenzhen 300 index volatility and the Shanghai and Shenzhen 300 index yield are very different between the index level and the voucher level. From the index level, the two changes have little influence on the credit spreads. No matter from the term dimension or the rating dimension empirical analysis, the Shanghai, Shenzhen 300 index volatility and the Shanghai and Shenzhen 300 index return are both convergence. At the level of voucher, the Shanghai and Shenzhen 300 index volatility and the Shanghai and Shenzhen '300 index return are negatively related to the credit spreads, although the correlation coefficient is small. This paper holds that the voucher level contains more personalized information and more portrays the relationship between the two. The CSI 300 index reflects the change of the business cycle, at least the changing trend of the enterprise stock cycle.
5, liquidity has a negative impact on the credit spreads, that is, the stronger the liquidity, the narrower the credit spread will be, but the effect is not very obvious from the empirical analysis. This paper uses the liquidity change based on the trading frequency to depict the changes in the liquidity of the two level market of enterprise debt, showing the strong variety dependence and time change from the trend of its change. Time-varying characteristics. Since the interbank bond market, due to the "holding", "voucher" and other trading means, although the volume of turnover is magnified, it does not reflect the change of credit spreads caused by liquidity. Fundamentally, the institutional investors of the interbank debt in our country are still mainly commercial banks, insurance institutions and so on. As a result, the impact of liquidity on credit spreads is not particularly significant.
6, in this paper, the empirical model of the index level explains about 35% of the change of credit difference, and the voucher level panel data model can only explain about 20% of the change of credit difference, which is closely related to the current situation of bond market development between China's bond banks. The market of the inter-bank bond market in China is still a unilateral market, and the institutional investors are homogeneous and strict. There are more false transactions represented by "holding" and "passing vouchers". The model can not avoid this effect, and the corresponding explanatory power is weak. On the other hand, from the fitting degree of the empirical analysis results of the debt rating of enterprise debt, with the reduction of credit qualification, the release force of the model is enhanced, which is also in agreement with the foreign empirical results. Through the index, the index is also in accordance with the index. The overall comparison of the empirical results between the level and the voucher shows that the two are basically compatible. This aspect shows the robustness of the empirical results, and on the other hand it shows the effectiveness of the overall valuation data.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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