本文選題：企業(yè)債券　切入點：信用價差　出處：《浙江工商大學》2012年碩士論文

【摘要】：近年來,我國企業(yè)債券市場發(fā)展迅速,市場機制不斷完善,市場規(guī)模不斷擴大,市場化程度不斷提高,投資者參與積極性不斷增加。企業(yè)債券作為企業(yè)進行外部直接融資的工具在金融市場上起著愈加重要的作用,市場參與者基于其己獲得信息和預期信息參與市場活動,參與活動的最終結(jié)果表現(xiàn)為市場上形成的均衡價格,即企業(yè)外部融資的溢價——企業(yè)債信用價差。因此,企業(yè)債信用價差可能隱含著市場參與者的預期信息,其中,未來的經(jīng)濟增長狀況是極其重要的預期信息,正確的預期可以使得投資者保持適當?shù)氖找骘L險比。據(jù)此,本文首先從企業(yè)外部融資溢價的角度對企業(yè)債信用價差與經(jīng)濟增長信息之間的關(guān)系進行了理論分析,然后實證檢驗了我國企業(yè)債信用價差是否隱含了經(jīng)濟增長信息。 企業(yè)債信用價差是企業(yè)進行外部融資活動時,由于企業(yè)及其融資項目所具有的風險,外部融資價格超出無風險收益率的那部分價格,就是企業(yè)的外部融資溢價。企業(yè)外部融資易受實體經(jīng)濟環(huán)境影響,這使得學術(shù)界對企業(yè)債信用價差隱含實體經(jīng)濟信息進行了持續(xù)的研究,并得出了一些肯定的結(jié)論,發(fā)現(xiàn)企業(yè)債信用價差包含了未來經(jīng)濟增長的預期信息,但是,已有的文獻大都是研究國外成熟市場中企業(yè)債券。隨著我國企業(yè)債券市場的迅速發(fā)展,企業(yè)債信用價差是否也隱含了未來的經(jīng)濟增長信息?其在多大程度上解釋未來的經(jīng)濟增長情況? 本文首先在閱讀大量宏觀經(jīng)濟指示器與企業(yè)債信用價差相關(guān)研究文獻的基礎(chǔ)上,梳理出其發(fā)展脈絡(luò),提煉出關(guān)鍵論點作為本文的部分理論基礎(chǔ)。然后,從外部融資溢價角度構(gòu)建出局部均衡模型和一般均衡模型對企業(yè)債信用價差與經(jīng)濟增長信息進行理論分析。最后,本文選取銀行間企業(yè)債券二級市場的交易數(shù)據(jù),通過一般時間序列計量模型和LAR算法模型實證分析了企業(yè)債信用價差對經(jīng)濟增長的預測能力,以及與其它宏觀經(jīng)濟指示器的相對預測能力,得出我國企業(yè)債信用價差隱含著經(jīng)濟增長信息的實證結(jié)論。 通過上述研究,本文發(fā)現(xiàn)我國企業(yè)債信用價差對中期的經(jīng)濟增長有著較強的預測能力,AA級較AAA級企業(yè)債信用價差的預測能力強,此外,企業(yè)債信用價差表現(xiàn)出相對于其它宏觀經(jīng)濟金融指示器所具有的較強的預測能力。在此基礎(chǔ)上,本文針對我國企業(yè)債券市場的發(fā)展提出了政策措施建議,旨在提高市場成熟度、完善市場機制、促進市場發(fā)展,還提出了將企業(yè)債信用價差作為宏觀經(jīng)濟指示器的建議。
[Abstract]:In recent years, China's corporate bond market has developed rapidly, the market mechanism has been continuously improved, the market scale has been continuously expanded, the degree of marketization has been improved, and the enthusiasm of investors to participate in the market has been continuously increased.Corporate bonds play an increasingly important role in the financial market as a tool for external direct financing of enterprises. Market participants participate in market activities based on their own information and expected information.The final result of the participation is the equilibrium price formed in the market, that is, the premium of the external financing of the enterprise-the credit spread of the corporate debt.Therefore, the credit spread of corporate debt may imply the expected information of market participants, among which, the future economic growth is the most important expected information, and the correct expectation can make investors maintain a proper ratio of income to risk.Based on this, this paper first analyzes the relationship between corporate bond credit spread and economic growth information from the angle of enterprise external financing premium, and then empirically tests whether the corporate debt credit spread implies economic growth information.Corporate bond credit spread is the external financing premium due to the risk of the enterprise and its financing project, the external financing price exceeds the risk-free rate of return.The external financing of enterprises is easy to be affected by the real economic environment, which makes the academic circles carry on the continuous research on the real economic information implied by the credit spreads of corporate bonds, and draw some positive conclusions.It is found that the credit spread of corporate bonds contains the expected information of future economic growth. However, most of the existing literature is devoted to the study of corporate bonds in mature foreign markets.With the rapid development of the corporate bond market in China, does the credit spread of corporate debt also imply the future economic growth information?To what extent does it explain future economic growth?In this paper, based on reading a large number of macroeconomic indicators and corporate debt credit spreads related to the literature, sort out its development context, extract the key arguments as part of the theoretical basis of this paper.Then, the partial equilibrium model and the general equilibrium model are constructed from the angle of external financing premium to analyze the information of corporate debt credit spread and economic growth.Finally, this paper selects the transaction data of the interbank enterprise bond secondary market, and analyzes the forecasting ability of the corporate bond credit spread to the economic growth through the general time series econometric model and the LAR algorithm model.As well as the relative prediction ability with other macroeconomic indicators, the empirical conclusion that the credit spread of corporate bonds implies economic growth information is obtained.Based on the above research, this paper finds that the credit spread of corporate bonds in China has a strong ability to predict the medium-term economic growth. In addition, the AA grade is stronger than the AAA grade in predicting the credit spreads of corporate bonds.The credit spreads of corporate bonds show strong predictive ability compared with other macroeconomic and financial indicators.On this basis, this paper puts forward some policy and measures to improve the maturity of the market, perfect the market mechanism and promote the development of the market in view of the development of the corporate bond market in China.The paper also puts forward the suggestion that the credit spread of enterprise debt should be taken as a macro-economic indicator.
【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F275;F832.4;F224

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