本文選題：短期融資券　切入點(diǎn)：基準(zhǔn)利率　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：短期融資券(Commercial Paper, CP)早在1988年就出現(xiàn)在中國(guó)的金融市場(chǎng),到1997年因?yàn)榉N種原因淡出視線。2005年5月23日,中國(guó)人民銀行頒布《短期融資券管理辦法》,標(biāo)志著中國(guó)短期融資券市場(chǎng)再次興起。2008年4月9日,人民銀行又頒布了《銀行間債券市場(chǎng)非金融企業(yè)債務(wù)融資工具管理辦法》,短期融資券作為非金融企業(yè)債務(wù)融資工具中的一種,發(fā)行制度變更為更市場(chǎng)化、更有效率的注冊(cè)制,由銀行間市場(chǎng)交易商協(xié)會(huì)進(jìn)行自律管理,并進(jìn)一步降低了發(fā)行門(mén)檻。2010年12月,交易商協(xié)會(huì)又推出了期限不超過(guò)270天的超短期融資券,由信用資質(zhì)為超AAA級(jí)’的企業(yè)發(fā)行,進(jìn)一步豐富了短期融資券市場(chǎng)的期限結(jié)構(gòu)。經(jīng)過(guò)6年多時(shí)間的迅猛發(fā)展,短期融資券已成為眾多信用債中的第一大產(chǎn)品。 短期融資券在短時(shí)間內(nèi)取得了如此迅速的發(fā)展,說(shuō)明其推出非常符合當(dāng)下中國(guó)企業(yè)、金融市場(chǎng)乃至宏觀經(jīng)濟(jì)的發(fā)展需求,填補(bǔ)了我國(guó)在短期融資券產(chǎn)品領(lǐng)域的空白,所以一經(jīng)推出就獲得了各市場(chǎng)主體的廣泛認(rèn)可。近年來(lái),隨著國(guó)內(nèi)債券市場(chǎng)發(fā)行規(guī)模的不斷擴(kuò)大,尤其是伴隨著大型國(guó)有控股企業(yè)發(fā)行的債券存量紛紛接近或達(dá)到《證券法》所規(guī)定的公司凈資產(chǎn)40%的上限后,債券發(fā)行企業(yè)的信用等級(jí)開(kāi)始出現(xiàn)逐漸下降的趨勢(shì),債券市場(chǎng)的信用違約風(fēng)險(xiǎn)開(kāi)始形成和積聚。既2006年“福禧債”2事件后,2012年初,聯(lián)合資信評(píng)估有限公司將“11海龍CP01”信用等級(jí)由B下調(diào)至C,淪為所謂的“垃圾債”,再次引發(fā)市場(chǎng)關(guān)注。該債券將于2012年4月到期,如果不能按期償本付息、,將會(huì)成為債券市場(chǎng)上首例違約債券,同期限高低評(píng)級(jí)信用債的利差將會(huì)增大,以真實(shí)反映其信用風(fēng)險(xiǎn)水平。 另一方面,雖然我國(guó)近幾年引入了做市商制度和貨幣經(jīng)紀(jì)公司,各債券品種在二級(jí)市場(chǎng)的成交較之前更加活躍。但是,由于債券市場(chǎng)的投資者同向性現(xiàn)象較為明顯,且投資者大都以配置型為主,市場(chǎng)缺乏投資者的參與,所以流動(dòng)性問(wèn)題依然是我國(guó)債券市場(chǎng)特別是信用債市場(chǎng)一個(gè)不得不考慮的問(wèn)題。以往對(duì)短期融資券的信用利差研究往往側(cè)重于信用風(fēng)險(xiǎn)溢價(jià)方面,本文以為,二級(jí)市場(chǎng)的成交情況會(huì)對(duì)債券一級(jí)市場(chǎng)的定價(jià)造成影響,因此,為了保證短期融資券發(fā)行定價(jià)的信用利差研究的準(zhǔn)確性與嚴(yán)密性,本文還引入了流動(dòng)性風(fēng)險(xiǎn),并從債券本身特性、二級(jí)市場(chǎng)活躍度及貨幣市場(chǎng)資金面這幾個(gè)角度來(lái)衡量流動(dòng)性,檢驗(yàn)流動(dòng)性風(fēng)險(xiǎn)對(duì)短期融資券信用利差的影響程度。 本文將短期融資券的發(fā)行價(jià)格分解為三個(gè)部分,提出短期融資券的發(fā)行利率=基準(zhǔn)利率+信用風(fēng)險(xiǎn)溢價(jià)+流動(dòng)性風(fēng)險(xiǎn)溢價(jià)。本文的寫(xiě)作目的就在于通過(guò)對(duì)短期融資券發(fā)行信用利差的研究,使市場(chǎng)參與者能夠更好的理解短期融資券信用利差的影響因素,更好地度量其信用利差,從而為相應(yīng)的信用利差進(jìn)行準(zhǔn)確的定價(jià),為投資者選擇投資品種提供決策依據(jù)。 為了更好地表現(xiàn)短期融資券的風(fēng)險(xiǎn)溢價(jià),本文首先嘗試性地對(duì)目前國(guó)內(nèi)外學(xué)者在短期融資券定價(jià)研究中選擇的幾種較為普遍的基準(zhǔn)利率—SHIBOR、國(guó)債收益率和央行票據(jù)收益率作為短期融資券定價(jià)基準(zhǔn)利率進(jìn)行了比較分析,并通過(guò)理論分析和簡(jiǎn)單的相關(guān)性分析證實(shí)了在這幾組基準(zhǔn)利率中,SHIBOR作為短期融資券基準(zhǔn)利率的回歸效果的確最佳。因此,在后面的利差分析中,本文選取了SHIBOR作為基準(zhǔn)利率,剝離出短期融資券發(fā)行的信用利差,并對(duì)影響短期融資券信用利差的因素進(jìn)行了深入的研究。 由于中國(guó)短期融資券市場(chǎng)實(shí)質(zhì)上存在著商業(yè)銀行隱性擔(dān)保的現(xiàn)象,所以發(fā)展到現(xiàn)在還沒(méi)有出現(xiàn)過(guò)真正意義上的違約事件,因此,本文在對(duì)信用利差進(jìn)行研究時(shí),借鑒了傳統(tǒng)信用利差度量模型——Z模型的思想,同時(shí)選取了現(xiàn)代信用利差度量模型的影響因素及公司財(cái)務(wù)等指標(biāo),收集了大量一二級(jí)市場(chǎng)的原始數(shù)據(jù),選取了1017只樣本短期融資券進(jìn)行量化分析,并以此建立了短期融資券發(fā)行定價(jià)的信用利差模型。 通過(guò)實(shí)證分析,本文認(rèn)為宏觀經(jīng)濟(jì)變量GDP和CPI、發(fā)行主體評(píng)級(jí)、所有權(quán)屬性、區(qū)域?qū)傩约敖?jīng)營(yíng)活動(dòng)產(chǎn)生的現(xiàn)金流量?jī)纛~/總負(fù)債、資產(chǎn)負(fù)債率、產(chǎn)權(quán)比率、流動(dòng)比率、凈資產(chǎn)收益率等主體財(cái)務(wù)指標(biāo),以及銀行間質(zhì)押式7天回購(gòu)利率和二級(jí)市場(chǎng)換手率對(duì)短期融資券的信用利差有顯著影響。具體來(lái)說(shuō),短期融資券的信用風(fēng)險(xiǎn)受發(fā)行主體信用級(jí)別的影響最大,這也說(shuō)明了信用評(píng)級(jí)機(jī)構(gòu)在短期融資券信用利差定價(jià)中扮演者非常重要的角色,同時(shí),高等級(jí)發(fā)行主體之間信用利差比高評(píng)級(jí)和中低評(píng)級(jí)發(fā)行主體之間的信用利差要��；其次是代表發(fā)行主體償債能力的財(cái)務(wù)指標(biāo),說(shuō)明投資者對(duì)企業(yè)對(duì)所發(fā)債券的償付能力是很看重的；影響信用風(fēng)險(xiǎn)的還有GDP、CPI等宏觀經(jīng)濟(jì)變量,但相對(duì)而言,影響程度比較小。同時(shí),還應(yīng)該看到,大型國(guó)有企業(yè)較低的運(yùn)營(yíng)能力和盈利能力使得其信用利差的符號(hào)與凈資產(chǎn)收益率、流動(dòng)比率這些指標(biāo)相違背,這是由我國(guó)國(guó)有企業(yè)的經(jīng)營(yíng)特性及市場(chǎng)對(duì)大型國(guó)企的青睞所造成,這一點(diǎn)也從發(fā)行主體所有權(quán)屬性這一指標(biāo)得到了應(yīng)證,最后,本文還認(rèn)為短期融資券的發(fā)行主體是否上市、發(fā)行主體所屬行業(yè)對(duì)信用利差幾乎沒(méi)有影響。 短期融資券的流動(dòng)性風(fēng)險(xiǎn)主要受貨幣市場(chǎng)流動(dòng)性和短期融資券二級(jí)市場(chǎng)的流動(dòng)性影響,且債券本身的交易活躍程度比市場(chǎng)資金面更能影響短期融資券的信用利差,但影響程度有限。雖然發(fā)行規(guī)模這一指標(biāo)最終被剔除了模型,但是本文仍然認(rèn)為該指標(biāo)的確是影響流動(dòng)性風(fēng)險(xiǎn)的重要因素,只是這一指標(biāo)與發(fā)行人主體評(píng)級(jí)存在太大的相關(guān)性而沒(méi)有出現(xiàn)在我們的模型中。 總的來(lái)說(shuō),雖然影響短期融資券信用利差的因素很多,但是本文認(rèn)為投資者最關(guān)心的還是微觀層面的因素,包括債券本身的資質(zhì)和發(fā)行主體的資質(zhì),而其他因素只能在一定程度上對(duì)其信用利差構(gòu)成影響,并非決定性因素。 本文的創(chuàng)新之處主要體現(xiàn)在： 1.本文對(duì)已有的信用利差度量模型和影響因素進(jìn)行了較為全面和清晰的梳理,同時(shí)搜集了大量有關(guān)短期融資券市場(chǎng)的原始數(shù)據(jù),對(duì)其市場(chǎng)發(fā)展?fàn)顩r的總結(jié)相較現(xiàn)有研究有所推進(jìn)。 2.從以往學(xué)者的研究來(lái)看,短期融資券信用利差研究的比較基準(zhǔn)一般都選取1年期央行票據(jù)收益率,本文嘗試性地對(duì)幾種比較具有代表性的利率——SHIBOR利率、國(guó)債收益率和央行票據(jù)收益率作為短期融資券的基準(zhǔn)利率進(jìn)行了比較分析,并通過(guò)實(shí)證回歸分析,選擇出最貼合短期融資券發(fā)行定價(jià)研究的基準(zhǔn)利率,從而更加真實(shí)地剝離出短期融資券的信用利差。 3.不同于以往大多數(shù)學(xué)者,本文在對(duì)短期融資券的信用利差進(jìn)行分析時(shí),考慮了短期融資券的流動(dòng)性風(fēng)險(xiǎn),并從短期融資券本身特性、二級(jí)市場(chǎng)活躍度及貨幣市場(chǎng)資金面出發(fā),選取了債券發(fā)行規(guī)模、二級(jí)市場(chǎng)換手率和銀行質(zhì)押式7天回購(gòu)利率這三個(gè)指標(biāo)來(lái)衡量。這一做法考慮了我國(guó)當(dāng)前的市場(chǎng)環(huán)境,更加貼近市場(chǎng)實(shí)際情況。實(shí)證結(jié)果也證明,流動(dòng)性的確對(duì)短期融資券信用利差有顯著影響。 本文的不足之處主要體現(xiàn)在： 1.由于我國(guó)短期融資券發(fā)展時(shí)間較短,且違約機(jī)制缺失,所以至今尚無(wú)實(shí)際意義上的違約事件發(fā)生,數(shù)據(jù)的缺乏限制了筆者使用相對(duì)復(fù)雜的現(xiàn)代信用利差度量模型來(lái)對(duì)信用利差進(jìn)行深入研究。 2.由于短期融資券發(fā)行后的交易數(shù)據(jù)頻率不高,本文雖然選取了一些影響二級(jí)市場(chǎng)流動(dòng)性的指標(biāo),但依然過(guò)于依賴單個(gè)時(shí)點(diǎn)(發(fā)行時(shí)點(diǎn))橫截面的研究,而缺乏對(duì)于不同時(shí)點(diǎn)信用利差的影響因素變化的動(dòng)態(tài)比較研究。 3.鑒于自身的理論水平有限,在筆者挑選變量時(shí)存在考慮不周或者遺失重要變量的可能性,且作出的短期融資券信用利差模型也相對(duì)簡(jiǎn)單,影響了模型的有效性和準(zhǔn)確性,同時(shí),在對(duì)影響信用利差的因素進(jìn)行分類(lèi)時(shí)也過(guò)于粗糙。
[Abstract]:Short term financing bonds (Commercial Paper, CP) first appeared in 1988 in Chinese financial markets by 1997 because of various reasons out of sight.2005 in May 23rd, the people's Bank of Chinese issued "short-term financing bills management approach", marking the market short-term financing bonds China again rise.2008 in April 9th, the people's bank issued the "bank the market of the bond between the non-financial corporate debt financing instruments management measures", short-term financing bonds as a non-financial corporate debt financing instruments in the distribution system, change to a more market-oriented, more efficient registration system, self-regulation by the inter-bank market dealers association, and further reduce the threshold issue of.2010 in December, dealers association has launched a period of not more than 270 days of ultra short term financing bonds issued by credit qualification for super AAA 'business, to further enrich the term structure of short-term financing bonds market After the rapid development of more than 6 years, short-term financing bonds have become the first product of many credit debt.
The short-term financing bonds made such a rapid development in a short period of time, the launch is in line with the current Chinese enterprise development needs financial markets and macroeconomic, to fill the gaps in the short-term financing bills products field, so a launch was widely recognized by the market. In recent years, with the issue of the size of the domestic bond market continues to expand, especially with the bond of state-owned enterprise stock have approached or reached the "Securities Law > provisions of the net assets of the company 40% cap, bond issuance of corporate credit rating began to gradually decline, the bond market credit default risk to the formation and accumulation of both. 2006" fortune "debt after the 2 event, at the beginning of 2012, joint credit rating Co. Ltd. the 11 dragon CP01 credit rating from B down to C, become the so-called" junk bonds", Once again sparked concern. The bonds will expire on April 2012, if it fails to repay the interest on the bond market, will become the first case of defaulted bonds, the same period of the rating of the level of credit debt spreads will be increased to reflect the level of credit risk.
On the other hand, although our country has introduced the market maker system and money brokerage company in recent years, the bond market in two were more active than before. However, due to the bond market investors to the same phenomenon is more obvious, and most investors to configure the type, the lack of market investors, so the liquidity problem is China's bond market especially credit debt market is an issue to consider. The previous research on credit spreads of short-term financing bonds tends to focus on the credit risk premium, this dissertation thinks that the transaction market of the two will be on the primary bond market pricing impact, therefore, in order to ensure the accuracy of short-term credit spreads bond pricing and strictness, the article also introduces the liquidity risk, and from the bond itself characteristics, two levels of market activity and money market funds face this Some measure of liquidity, liquidity risk on the impact test of short-term financing bond credit spreads.
The decomposition of short-term financing bonds issuance price of three parts, put forward the liquidity risk premium rate = benchmark interest rate + credit risk premium + short-term financing bonds. The purpose of this paper is through the research on the issue of credit spreads on short-term financing bonds, the influence factors of market participants to better understand the short-term financing bonds credit spreads, a better measure of the credit spreads, accurate pricing to the corresponding credit spreads, to provide decision-making basis for the investors to choose investment products.
In order to better the performance of short-term financing bonds risk premium, this paper tries to several scholars at home and abroad in the research on the pricing of short-term financing bonds in common benchmark interest rate SHIBOR, bond yields and bank note yields as short-term financing bonds pricing benchmark interest rate are analyzed, and through theoretical analysis and simple correlation analysis confirmed that in this series of SHIBOR as the benchmark interest rate, the regression effect of short-term financing bonds benchmark interest rate does best. Therefore, in the analysis of the interest rate, this paper selects SHIBOR as the benchmark interest rate, stripping out the short-term financing bond credit spreads, and the influence factors of the short-term financing bonds credit spreads for an in-depth study.
Because of the market China short-term financing bonds actually exist commercial banks the implicit guarantee of the phenomenon, so until now there have been no real sense of the event of default, therefore, this paper researches on the credit spreads, credit spreads from the traditional measurement model -- Z model, and selected the modern credit spreads measure the model factors and company's financial indicators, collecting the original data of one or two markets, selected 1017 samples of short-term financing bonds by quantitative analysis, and establishes the model of credit spreads to issue short-term financing bonds pricing.
Through empirical analysis, this paper argues that the macro economic variables GDP and CPI, the main issue of rating, ownership of property, net cash flow / regional attribute and business activities of the total liabilities, asset liability ratio, equity ratio, current ratio, return on net assets, the main financial indicators, and the inter-bank collateral repo rate and 7 day two market turnover rate have a significant effect on the credit spreads. Specifically, short-term financing bonds credit risk affected by the issuer credit level, it also shows that the role of credit rating agencies is very important in the short-term financial capital plays in the pricing of credit spreads coupons at the same time, between the high grade issue the main credit spreads high ratings and low rated issuers of credit spreads are small; second is the main issue of financial indicators on behalf of solvency, indicating that investors in enterprises to issue bonds Solvency coupons are very important; the effect of credit risk as well as GDP, CPI and other macroeconomic variables, but relatively speaking, the degree of influence is relatively small. At the same time, it should also be noted that the large state-owned enterprises, lower operating capacity and profitability so that the credit spreads of symbol and the rate of return on net assets, contrary to current ratio these indicators, which is caused by the characteristics of the management and market of China's state-owned enterprises of large state-owned enterprises of all ages, this is from the index of the main issue has been the ownership of property should permit, finally, this paper also believes that the issuance of short-term financing bonds subject are listed, the main issue of industry has almost no effect on credit spreads.
The liquidity risk of short-term financing bonds mainly affected by liquidity of money market liquidity and short-term financing bills market of the two, and the bond itself active trading market funds face more than the degree of influence the credit spreads, but the impact is limited. Although this issue was eventually removed the scale index model, but this paper still thinks that the index is one of the important factors affecting liquidity risk, but this index and the issuer of the main rating between too much and did not appear in our model.
In general, although there are many factors that affect credit spreads, but the micro level factors or investors are most concerned about, including the bond itself and the main issue of the qualification qualification, while the other factors only to a certain extent, the credit spreads the effect, not the decisive factor.
The innovation of this paper is mainly reflected in the:
1. the credit spreads on existing measurement model and influential factors for a more comprehensive and clear, while collecting the original data on short-term financing bonds market, the developing status of the market compared to the existing research progress. Summary
From the 2. perspectives of the past research, the benchmark short-term financing bills of credit spreads are generally selected 1 year central bank bills yield, this paper tentatively on several typical interest rate SHIBOR interest rates, bond yields and central bank bills yield rate as the benchmark interest rate of short term financing bonds were analyzed then, through empirical regression analysis, choose the most fitting benchmark interest rate pricing of short-term financing bonds, thus more truly stripped out of the credit spreads.
3., unlike most previous scholars, this paper makes analysis on the credit spreads, the liquidity risk of short-term financing bonds, short-term financing bonds and from the character of two level active market and money market funds face of selected bond issuance scale of two, the market turnover rate and bank 7 days pledged repo rate of these three indicators. This approach considers China's current market environment, more close to the actual situation in the market. The empirical results also prove that the liquidity indeed has a significant impact on the short-term financing bond credit spreads.
The inadequacies of this article are mainly embodied in the:
The 1. time as a result of the development in China of short-term financing bonds is relatively short, and the default mechanism is missing, so there is no real sense of the event of default, the lack of data the author limits the use of relatively complex modern credit spreads measure model of credit spreads to in-depth study.
2. because the transaction data of short-term financing bonds issued after the frequency is not high, although this article chooses some liquidity market of the two indicators, but is still too dependent on a single point (the release point) of the cross section, and the lack of comparative study for the dynamic effects of credit spread factors change.
3. in view of their theoretical level is limited, in the selection of variables are inconsiderate or lose important variables the possibility of short-term financing bond credit spreads and make model is relatively simple, affect the effectiveness and accuracy of the model, at the same time, the classification on the factors affecting the credit spreads is too rough.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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