發(fā)布時間：2018-06-12 06:04

  本文選題：中期票據(jù) + 信用利差��； 參考：《西南財經(jīng)大學(xué)》2012年碩士論文

【摘要】：為了促進我國企業(yè)直接債務(wù)融資發(fā)展,2008年4月,中國人民銀行出臺《銀行間債券市場非金融企業(yè)債務(wù)融資工具管理辦法》,該辦法明確了非金融企業(yè)在銀行間債券市場采用注冊制發(fā)行債務(wù)融資工具,發(fā)行利率根據(jù)市場實際情況確定。隨后,交易商協(xié)會配套印發(fā)了《中期票據(jù)業(yè)務(wù)指引》等具體業(yè)務(wù)操作文件,該系列文件的出臺標(biāo)志了中期票據(jù)在我國的正式問世。經(jīng)過近4年的時間,中期票據(jù)在發(fā)行制度、發(fā)行規(guī)模、投資者參與主體等方面均取得了長足進步,在企業(yè)融資窗口中正占有越來越重要的地位。截至2011年12月31日,銀行間市場共有843家企業(yè)發(fā)行了總額為20815.7億元的中期票據(jù),發(fā)行規(guī)模已經(jīng)超過了企業(yè)債與公司債之和,發(fā)展勢頭蓋過了一般企業(yè)債券。 中期票據(jù)市場能夠在短短幾年之內(nèi)發(fā)展到現(xiàn)在的這種規(guī)模,客觀上也反映了企業(yè)和投資者都有對中期票據(jù)的廣泛需求。中期票據(jù)為企業(yè)提供了一條介于短期和長期之間的中期融資渠道,填補了我國在中期期限債務(wù)融資品種上的空白。 本文希望通過借鑒相關(guān)信用債券品種信用風(fēng)險的研究方法,來分析影響中期票據(jù)發(fā)行信用利差的主要因素,從而為完善中票發(fā)行定價機制,促進中票市場發(fā)展貢獻自己的力量。 由于中期票據(jù)在國內(nèi)問世的時間還不長,違約歷史數(shù)據(jù)的缺乏導(dǎo)致對其信用鳳險因素的實證研究還很少。另外,國內(nèi)的學(xué)者大多從時間序列數(shù)據(jù)出發(fā),來考察債券信用利差與各影響因素的關(guān)系,這類研究缺少了對發(fā)行主體之間差異的分析。本文選取2008年4月到2011年12月的中票發(fā)行截面數(shù)據(jù),從宏觀因素、發(fā)行結(jié)構(gòu)因素、財務(wù)因素和行業(yè)因素四個方面選擇變量全面分析其與中票發(fā)行信用利差的關(guān)系,并且在每個方面又選取多個不同的指標(biāo),力求從多個角度進行細(xì)致分析。 本文通過構(gòu)建回歸模型進行檢驗,得出了實證結(jié)果,并歸納總結(jié)出研究結(jié)論： 1、通過對中票發(fā)行信用利差宏觀影響因素的實證研究后發(fā)現(xiàn),CPI同比增幅與中票發(fā)行信用利差顯著負(fù)相關(guān)。CPI增幅越高,意味著國內(nèi)通脹形勢越嚴(yán)峻,人們會不斷調(diào)高自身的通脹預(yù)期,未來的實際利率降低。投資者相應(yīng)地也會要求更高的中票票面利率來彌補實際收益率的下降,因此中期票據(jù)信用利差會增大。研究還發(fā)現(xiàn),存款準(zhǔn)備金率對中票發(fā)行信用利差具有正的偏效應(yīng)。中期票據(jù)的期限常為3～5年,符合商業(yè)銀行等機構(gòu)投資者的中期期限配置偏好,因此商業(yè)銀行成為中期票據(jù)的主要購買者。存款準(zhǔn)備金率越高,商業(yè)銀行可用于中票配置的資金就越少,則中票投資需求越低,中票投資回報的必要收益率提高,導(dǎo)致中期票據(jù)信用利差增大。 2、通過對中票信用利差發(fā)行結(jié)構(gòu)影響因素的實證研究后發(fā)現(xiàn),發(fā)行主體信用等級與中票發(fā)行信用利差顯著負(fù)相關(guān),表明信用等級越高,其違約的可能性越小,投資者要求的風(fēng)險溢價越小,則債券的信用利差越小。發(fā)行期限與信用利差呈負(fù)相關(guān),得出這個結(jié)果有些意外,之前學(xué)界的理論和實證都表明期限越長,信用利差該越大。出現(xiàn)這種情況有可能是因為：能夠在銀行間債券市場注冊發(fā)行長期期限中票的企業(yè),企業(yè)本身資信情況較好,很多都是大型國企背景,有國家隱性擔(dān)保的因素,主體信用級別普遍很高。這樣,中期票據(jù)相當(dāng)于有一定“金邊債券”的特質(zhì),而中票持有人在持有中票期間相當(dāng)于擁有了一份對中票收益率的看漲期權(quán),到期剩余時間越長,中票持有人越有可能以較高的收益率轉(zhuǎn)讓。因此,中票發(fā)行期限越長信用利差反而較低,即發(fā)行期限與中票發(fā)行信用利差負(fù)相關(guān)。 3、通過對中票發(fā)行信用利差財務(wù)狀況影響因素的實證研究后發(fā)現(xiàn),中票信用利差與大多財務(wù)指標(biāo)相關(guān)性不強,且資產(chǎn)負(fù)債率、凈資產(chǎn)收益率和資產(chǎn)收益率對中票信用利差的偏效應(yīng)卻與我們的預(yù)期相反,有悖于通常的財務(wù)理論常識,也就是說資產(chǎn)負(fù)債率越高、盈利能力越低的企業(yè)信用利差反而小,這出乎我們的意料。對于信用債券來說,償債能力直接關(guān)系著發(fā)行人在財務(wù)上對債券的還本付息能力,對信用利差的高低能起到?jīng)Q定性的作用。但是,正如我們分析中票信用利差與發(fā)行期限負(fù)相關(guān)關(guān)系時指出,由于我國中票一定意義上存在國家隱性擔(dān)保,投資者通常認(rèn)為它們不會出現(xiàn)違約情況。 4、行業(yè)虛擬變量與中票發(fā)行信用利差的相關(guān)性不顯著。可能的原因主要有兩個方面：一方面,本文選取的樣本數(shù)量有限,而經(jīng)過行業(yè)歸類后各行業(yè)的樣本數(shù)量更少,以此得到結(jié)論就不理想；另一方面,行業(yè)因素對信用利差的影響結(jié)果已經(jīng)通過其他因素指標(biāo)表現(xiàn)出來,自身的影響已被削弱。 文章隨后在實證結(jié)果的基礎(chǔ)上提出了一些政策建議。 本文在借鑒相關(guān)債券品種信用風(fēng)險影響因素的研究方法后,對發(fā)行信用利差的研究主要從以下三個方面進行了改進： 1、研究對象。在國內(nèi)已有的信用債券品種的研究方面,由于中期票據(jù)的歷史最短,對其的研究文獻也非常少見,更多的研究成果集中在企業(yè)債、公司債和短期融資券上。本文以中期票據(jù)一級市場的發(fā)行利差為研究對象,研究內(nèi)容新穎且實用。 2、數(shù)據(jù)的選取。國內(nèi)外文獻大多選取時間序列數(shù)據(jù)來研究信用利差,本文則選取自中票在國內(nèi)問世以來所有發(fā)行主體為上市公司的數(shù)據(jù)樣本,數(shù)據(jù)覆蓋面最全最新。 3、變量的選取。本文主要從宏觀因素、發(fā)行結(jié)構(gòu)因素、財務(wù)因素和行業(yè)因素四個方面選擇變量全面分析其與中票信用利差的關(guān)系,并且在每個方面又選取多個不同的指標(biāo),力求從多個角度細(xì)致地進行分析。其中,存款準(zhǔn)備金率、中票月新增發(fā)行量占整個債券市場比率、托管量以及與發(fā)債相關(guān)的財務(wù)指標(biāo)等多個變量,均為本文的創(chuàng)新。 由于無法獲得中期票據(jù)在二級市場上的交易數(shù)據(jù),本文沒有分析中票二級市場信用利差的情況。今后將擴大中票信用利差的研究范圍,將二級市場的情況也納入到研究之中,不斷完善影響中票信用利差的因素體系。
[Abstract]:In order to promote the development of Chinese enterprises ' direct debt financing , in April 2008 , the People ' s Bank of China issued the Measures for the Management of the Debt Financing Instruments of Non - financial Enterprises in the Inter - bank Bond Market , which clearly identified non - financial enterprises to adopt the registration system to issue the debt financing instruments in the inter - bank bond market . The issuance of the series of documents marks the important status of the medium - term notes in our country . As of December 31 , 2011 , there were 843 enterprises in the inter - bank market issued a medium - term paper with a total amount of 2015.70 billion yuan . The issuance scale has exceeded the sum of corporate bonds and corporate bonds , and the development momentum has cover general corporate bonds .

The medium - term paper market is able to grow to the present scale within a few years and objectively reflects the wide demand for medium - term notes in both enterprises and investors . Medium - term notes provide a medium - term financing channel between short - term and long - term , filling gaps in our country ' s debt - financing varieties in the medium term .

In this paper , we hope to analyze the main factors that affect the credit spread of medium - term notes by drawing on the research methods of credit risk of relevant credit bonds , so as to improve the pricing mechanism of ticket issuance and promote the development of the middle - ticket market .

Due to the fact that the medium - term notes are not long in China , the lack of historical data leads to little empirical research on their credit risk factors . In addition , domestic scholars mostly analyze the relationship between the credit spreads and the influencing factors from the time series data . The paper selects the variables of the middle - ticket issue cross - section data from April 2008 to December 2011 , analyzes the relationship between the credit spreads of the bonds and the credit spreads in the middle - ticket issuance , and selects a plurality of different indexes in each aspect , so as to carry out detailed analysis from a plurality of angles .

In this paper , a regression model is constructed to verify the results , and the conclusions are summarized .

1 . After the empirical research on the macro - effect factors of the credit spread in the middle - term notes , the higher the CPI , the higher the CPI , which means that the more severe the domestic inflation situation , the higher the real interest rate of the medium - term paper . The higher the reserve requirement ratio , the less the commercial banks can use to make the medium - term notes . The lower the reserve requirement ratio , the lower the return on the medium - ticket investment , which leads to an increase in the credit spread of the medium - term paper .

2 . After the empirical research on the influencing factors of the issuance structure of the credit spreads in the middle ticket , it is found that the higher the credit rating is , the less the probability of default is , the smaller the risk premium is , the smaller the credit spreads .

3 . Based on the empirical research on the influencing factors of the credit spread of the middle - ticket issuing credit , it is found that the difference between the credit spreads of the middle - ticket and the majority of the financial indexes is not strong , and the negative effect of the asset - liability ratio , the yield of the net assets and the return on the return of the assets to the credit spreads of the middle - ticket is smaller , which is contrary to the general common sense of financial theory .

4 . There are no significant correlations between industry virtual variables and medium - ticket issuance credit spreads . There are two main reasons : on the one hand , the number of samples selected in this paper is limited , and the number of samples after industry classification is less , so that the conclusion is not ideal ;
On the other hand , the influence of industry factor on credit spreads has been shown through other factors , and its influence has been weakened .

The article then puts forward some policy suggestions on the basis of the empirical results .

After studying the influencing factors of the credit risk of bond varieties , this paper mainly improves the study of the credit spreads in the following three aspects :

1 . The research object . In the research of domestic credit note varieties , because of the short history of medium - term notes , the research literature is very rare , and more research results are concentrated on corporate bonds , corporate bonds and short - term financing bonds . In this paper , the paper focuses on the issue of the medium - term paper market as the research object , and the research content is novel and practical .

2 . The data is selected . Most of the literatures at home and abroad select the time series data to study the credit spreads . In this paper , the data samples of the listed companies have been selected since the middle ticket in China . The data coverage is the most up - to - date .

3 . Selection of variables . This paper mainly analyzes the relationship between macro - factor , issue structure factor , financial factor and industry factor , and selects a plurality of different indexes in each aspect , and tries to analyze it from a plurality of angles .

Since the transaction data of medium - term paper in secondary market cannot be obtained , this paper does not analyze the credit spread of secondary market . In the future , it will expand the research scope of the credit spread of middle - term ticket , and integrate the situation of secondary market into the research , and continuously improve the factor system which affects the credit spread of the middle - term ticket .
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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