本文選題：城投債 + 信用利差�。� 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：目前,我國(guó)經(jīng)濟(jì)正處在平穩(wěn)發(fā)展階段,傳統(tǒng)的依靠稅收、轉(zhuǎn)移支付、土地出讓等方式獲取資金已經(jīng)無(wú)法滿(mǎn)足城市發(fā)展所需資金。為了解決地方政府融資問(wèn)題,地方政府融資平臺(tái)應(yīng)運(yùn)而生。融資平臺(tái)主主體發(fā)債,可以視作城投債,但其最終信用主體是地方政府。近年來(lái),地方政府的債務(wù)總量擴(kuò)張明顯,融資渠道逐漸多樣化。平臺(tái)公司通過(guò)銀行貸款、城投債、信托貸款、BT等多重方式隱性加杠桿,融資需求的擴(kuò)張進(jìn)一步推升了融資成本,信用風(fēng)險(xiǎn)在逐步累積。2011年的城投風(fēng)波使得城投債信用風(fēng)險(xiǎn)開(kāi)始受到學(xué)界和業(yè)界的廣泛關(guān)注,之后城投債信用評(píng)級(jí)下調(diào)現(xiàn)象屢屢發(fā)生,有些城投債甚至淪為高收益?zhèn)�。在此背景�?研究城投債的信用風(fēng)險(xiǎn)顯得更為重要。本文主要研究我國(guó)不同信用等級(jí)城投債發(fā)行時(shí)信用利差的影響因素。采用信用風(fēng)險(xiǎn)分析模型中的多元線性回歸模型,選取2011-2013年共三年新發(fā)城投債中AA+和AA等級(jí)的7年期企業(yè)債作為樣本,將地方政府財(cái)政因素及平臺(tái)公司財(cái)務(wù)因素的相關(guān)指標(biāo)作為自變量,分析不同信用等級(jí)城投債信用利差的影響因素有何異同。在中國(guó)市場(chǎng)環(huán)境下,將不同信用等級(jí)城投債發(fā)行信用利差的影響因素分類(lèi)研究是本文相比前人最大的突破點(diǎn)。另外,在對(duì)城投債市場(chǎng)概述時(shí)也結(jié)合了業(yè)界經(jīng)驗(yàn),緊密貼合市場(chǎng)�？傮w來(lái)看,地方財(cái)政因素對(duì)發(fā)行信用利差的影響比平臺(tái)公司財(cái)務(wù)因素顯著,尤其是行政級(jí)別這一指標(biāo)。分類(lèi)來(lái)看財(cái)政因素對(duì)高等級(jí)城投債的影響相對(duì)更顯著,而財(cái)務(wù)因素對(duì)低等級(jí)城投債的影響相對(duì)更顯著。財(cái)政因素中行政級(jí)別、一般財(cái)政收入影響較顯著；財(cái)務(wù)因素中ROE、銷(xiāo)售凈利率和現(xiàn)金流量指標(biāo)對(duì)發(fā)行信用利差影響較顯著。具體來(lái)看,對(duì)AA+和AA等級(jí)城投債來(lái)說(shuō),共同之處是行政級(jí)別對(duì)信用利差都具有最顯著的負(fù)向影響,ROE對(duì)信用利差也都具有顯著的負(fù)向影響。不同之處在于,對(duì)AA+等級(jí)城投債來(lái)說(shuō),地方政府一般財(cái)政收入具有顯著的負(fù)向影響,其他財(cái)務(wù)指標(biāo)沒(méi)有。而對(duì)AA等級(jí)城投債來(lái)說(shuō),銷(xiāo)售凈利率和現(xiàn)金流量指標(biāo)也具有顯著的影響,其他財(cái)政指標(biāo)沒(méi)有。在目前城投債發(fā)行“量升質(zhì)降”的情況下,考慮城投債信用風(fēng)險(xiǎn)控制問(wèn)題,最后本文試圖從城投公司、地方政府和中介機(jī)構(gòu)等不同角度提出了一些建議。
[Abstract]:At present, the economy of our country is in the stable development stage, the traditional way of obtaining funds by relying on tax, transfer payment and land transfer has been unable to meet the needs of urban development funds. In order to solve the problem of local government financing, local government financing platform emerged as the times require. The main body of financing platform issues debt, which can be regarded as city investment debt, but the final credit subject is local government. In recent years, the total amount of local government debt expansion, financing channels gradually diversified. Through bank loans, city investment debt, trust loans, and so on, the platform companies implicitly leverage and leverage, and the expansion of financing demand further increases the financing costs. Credit risk is gradually accumulated. The 2011 Citycast storm caused the credit risk of CityInvestment debt to be paid more and more attention by academic circles and the industry. After that, the phenomenon of credit rating downgrade occurred frequently, and some of the CICs even reduced to high-yield debt. In this context, it is more important to study the credit risk of city investment debt. This paper mainly studies the influencing factors of credit spread when issuing city bond with different credit grades in China. Using the multivariate linear regression model in the credit risk analysis model, the 7-year corporate bonds with AA and AA grades in the newly issued city debt in 2011-2013 were selected as samples. Taking the local government financial factors and platform company financial factors as independent variables, this paper analyzes the differences and similarities of the factors affecting the credit spreads of different credit grades. In the Chinese market environment, it is the biggest breakthrough point of this paper to classify the factors that influence the credit spread of different credit grade city investment bond issuance. In addition, in the city investment debt market overview is also combined with industry experience, close to the market. In general, the local financial factors have a more significant impact on the issue credit spreads than the platform company financial factors, especially the administrative level of this indicator. According to the classification, the influence of financial factors on debt investment of high grade cities is more significant, while that of financial factors on debt investment of low grade cities is more significant. Among the financial factors, the administrative level, the general revenue, the ROE, the net sales interest rate and the cash flow index have a significant effect on the margin of the issuing credit interest. In particular, for AA and AA grade cities, the common point is that the administrative level has the most significant negative impact on credit spreads; ROE also has a significant negative impact on credit spreads. The difference is that local government general revenue has a significant negative impact on AA grade city debt, but no other financial indicators. The net interest rate on sales and the cash flow index also have a significant impact on AA grade city debt, but no other financial indicators. Considering the credit risk control problem of city investment debt, this paper tries to put forward some suggestions from different angles such as city investment company, local government and intermediary organization.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F812.5;F283

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 涂盈盈;;城投債的發(fā)展與風(fēng)險(xiǎn)控制[J];中國(guó)金融;2010年07期

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本文編號(hào)：1915697