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,我國經(jīng)濟正處在平穩(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)無法滿足城市發(fā)展所需資金。為了解決地方政府融資問題,地方政府融資平臺應(yīng)運而生。融資平臺主主體發(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,地方政府的債務(wù)總量擴張明顯,融資渠道逐漸多樣化。平臺公司通過銀行貸款、城投債、信托貸款、BT等多重方式隱性加杠桿,融資需求的擴張進一步推升了融資成本,信用風險在逐步累積。2011年的城投風波使得城投債信用風險開始受到學(xué)界和業(yè)界的廣泛關(guān)注,之后城投債信用評級下調(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險顯得更為重要。本文主要研究我國不同信用等級城投債發(fā)行時信用利差的影響因素。采用信用風險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等級的7年期企業(yè)債作為樣本,將地方政府財政因素及平臺公司財務(wù)因素的相關(guān)指標作為自變量,分析不同信用等級城投債信用利差的影響因素有何異同。在中國市場環(huán)境下,將不同信用等級城投債發(fā)行信用利差的影響因素分類研究是本文相比前人最大的突破點。另外,在對城投債市場概述時也結(jié)合了業(yè)界經(jīng)驗,緊密貼合市場�？傮w來看,地方財政因素對發(fā)行信用利差的影響比平臺公司財務(wù)因素顯著,尤其是行政級別這一指標。分類來看財政因素對高等級城投債的影響相對更顯著,而財務(wù)因素對低等級城投債的影響相對更顯著。財政因素中行政級別、一般財政收入影響較顯著；財務(wù)因素中ROE、銷售凈利率和現(xiàn)金流量指標對發(fā)行信用利差影響較顯著。具體來看,對AA+和AA等級城投債來說,共同之處是行政級別對信用利差都具有最顯著的負向影響,ROE對信用利差也都具有顯著的負向影響。不同之處在于,對AA+等級城投債來說,地方政府一般財政收入具有顯著的負向影響,其他財務(wù)指標沒有。而對AA等級城投債來說,銷售凈利率和現(xiàn)金流量指標也具有顯著的影響,其他財政指標沒有。在目前城投債發(fā)行“量升質(zhì)降”的情況下,考慮城投債信用風險控制問題,最后本文試圖從城投公司、地方政府和中介機構(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)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F812.5;F283

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相關(guān)期刊論文 前1條

1 涂盈盈;;城投債的發(fā)展與風險控制[J];中國金融;2010年07期

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本文編號：1915697