本文關(guān)鍵詞：銀行間企業(yè)債券信用利差的宏觀影響因素分析　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用利差 企業(yè)債券 宏觀因素

【摘要】：企業(yè)債是目前企業(yè)融資的最重要的方式之一,近幾年企業(yè)債券融資發(fā)展迅速,隨著我國(guó)企業(yè)債券發(fā)行市場(chǎng)的逐步擴(kuò)大,企業(yè)債券的信用風(fēng)險(xiǎn)將對(duì)整個(gè)市場(chǎng)的信用風(fēng)險(xiǎn)影響越來(lái)越大。信用利差作為信用風(fēng)險(xiǎn)的重要風(fēng)向標(biāo),對(duì)債券的信用利差進(jìn)行研究有著十分重要的意義。對(duì)于投資者而言,有利于投資者對(duì)投資進(jìn)行風(fēng)險(xiǎn)管理和投資決策；對(duì)于企業(yè)經(jīng)營(yíng)者而言,有利于企業(yè)經(jīng)營(yíng)者選擇合適的發(fā)行時(shí)機(jī)和發(fā)行利率；對(duì)于監(jiān)管者而言,信用利差可以在一定程度上預(yù)測(cè)違約事件和違約概率,防范系統(tǒng)性的金融風(fēng)險(xiǎn)。 本文首先對(duì)國(guó)內(nèi)外的文獻(xiàn)進(jìn)行分析和整理,通過(guò)理論分析篩選出影響信用利差的宏觀經(jīng)濟(jì)因素；其次通過(guò)債券收益率曲線,按照企業(yè)債券的期限和信用評(píng)級(jí),計(jì)算得出各期限各信用等級(jí)企業(yè)債的信用利差,并通過(guò)時(shí)間序列回歸分析的方法篩選出影響信用利差的宏觀經(jīng)濟(jì)因素的顯著變量,并得出信用利差與宏觀經(jīng)濟(jì)因素的相關(guān)關(guān)系。結(jié)論顯示對(duì)于同樣為短期限但評(píng)級(jí)不同的企業(yè)債,影響信用利差的宏觀因素大體相同,而對(duì)于同樣為長(zhǎng)期限但評(píng)級(jí)不同的企業(yè)債,影響信用利差的宏觀因素差異較大,對(duì)于評(píng)級(jí)相同但期限不同的企業(yè)債,影響信用利差的宏觀因素亦不相同。本文的研究成果對(duì)信用債定價(jià)有著積極的意義,能夠幫助市場(chǎng)相關(guān)者,從宏觀經(jīng)濟(jì)的角度認(rèn)識(shí)宏觀經(jīng)濟(jì)因素對(duì)信用利差的影響。
[Abstract]:Corporate debt is one of the most important ways of enterprise financing. In recent years, corporate bond financing has developed rapidly, with the gradual expansion of the corporate bond issuance market in China. The credit risk of enterprise bond will affect the credit risk of the whole market more and more. Credit spread is an important vane of credit risk. It is of great significance to study the credit spread of bonds. For investors, it is helpful for investors to manage risk and make investment decisions. For the enterprise operators, it is beneficial for the enterprise operators to choose the right issuing opportunity and interest rate. For regulators, credit spreads can predict default events and default probability to a certain extent and prevent systemic financial risks. In this paper, the domestic and foreign literature analysis and collation, through theoretical analysis to screen out the impact of credit spreads macroeconomic factors; Secondly, through the bond yield curve, according to the term of corporate bonds and credit rating, calculate the credit spreads of each credit grade enterprise bonds. And through the time series regression analysis method to screen out the influence credit interest rate difference macroeconomic factor significant variable. The conclusion shows that for corporate bonds with the same short term but different ratings, the macro factors affecting credit spreads are roughly the same. For the same long term corporate bonds with different ratings, the macro factors affecting credit spreads are quite different, and for the same rating but different maturity corporate bonds. The macro factors affecting credit spreads are also different. The research results of this paper have positive significance to the pricing of credit debt and can help the market stakeholders. To understand the impact of macroeconomic factors on credit spreads from the point of view of macro-economy.
【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】：2013
【分類號(hào)】：F832.51;F830.42

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本文編號(hào)：1411178