本文關(guān)鍵詞： 信用利差 經(jīng)濟(jì)周期 中期票據(jù) Z-score模型 銀行間企業(yè)債 多元回歸　出處：《財(cái)政部財(cái)政科學(xué)研究所》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：銀行間企業(yè)類債券是企業(yè)依照法定程序,在銀行間市場發(fā)行和交易的約定在債券存續(xù)期內(nèi)還本付息的有價(jià)證券。信用利差從定義上可以表述為企業(yè)債券收益率與相同剩余期限國債收益率的差值。企業(yè)債券收益率既包含了企業(yè)自身的財(cái)務(wù)狀況、經(jīng)營狀況和信用資質(zhì)等個(gè)體的因素,同時(shí)也是對(duì)宏觀經(jīng)濟(jì)運(yùn)行狀況的一定反映；國債收益率曲線則預(yù)示了很多關(guān)于通貨膨脹、經(jīng)濟(jì)預(yù)期增長情況、貨幣政策變化等宏觀經(jīng)濟(jì)因素。信用利差作為二者的差值,既受到企業(yè)自身因素的影響,同時(shí)必然會(huì)受到宏觀經(jīng)濟(jì)因素的影響,本文嘗試探索信用利差的變動(dòng)規(guī)律及其影響因素。本文主要包括六個(gè)章節(jié)：第一,概述本文的選題背景與研究意義,同時(shí)對(duì)信用利差的傳統(tǒng)理論——結(jié)構(gòu)化模型、簡約模型、利差分解理論和回歸分析方法進(jìn)行了簡單介紹,詳細(xì)總結(jié)了國內(nèi)外學(xué)者對(duì)信用利差變動(dòng)影響因素的研究結(jié)果及研究方法,并在此基礎(chǔ)上提出了文章的創(chuàng)新之處與不足之處；第二,概述了我國銀行問信用債券市場現(xiàn)狀及存在的問題；第三,概述我國經(jīng)濟(jì)周期和銀行間信用債券市場走勢。探討了財(cái)政政策、貨幣政策不同搭配對(duì)債券市場的影響；通過參考美林投資時(shí)鐘理論并結(jié)合我國債券市場投資現(xiàn)狀,提出了在不同的經(jīng)濟(jì)運(yùn)行階段,如何在不同的行業(yè)部門、不同信用等級(jí)、不同期限的信用債券間進(jìn)行合理配置的投資策略；通過觀察我國市場數(shù)據(jù),發(fā)現(xiàn)周期性因素是影響信用利差變動(dòng)的重要因素,信用利差與經(jīng)濟(jì)周期間存在一定程度的相關(guān)性,信用利差在一定程度上反映了經(jīng)濟(jì)周期的變化：在經(jīng)濟(jì)發(fā)展態(tài)勢良好時(shí),信用利差有縮窄的趨勢；而當(dāng)經(jīng)濟(jì)態(tài)勢比較惡劣時(shí),信用利差有擴(kuò)大的趨勢。由于周期性因素受到宏觀經(jīng)濟(jì)走勢的影響,各宏觀經(jīng)濟(jì)變量對(duì)信用利差變動(dòng)的影響程度是我們進(jìn)行實(shí)證分析的主要議題。第四,概述了影響信用利差變動(dòng)的宏觀因素、微觀因素和其他因素,考慮到本文的寫作宗旨,用較大篇幅就宏觀因素進(jìn)行了細(xì)致分析,簡單概述了微觀因素和其他因素。第五,實(shí)證分析部分。在該部分我們采用市場化程度較高的中期票據(jù)作為樣本券,樣本區(qū)間為2008年5月到2012年3月。本文嘗試將不同期限、不同信用等級(jí)的中期票據(jù)信用利差的時(shí)間序列數(shù)據(jù)作為被解釋變量,將影響信用利差變動(dòng)的通貨膨脹率、國債收益率曲線斜度、股票市場回報(bào)率、信用債券市場流動(dòng)性、短期無風(fēng)險(xiǎn)國債利率等宏觀經(jīng)濟(jì)變量的時(shí)間序列數(shù)據(jù)作為解釋變量進(jìn)行多元線性回歸,并且得出了具有一定指導(dǎo)意義的結(jié)論。第六,研究結(jié)論與研究展望。該部分歸納了通過研究分析得出的五個(gè)較有價(jià)值的結(jié)論,綜合考慮學(xué)術(shù)界現(xiàn)有研究的基礎(chǔ)上提出了對(duì)未來研究的展望,諸如拓展計(jì)量分析模型、完善數(shù)據(jù)資料庫等。
[Abstract]:The inter-bank enterprise bond is the enterprise according to the legal procedure. An agreement to issue and trade in an interbank market. A negotiable security that pays principal and interest over the life of a bond. The credit spread can be expressed by definition as the difference between the yield of corporate bonds and the yield of bonds of the same remaining maturity. Corporate bonds. The rate of return includes the financial situation of the enterprise itself. The individual factors, such as operating condition and credit qualification, are also a certain reflection of the macro-economic running condition at the same time; Treasury bond yield curve indicates a lot of macroeconomic factors, such as inflation, expected economic growth, monetary policy changes, etc. Credit spreads as the difference between the two are affected by the enterprise's own factors. At the same time, it will inevitably be influenced by macroeconomic factors. This paper tries to explore the variation of credit spreads and its influencing factors. This paper mainly includes six chapters: first, summarize the background and significance of this paper. At the same time, it introduces the traditional theory of credit spread, such as structured model, reduced model, spread decomposition theory and regression analysis method. The research results and methods of influencing factors of credit spreads are summarized in detail, and the innovations and shortcomings of this paper are put forward. Secondly, it summarizes the current situation and existing problems of the credit bond market in China. Thirdly, it summarizes the economic cycle and the trend of interbank credit bond market. It also discusses the influence of different monetary policies on the bond market. By referring to Merrill Lynch investment clock theory and combining with the present investment situation of China's bond market, this paper puts forward how to make different credit grades in different sectors in different stages of economic operation. Investment strategy for reasonable allocation of credit bonds with different maturities; By observing the market data in China, it is found that the cyclical factors are the important factors affecting the change of credit spreads, and the credit spreads have a certain degree of correlation with the economic week. The credit spread reflects the change of the economic cycle to some extent: when the economic development situation is good, the credit spread has the tendency of narrowing; But when the economic situation is relatively bad, the credit spread has the tendency to expand, because the cyclical factor is affected by the macroeconomic trend. The influence of macroeconomic variables on credit spreads is the main topic of empirical analysis. 4th, it summarizes the macro factors, micro factors and other factors that affect the change of credit spreads. Considering the purpose of this paper, the author makes a detailed analysis of the macro factors and summarizes the micro factors and other factors. 5th. The empirical analysis part. In this part we use the high degree of marketization of medium-term notes as sample coupons, the sample interval is from May 2008 to March 2012. The time series data of credit spread of medium term notes with different credit grades as explained variables will affect the inflation rate of credit spreads, the slope of bond yield curve, and the return rate of stock market. The time series data of macroeconomic variables such as the liquidity of credit bond market and the interest rate of short-term risk-free treasury bonds are used as explanatory variables for multivariate linear regression, and a conclusion with certain guiding significance is obtained. 6th. Research conclusions and research prospects. This part summarizes the five valuable conclusions through research and analysis, and puts forward the prospect of future research on the basis of comprehensive consideration of the existing research in academia. Such as expand the econometric analysis model, improve the data base, and so on.
【學(xué)位授予單位】：財(cái)政部財(cái)政科學(xué)研究所
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1455726