本文關(guān)鍵詞： 企業(yè)債券信用利差 波動(dòng)特征 宏觀影響因素 多元線性回歸　出處：《天津財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：企業(yè)債券作為企業(yè)融資的重要途徑之一,在資本幣場(chǎng)中扮演著重要的角色。因此,正確而全面地認(rèn)識(shí)企業(yè)債的信用風(fēng)險(xiǎn)對(duì)推動(dòng)我國(guó)企業(yè)債幣場(chǎng)健康快速發(fā)展具有重要意義。 本文以滬深兩市的國(guó)債和主體信用級(jí)別為AAA、AA+的固定利息企業(yè)債券的相關(guān)數(shù)據(jù)信息為基礎(chǔ),得到我國(guó)企業(yè)債券信用利差序列,通過(guò)對(duì)AAA、AA+總信用利差以及AAA、AA+信用級(jí)別的工業(yè)和公用行業(yè)的企業(yè)債信用利差序列構(gòu)建ARMA-GARCH隨機(jī)時(shí)間序列模型研究其各自的波動(dòng)特征。實(shí)證結(jié)果顯示我國(guó)企業(yè)債市場(chǎng)是可以通過(guò)對(duì)信用利差的波動(dòng)特征分析,預(yù)測(cè)其未來(lái)的走勢(shì)。此外還得到了從A企業(yè)債信用利差受過(guò)去的外部擾動(dòng)的影響程度大于AA+企業(yè)債。同時(shí),本文選取影響企業(yè)債券信用利差的宏觀經(jīng)濟(jì)因素與流動(dòng)性因素等相關(guān)指標(biāo)數(shù)據(jù)作為解釋變量,通過(guò)多重共線性檢驗(yàn)和多元線性回歸分析對(duì)以上6種企業(yè)債券信用利差的影響因素進(jìn)行實(shí)證研究,得到我國(guó)企業(yè)債信用利差受利率和匯率影響較顯著,其中AA+企業(yè)債信用利差受利率影響比AAA企業(yè)債敏感的結(jié)論,以及在對(duì)工業(yè)類(lèi)企業(yè)債券信用利差的宏觀影響因素分析中得到AAA企業(yè)債更具研究的代表性等結(jié)論。在實(shí)證結(jié)果的基礎(chǔ)上,本文提出了推動(dòng)利率市場(chǎng)化以及企業(yè)債券去擔(dān)�；l(fā)行等政策建議。 但是,由于我國(guó)企業(yè)債發(fā)行數(shù)量較少導(dǎo)致實(shí)證研究的樣本數(shù)據(jù)有限,加之宏觀解釋變量選擇的合理性有待考察以及未將微觀層面的影響因素納入多元回歸模型等不足會(huì)使本文實(shí)證結(jié)果和理論分析有些不符并存在一定局限性。
[Abstract]:Corporate bonds, as one of the important ways of enterprise financing, play an important role in the capital currency market. Therefore, it is of great significance to correctly and comprehensively understand the credit risk of corporate bonds in order to promote the healthy and rapid development of the enterprise bond market in China. Based on the national debt of Shanghai and Shenzhen stock market and the relevant data of fixed interest enterprise bond with AAACAA credit grade, this paper obtains the sequence of credit spreads of Chinese corporate bonds. By constructing the ARMA-GARCH stochastic time series model for the total credit spread of AAA ACA AA and the corporate bond credit spread sequence of the AA AA AA credit grade, the empirical results show that the enterprise bond market in our country is characterized by the fact that the market of corporate bonds is a kind of enterprise bond market in China. By analyzing the fluctuating characteristics of credit spreads, Forecast its future trend. In addition, it is found that the credit spreads from A corporate bonds are more affected by the past external disturbances than the AA corporate bonds. At the same time, In this paper, macroeconomic factors and liquidity factors affecting corporate bond credit spreads are selected as explanatory variables. Through multiple collinear test and multivariate linear regression analysis, the paper makes an empirical study on the influencing factors of the credit spreads of the above six kinds of corporate bonds, and concludes that the credit spreads of corporate bonds in China are significantly affected by interest rate and exchange rate. Among them, the credit spreads of AA corporate bonds are more sensitive to the interest rate than AAA corporate bonds. And in the analysis of macroscopical factors affecting the credit spreads of industrial enterprises, we get the representative conclusion that AAA corporate bonds are more representative. On the basis of the empirical results, This paper puts forward some policy suggestions such as promoting marketization of interest rate and debenture issuance of enterprise bonds. However, due to the small amount of corporate bond issuance in China, the sample data of empirical research are limited. In addition, the rationality of macro explanatory variable selection needs to be investigated and the influence factors at micro level are not incorporated into the multivariate regression model, which will make the empirical results of this paper and theoretical analysis somewhat inconsistent and have some limitations.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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