本文關(guān)鍵詞： 中期票據(jù)市場 流動性 流動性風(fēng)險　出處：《湖南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2008年4月15日，中國人民銀行頒布了《銀行間債券市場非金融企業(yè)債務(wù)融資工具管理辦法》，允許符合條件的非金融企業(yè)在銀行間債券市場向合格機構(gòu)投資者發(fā)行中期票據(jù)。正如短期融資券是一年以內(nèi)短期貸款的替代品一樣，，中期票據(jù)成為除企業(yè)債、公司債以外重要的中期融資工具，是高信用等級企業(yè)的3-5年期貸款的替代品。隨著經(jīng)濟(jì)全球化進(jìn)程的加速和國內(nèi)發(fā)展多層次資本市場體系的要求，我國中期票據(jù)市場也將面臨國內(nèi)外眾多資本市場參與者的投融資需求。在這種背景下，開展對我國中期票據(jù)市場流動性的研究，對于提高我國中期票據(jù)市場的質(zhì)量和國際競爭力具有重要的意義，從而更好地發(fā)揮中期票據(jù)市場在完善資本市場結(jié)構(gòu)、分散金融體系風(fēng)險中的作用。 本文從理論分析、現(xiàn)實考察、度量研究三個方面對我國中期票據(jù)市場流動性進(jìn)行了研究。在理論分析部分，本文依托證券市場微觀結(jié)構(gòu)理論中的價格發(fā)現(xiàn)理論和市場結(jié)構(gòu)理論對證券市場的流動性進(jìn)行了闡述。在現(xiàn)實考察部分，系統(tǒng)地梳理了我國中期票據(jù)市場的發(fā)展歷程，并對我國中期票據(jù)市場流動性的影響因素及流動性不足的成因進(jìn)行了總結(jié)。在度量研究部分，對中期票據(jù)市場流動性的度量采取的是宏觀和微觀層面相結(jié)合，考察目前的流動性狀況及其影響因素。對中期票據(jù)市場流動性風(fēng)險的測度采取的是VaR方法，將傳統(tǒng)VaR與引入流動性風(fēng)險的VaR進(jìn)行對比，比較兩種方法測度市場風(fēng)險的準(zhǔn)確度，同時測度流動性風(fēng)險在市場風(fēng)險中占有的比重。文章最后在結(jié)合中期票據(jù)市場流動性的現(xiàn)實狀況和研究結(jié)果的基礎(chǔ)上，分別從中期票據(jù)市場供給、中期票據(jù)市場需求、中期票據(jù)市場中介機構(gòu)和中期票據(jù)市場監(jiān)管四個方面提出了加強我國中期票據(jù)市場流動性的政策建議。
[Abstract]:April 15th 2008, The people's bank of china has promulgated the measures on the management of debt financing instruments for non-financial enterprises in the interbank bond market, which allows eligible non-financial enterprises to issue interim notes to qualified institutional investors in the inter-bank bond market. Short-term financing bills are like alternatives to short-term loans within a year. As an important medium term financing tool besides corporate bonds and corporate bonds, medium-term notes are a substitute for the 3-5 year loans of high credit grade enterprises. With the acceleration of the process of economic globalization and the requirements of the domestic development of multi-level capital market system, China's medium-term bill market will also face the investment and financing needs of a large number of capital market participants at home and abroad. Under this background, the liquidity of China's medium-term paper market will be studied. It is of great significance to improve the quality and international competitiveness of China's medium-term paper market, and thus play a better role in perfecting the capital market structure and dispersing the risks in the financial system. This paper studies the liquidity of China's medium-term bill market from three aspects: theoretical analysis, practical investigation and measurement research. Based on the price discovery theory and the market structure theory of the securities market, this paper expounds the liquidity of the securities market. The paper also summarizes the influencing factors of liquidity and the causes of lack of liquidity in China's medium-term bill market. In the part of measurement research, the paper combines macro and micro levels to measure liquidity of medium-term bill market. To measure the liquidity risk of medium-term bill market, the VaR method is adopted to measure the liquidity risk. The traditional VaR is compared with the VaR which introduces the liquidity risk, and the accuracy of the two methods is compared. At the same time, the paper measures the proportion of liquidity risk in the market risk. Finally, based on the actual situation and the research results of the medium-term bill market liquidity, the paper separately from the medium-term bill market supply, medium-term bill market demand, This paper puts forward four suggestions on strengthening the liquidity of our country's medium-term bill market from four aspects: intermediary institution of medium-term bill market and supervision of medium-term bill market.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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