本文選題：短期融資券 + 信用利差�。� 參考：《東北財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：自2005年中國人民銀行重新開啟短期融資券市場以來,中國的短期融資券市場得到了迅猛的發(fā)展,市場規(guī)模持續(xù)擴(kuò)大,市場功能不斷得到健全。短期融資券市場的活躍并不能掩蓋短期融資券市場所存在的問題,我國金融產(chǎn)品不夠豐富,信用市場發(fā)展歷史還比較短,信用產(chǎn)品的風(fēng)險(xiǎn)都未能形成合理的市場化定價(jià)機(jī)制。這就需要研究人員對(duì)信用風(fēng)險(xiǎn)因素進(jìn)行實(shí)證研究,建立合適的風(fēng)險(xiǎn)評(píng)估模型對(duì)短期融資券的風(fēng)險(xiǎn)進(jìn)行計(jì)量分析,對(duì)當(dāng)前中國短期融資券市場來說顯得非常迫切。本文研究的主要目的是通過對(duì)我國短期融資券發(fā)行信用利差的研究來找出對(duì)利差的主要影響因素,使參與短期融資券的各方對(duì)信用風(fēng)險(xiǎn)有更好的認(rèn)識(shí),以此來為發(fā)行主體和投資者提供一定的參考價(jià)值；此外還將利用各顯著因素構(gòu)造信用利差和發(fā)行利率的預(yù)測模型,可以利用預(yù)測模型為監(jiān)管機(jī)構(gòu)、發(fā)行主體和投資者提供參考。 本文理論分析部分首先回顧了國內(nèi)外的信用風(fēng)險(xiǎn)研究歷程,并對(duì)短期融資券的特點(diǎn)與發(fā)展趨勢進(jìn)行總結(jié),也研究了中國短期融資券市場發(fā)展情況以及我國短期融資券市場的發(fā)行利差情況。然后,結(jié)合當(dāng)前的研究現(xiàn)狀,對(duì)短期融資券的分析方法使用的主要是信用風(fēng)險(xiǎn)理論以及利率風(fēng)險(xiǎn)理論進(jìn)行評(píng)述,從理論層面分析了信用風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)、再投資風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)在風(fēng)險(xiǎn)定價(jià)中的影響。而且著重分析了信用風(fēng)險(xiǎn)因素與利率風(fēng)險(xiǎn)因素對(duì)發(fā)行利差以及發(fā)行定價(jià)的影響。在理論分析的基礎(chǔ)上,將信用利差影響因素分為宏觀和微觀兩方面的14個(gè)因素。 本文實(shí)證部分是基于前文對(duì)發(fā)行利差影響因素的理論分析而進(jìn)行的。分析短期融資券發(fā)行定價(jià)的模型主要參考了Altman的Z值模型,并結(jié)合回歸分析等計(jì)量方法,對(duì)信用利差影響因素進(jìn)行單因素定量分析,然后考慮所有顯著因素構(gòu)建信用利差預(yù)測模型,在模型構(gòu)建時(shí)加入了虛擬變量,并嘗試了加法、乘法、混合虛擬變量模型,選取效果最好、理論意義最有價(jià)值的回歸模型對(duì)信用利差進(jìn)行預(yù)測：然后在此基礎(chǔ)上構(gòu)建發(fā)行利率預(yù)測模型,進(jìn)行樣本外預(yù)測,分析模型的預(yù)測效果。 結(jié)合理論分析與實(shí)證檢驗(yàn),有以下結(jié)論： (1)宏觀經(jīng)濟(jì)因素對(duì)發(fā)行利差的影響都是非常顯著的,這包括了經(jīng)濟(jì)形勢(用景氣指數(shù)來反映)、貨幣政策(用M1增長率來反映)、國內(nèi)外基準(zhǔn)利率(用SHIBOR和LIBOR來反映)；其次,短融券發(fā)行因素中發(fā)行評(píng)級(jí)是非常顯著的,而發(fā)行規(guī)模和發(fā)行期限的影響相對(duì)不夠顯著；再次,對(duì)于財(cái)務(wù)因素的分析顯示財(cái)務(wù)因素對(duì)于發(fā)行利差的影響不夠顯著,只有資本結(jié)構(gòu)和償債能力兩個(gè)因素中有部分指標(biāo)是顯著的。這反映出我國短期融資券市場的財(cái)務(wù)因素影響機(jī)制不夠完善；最后,對(duì)于發(fā)行主體非財(cái)務(wù)因素的分析顯示,行業(yè)差異不是一個(gè)顯著因素,而上市與否和企業(yè)性質(zhì)都是顯著因素。 (2)本文建立了短期融資券信用利差與發(fā)行利率預(yù)測模型。利用預(yù)測模型進(jìn)行樣本內(nèi)和樣本外預(yù)測都可以達(dá)到非常理想的效果。對(duì)模型分析發(fā)現(xiàn),不同企業(yè)性質(zhì)的發(fā)行主體,其發(fā)行利差存在顯著差異；不同企業(yè)性質(zhì)的發(fā)行主體,其發(fā)行利差隨基準(zhǔn)利率變化也呈現(xiàn)出不同程度的變化；此外,模型中財(cái)務(wù)因素的影響與理論稍有偏差,這反映出我國短期融資券市場正處于快速發(fā)展期,其對(duì)發(fā)行利差的影響機(jī)制尚不完善,有待有關(guān)監(jiān)管部門需要加強(qiáng)監(jiān)管。
[Abstract]:Since the People ' s Bank of China re - opened the short - term financing bonds market in 2005 , China ' s short - term financing bonds market has been developed rapidly , the market size continues to expand , and the market function is continuously improved .
In addition , the prediction model of the credit spread and the issuing rate will be constructed by using the salient factors , and the prediction model can be used as the reference for the regulatory agency , the issuing subject and the investor .

This paper first reviews the history of credit risk research at home and abroad , summarizes the characteristics and development trend of short - term financing bonds , and reviews the impact of credit risk , liquidity risk , re - investment risk and interest rate risk in risk pricing .

The empirical part of this paper is based on the theoretical analysis of the influencing factors of the issuance of profit margin . The model mainly refers to Altman ' s Z - value model , and combines regression analysis and other measurement methods to make a single - factor quantitative analysis on the influencing factors of credit spreads . Then , considering all the significant factors , we add the virtual variable to the credit spreads , and then try adding , multiplying , mixing the virtual variable models , selecting the best results and the most valuable regression models of the theory to predict the credit spreads .

Combined with theoretical analysis and empirical test , we have the following conclusions :

( 1 ) The impact of macro - economic factors on the distribution spreads is very significant , which includes the economic situation ( reflected by the economic index ) , the monetary policy ( reflected by the growth rate of M1 ) , the domestic and foreign benchmark interest rates ( reflected by SHIBOR and LIBOR ) ;
Secondly , the issuance rating of short - margin issuing factors is very significant , and the effect of the distribution scale and the distribution period is relatively insufficient .
Thirdly , the analysis of the financial factors shows that the financial factors are not significant enough for the issuance of the spreads , and only some of the two factors of the capital structure and the debt service ability are significant . This reflects that the financial factors of the short - term financing bonds market in our country are not perfect ;
Finally , the analysis of non - financial factors of the issuing subject shows that the industry difference is not a significant factor , and the listing or the nature of the enterprise is a significant factor .

( 2 ) In this paper , we establish a model for predicting the credit spread and issuing rate of short - term financing bonds . The prediction model can be used to predict both intra - sample and out - of - sample forecasts .
The issuing body of different enterprise character , its distribution spreads with the benchmark interest rate change also presents different degrees of change ;
In addition , the influence of the financial factors in the model is slightly different from the theory , which reflects that the short - term financing bond market in our country is in the fast development period , its influence mechanism on the issue spreads is not perfect , and the relevant regulators need to strengthen the regulation .
【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1954022