本文選題：供求關(guān)系 + 資金面　； 參考：《南京大學(xué)》2013年碩士論文

【摘要】：近年來,國內(nèi)債券市場蓬勃發(fā)展,以企業(yè)債、中期票據(jù)為主的信用產(chǎn)品發(fā)展速度驚人。因此,研究債券收益率或者說債券價格的影響因素成為機構(gòu)投資者購買合適債券的重中之重。投資者只有在準確預(yù)測價格走勢的情況下才一可能獲利；同時,研究債券市場的流動性也是預(yù)測利率水平的重要方面,深入對流動性的研究可以提前了解債券價格波動方向以及政策基本面情況,為投資者進行投資決策提供了有利支持。 目前,商業(yè)銀行是銀行間債券市場主要參與者,持有的債券占到總量的60%-65%,是銀行間債券市場的絕對主力。進一步細分,全國性商業(yè)銀行是銀行間債券市場的主要投資者,但從成交量來看,城市商業(yè)銀行更為活躍。商業(yè)銀行資產(chǎn)配置主要分成兩塊,由客戶貸款和債券投資構(gòu)成,其中客戶貸款約古商業(yè)銀行總資產(chǎn)的50%左右,而債券投資占總資產(chǎn)20%左右,債券投資占總資產(chǎn)的比重近年來有所增長。債券投資所獲得的收入增長較快,已經(jīng)成為僅次于貸款利息收入商業(yè)銀行的主要利潤來源,但是,貸款利息收入在短期內(nèi)仍將是商業(yè)銀行的收入主要來源,在過去的很多年了,貸款收益率普遍高于債券的收益率。作為債券市場的主力,銀行的持債行為及其變化對債券市場有深遠的影響,深刻理解這種影響對于我們研究判斷債券市場走向具有重要意義。 中高等級信用債需求方面由銀行體系資金面決定,對于銀行體系來說,資金面就是銀行類金融機構(gòu)在中央銀行的超額存款準備金,在實踐運用中,金融機構(gòu)對十銀行體系流動性的預(yù)測,一般用超額存款準備金率或超額存款準備金的絕對規(guī)模來衡量,其被廣泛視作衡量銀行體系流動性情況的指標。另一個影響銀行對債券需求的因素是信貸政策的變化,理論上講,經(jīng)濟快速增長階段,銀行加速信貸擴張,信貸資產(chǎn)增加對于銀行的債券投資具有擠出效應(yīng),而在經(jīng)濟增速回落時,貸款風險上升以及信貸資產(chǎn)收益率下降使得信貸增速放緩,商業(yè)銀行債券投資需求增加。 針對目前國內(nèi)學(xué)術(shù)界在債券市場研究上偏重于定性研究和理論綜述的特點,本文通過理論結(jié)合實證分析,研究了銀行超額存款準備金,新增人民幣貸款以及債券發(fā)行量對高等級企業(yè)債、中期票據(jù)到期收益率的影響。研究結(jié)果表明,長期限的債券到期收益率受資金面的影響比較��；信用風險越高的債券其到期收益率越容易受到市場資金面的影響；超額存款準備金對到期收益率并沒有影響；新增人民幣貸款上升導(dǎo)致到期收益率下降；信用債發(fā)行量上升帶來到期收益率上行壓力;利率債發(fā)行量上升促使到期收益率下降。 本文的實證研究是債券市場流動性研究的一個創(chuàng)新,對投資實踐具有一定的意義,通過跟蹤每月的新增人民幣貸款、債券發(fā)行量以及外匯占款、公開市場操作、財政存款、法定存款準備金率和現(xiàn)金等多個宏觀數(shù)據(jù),投資者可以判斷中高等級信用債到期收益率的變動方向和大致走勢,為提高組合到期收益率提供決策依據(jù)。在實務(wù)界廣泛運用超額存款準備金作為債券需求關(guān)鍵影響因素的背景下,通過相關(guān)的理論研究以及對一系列不同信用等級的債券到期收益率的實證分析得出超額存款到期收益率并不影響到期收益率的結(jié)論,可謂是顛覆了實務(wù)界原有的一些觀點。但由于數(shù)據(jù)的偏少以及數(shù)據(jù)波動性較大,對研究結(jié)果產(chǎn)生一定影響,但是作為探索性、先驅(qū)性的研究而言,本文的研究依然存在較大價值,今后可以尋找其他反映債券供需的高頻數(shù)據(jù)來對到期收益率做實證分析,更加準確的得出相關(guān)結(jié)論。
[Abstract]:In recent years, the domestic bond market has flourished, and the growth rate of credit products based on corporate debt and medium-term bill is remarkable. Therefore, it is the most important factor to study the bond yield or the influence factors of the bond price. The investor is only likely to make a profit only if the price trend is accurately predicted. At the same time, the study of the liquidity of the bond market is also an important aspect of the prediction of the interest rate level. Deep convective research can understand the direction of the bond price fluctuation and the basic situation of the policy ahead of time, which provides favorable support for investors to make investment decisions.
At present, commercial banks are the main participants in the inter-bank bond market, the bonds held in the total amount of 60%-65%, the absolute main force of the inter-bank bond market. Further subdivision, the national commercial bank is the main investor in the inter-bank bond market, but from the volume of business, the city commercial bank is more active. It is divided into two pieces, consisting of customer loan and bond investment, in which the customer loan is about 50% of the total assets of the old commercial bank, while the bond investment accounts for about 20% of the total assets, and the proportion of the bond investment in the total assets has increased in recent years. The income of the bond investment has increased rapidly and has become a commercial bank second only to the interest income of the loan. The main source of profit is, however, the loan interest income will still be the main source of income of commercial banks in the short term. In the past many years, the yield of the loan is generally higher than the yield of the bond. As the main force of the bond market, the bank's debt holding behavior and its changes have a profound influence on the bond market. It is of great significance to study and judge the trend of the bond market.
The demand for middle and high grade credit is determined by the capital side of the bank system. For the banking system, the capital side is the excess deposit reserve of the bank financial institutions in the central bank. In practice, the prediction of the liquidity of the ten banking system by the financial institutions generally uses the absolute reserve reserve ratio or the excess deposit reserve. In scale, it is widely seen as an indicator of the liquidity of the bank system. Another factor that affects the bank's demand for bonds is the change in the credit policy. In theory, the rapid growth stage of the economy, the bank's acceleration of credit expansion, the increase of credit assets for the bond investment of the bank, and the decline in economic growth. At the same time, the increase in loan risk and the decline in credit assets yield slowed down credit growth and increased demand for commercial bank bond investment.
In view of the characteristics of the qualitative research and theoretical review on the bond market research in the domestic academia, this paper studies the effect of the bank excess deposit reserve, the new RMB loan and the bond issuance on the high grade debt and the maturity rate of maturity by the theory combined with empirical analysis. The maturity of the bond is less affected by the capital surface; the higher the credit risk, the more the maturity yield is affected by the market capital; the excess deposit reserve has no effect on the maturity yield; the rise of the new RMB loans leads to the decline in the maturity yield; the rise of the credit issue is due to maturity. The upward pressure on yields; the rise in interest rate debt issuance pushed down yields.
The empirical study of this paper is an innovation in the liquidity study of the bond market, which is of certain significance to the investment practice. By tracking the monthly new RMB loans, the amount of the bond issuance and the foreign exchange occupied, the open market operation, the financial deposit, the statutory deposit reserve ratio and the present gold, the investors can judge the middle and high levels. The changing direction and general trend of the maturity rate of credit maturity to provide a decision basis for improving the rate of maturity of the combined maturity. In the context of the application of the excess deposit reserve as the key factor for the bond demand in the practical field, the relevant theoretical research and a series of empirical studies on the maturity yield of bonds that are different from the credit rating are carried out. The conclusion is that the expiration rate of excess deposit does not affect the rate of yield due to maturity. It can be described as subverting some of the original views of the practice circle. However, due to the little data and the greater volatility of data, it has a certain impact on the research results, but as an exploratory and pioneer research, the research of this paper still has great value. In the future, we can find other high frequency data reflecting the demand and supply of bonds to make an empirical analysis of the yield to maturity, and draw more accurate conclusions.
【學(xué)位授予單位】：南京大學(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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