【摘要】：自1994年1月1日起,中國實行分稅制改革,對各省、自治區(qū)、直轄市以及計劃單列市實行分稅制財政管理體制。盡管分稅制改革有力的調(diào)動了地方政府的積極性,在一定程度上促進(jìn)了地方經(jīng)濟(jì)的增長和財政的增收,但隨著經(jīng)濟(jì)體制改革的推進(jìn)、公共財政體制的發(fā)展,尤其城市化進(jìn)程的加快、社會保障資金的缺口、國有金融機(jī)構(gòu)不良資產(chǎn)以及國有企業(yè)困境等各種問題凸顯,地方政府所承擔(dān)的促進(jìn)地方經(jīng)濟(jì)發(fā)展和擴(kuò)大城市基礎(chǔ)設(shè)施建設(shè)等各方面的責(zé)任越來越大,而地方政府用于基礎(chǔ)設(shè)施建設(shè)和預(yù)算內(nèi)財政資金僅僅靠財政撥款,資金遠(yuǎn)遠(yuǎn)不夠。與此同時,分稅制改革以來,中央和地方的事權(quán)和財權(quán)的分配出現(xiàn)了事實上的事權(quán)重心下移而財權(quán)重心上移的現(xiàn)象,從而導(dǎo)致了地方政府事權(quán)和財權(quán)的不對等,在加上中國轉(zhuǎn)移支付制度尚不完善,地方政府資金缺口不斷加大。 在我國相關(guān)法律法規(guī)下,地方政府一直并不允許直接發(fā)債。為解決資金需求和供給矛盾問題,在現(xiàn)實操作中便產(chǎn)生了兩種解決辦法：一是中央財政發(fā)行國債再轉(zhuǎn)貸地方,實際上是中央替地方政府發(fā)債；二是通過設(shè)立隸屬于地方政府的企業(yè)(被稱為“城投公司”或“地方融資平臺”),或向銀行借款,或按照《企業(yè)債券管理條例》來發(fā)行債券,這種債券就是所謂的城投債。城投債作為一種隱性的中國式市政債券,它以地方政府的稅收收入或者項目收益作為擔(dān)保,其信用評級比僅次于國債,又比一般企業(yè)債券高,被認(rèn)為是中國的“銀邊債券”。然而,由于當(dāng)前地方政府債務(wù)信息不透明、城投債定價機(jī)制不完善、相關(guān)法律法規(guī)的缺失、城投公司治理結(jié)構(gòu)不完善以及城投債與發(fā)債主體的增信方式單一等的問題,城投債也存在著諸多風(fēng)險。 城投債既具有“市政債券”的特點(diǎn),同時有具有普通企業(yè)債券的特點(diǎn),其雙重特點(diǎn)使得城投債的風(fēng)險有其獨(dú)特性。作為投資者,其最為關(guān)心的問題就是債券的收益情況,在我國城投債的發(fā)行過程中,均是以票面金額作為發(fā)行價,因此不存在折價發(fā)行或溢價發(fā)行的問題,其收益情況主要體現(xiàn)在債券的票面利率中。通過對城投債發(fā)行募集說明書的觀察,發(fā)現(xiàn)絕大多數(shù)的城投公司企業(yè)債在確定發(fā)行利率時均是以基準(zhǔn)利率加上利差確定票面利率,而均以Shibor利率作為其基準(zhǔn)利率,且不同債券的發(fā)行利差各不相同。本文以債券的發(fā)行利差作為研究對象,分析影響該利差的宏觀、微觀、債券自身設(shè)計因素。 在本文的第一、二、三部分中,說明了本文寫作的研究背景、研究意義、文獻(xiàn)綜述、研究方法等。在以往對利差的研究中,首先主要基于整個債券市場的分析,而城投債即和普通企業(yè)債券即存在相同點(diǎn),也存在不同之處；其次,以往分析主要基于二級市場上的債券利差,而對債券發(fā)行利差研究不多；即使在對債券發(fā)行利差的研究中,也是基于單因素與利差影響的分析,缺少從宏微觀、債券設(shè)計等因素全方位的分析,因此本文嘗試將各因素綜合起來分析城投債的發(fā)行利差。在第二部分中,本文明確了城投債、城投公司等相關(guān)概念,并通過閱讀文獻(xiàn),整理已有研究成果,作為本文的理論背景。本文主要運(yùn)用理論分析、描述性統(tǒng)計分析、主成分分析、逐步回歸分析等研究方法,并在第三部分對研究方法、數(shù)據(jù)來源、樣本選取等問題進(jìn)行說明。 我國城投債的歷史由來和發(fā)展現(xiàn)狀在本文的第四部分進(jìn)行介紹。到目前為止,我國的城投債主要經(jīng)歷了三個發(fā)展階段,2005年之前為起步階段,這一時期,城投債的發(fā)展受相關(guān)法律法規(guī)以及整個宏觀經(jīng)濟(jì)形勢的限制,整體處于探索階段,發(fā)行規(guī)模和發(fā)行期數(shù)均比較少；2005年之后,城投債進(jìn)入快速發(fā)展期,在2005-2008年三年期間,發(fā)行期數(shù)和發(fā)行規(guī)模均有較快增長；2009年之后,受益于世界經(jīng)濟(jì)形勢、國家積極的宏觀經(jīng)濟(jì)政策以及企業(yè)債發(fā)行制度的改革,城投債發(fā)展進(jìn)入爆發(fā)性增長期。本文也主要分析的是城投債在2009年之后的爆發(fā)性增長期,主要原因在于這一時期城投債發(fā)行較多,從數(shù)據(jù)的搜集和結(jié)果的可靠性上都有保證。 在本文第五部分進(jìn)行城投債發(fā)行利差的影響因素分析,分別從宏觀因素、微觀因素進(jìn)行分析。在宏觀因素中,通過對國內(nèi)生產(chǎn)總值、貨幣供應(yīng)量、居民消費(fèi)價格指數(shù)、企業(yè)債券、無風(fēng)險利率結(jié)構(gòu)等因素進(jìn)行理論分析和個別簡單分析發(fā)現(xiàn),國內(nèi)生產(chǎn)總值、企業(yè)債券指數(shù)、無風(fēng)險利率結(jié)構(gòu)和城投債發(fā)行利差之間存在負(fù)相關(guān)關(guān)系,且居民消費(fèi)價格指數(shù)呈負(fù)相關(guān)。通過對貨幣供應(yīng)量與發(fā)行利差的走勢圖和一元回歸均為發(fā)現(xiàn)兩者之間有明顯的相關(guān)性。在微觀因素的分析中,本文通過對城投債發(fā)行主體和債券自身設(shè)計兩個方面進(jìn)行分析,在自身設(shè)計因素中,發(fā)行規(guī)模、發(fā)行期限、利率類型對利差有顯著影響；在發(fā)行主體因素中,信用評級、資產(chǎn)規(guī)模、以及相關(guān)財務(wù)數(shù)據(jù)存在顯著影響。 通過對宏微觀各因素與城投債發(fā)行利差之間的個別簡單分析,在第六部分本文嘗試建立城投債發(fā)行利差影響因素模型,由于變量眾多,并且各變量之間多重共線性的存在,因此本部分分別運(yùn)用主成分分析和逐步回歸分析兩種方法消除變量之間的多重共線性,并建立了主成分分析模型(Model1)和逐步回歸模型(Model2).通過對兩個模型的分析比較發(fā)現(xiàn),在模型中,對城投債發(fā)行利差影響顯著的因素中,發(fā)債主體因素為信用等級、資產(chǎn)規(guī)模,債券設(shè)計因素為利率類型、發(fā)行期限,宏觀因素方面居民消費(fèi)價格指數(shù)和企債指數(shù)因素顯著。并以得到的模型進(jìn)行發(fā)行利差預(yù)測,擬合優(yōu)度比較。兩模型比較發(fā)現(xiàn),Model2的回歸方程R方大于Model1,模型2擬合情況較好。 最后,由于作者理論和實務(wù)上的能力不足,本文也存在諸多不足之處,譬如因素的考慮不夠周全,未能將城投債發(fā)行主體的地方政府因素考慮在內(nèi),缺少對債券流動性因素的考慮等,因此文章有進(jìn)一步完善之處。
[Abstract]:Since January 1, 1994, China has carried out the reform of the tax sharing system and carried out the fiscal management system of the tax sharing system for the provinces, autonomous regions, municipalities directly under the central government and the listed cities. Although the reform of the tax system has effectively mobilized the enthusiasm of the local government, it has promoted the growth of the local economy and the increase of the revenue to a certain extent, but with the reform of the economic system the reform of the economic system has been pushed forward. The development of the public finance system, the acceleration of the urbanization process, the gap of the social security funds, the bad assets of the state-owned financial institutions and the plight of the state-owned enterprises have been highlighted, and the local government has more and more responsibilities to promote the development of the local economy and expand the infrastructure construction of the city, and the local government is responsible for the development of the local government. At the same time, since the reform of the tax sharing system, the distribution of the power and financial power of the central and local authorities has shifted from the center of gravity to the gravity of the financial power, which leads to the unequal of the local government's power and financial power. China's transfer payment system is not perfect, and the gap of local government funding is increasing.
Under the relevant laws and regulations of China, local governments have not allowed direct issuance of debt. In order to solve the problem of capital demand and supply, there are two solutions in the actual operation: first, the central financial issuance of national debt to the local government, in fact, the central government for local government debt; the two is through the establishment of local government. An enterprise (called "city investment company" or "local financing platform"), or to borrow from the bank, or issue bonds according to the regulations of the corporate bond management, is called the so-called city investment debt. The city investment debt is a recessive Chinese municipal bond, which is guaranteed by the tax revenue of the local government or the income of the project. Second only to the national debt, and higher than the general enterprise bond, it is considered the "silver side bond" of China. However, because the current local government debt information is not transparent, the pricing mechanism of the city investment debt is imperfect, the related laws and regulations are missing, the governance structure of the city investment company is imperfect, and the mode of increasing credit of the city investment and the debt issuing bodies is single, etc. There are also many risks in the city's debt.
City Investment debt has the characteristics of "municipal bond", but also has the characteristics of common enterprise bonds. Its dual characteristics make the risk of city investment debt unique. As an investor, the most concerned problem is the income of the bond. In the process of issuing city investment debt, the issue price is the issue price, so it does not exist. In the issue of discount or premium issue, its income is mainly reflected in the coupon interest rate of the bond. Through the observation of the prospectus of the issuance of the city investment debt, it is found that the vast majority of the corporate debt of the city investment company determines the par rate with the benchmark interest rate plus the difference between the interest rate and the Shibor interest rate as its benchmark. Interest rates are different, and the spread spreads of different bonds are different. In this paper, the distribution difference of bonds is taken as the research object, and the macro, micro, and bond design factors that affect the difference are analyzed.
In the first, second and three parts of this article, the research background, significance, literature review and research methods of this paper are explained. In the previous study of the difference, the first mainly based on the analysis of the whole bond market, while the city investment debt is the same as that of the ordinary enterprise bonds, and there are differences in the past. Secondly, the main basis of the previous analysis is the main basis. The bond spreads in the two level market are not much studied. Even in the study of the bond issue margin, it is based on the analysis of the influence of the single factor and the difference of interest, and the lack of a comprehensive analysis of the factors such as macro and micro, bond design and so on. In the second part, this civilization confirms the concept of city investment debt, city investment company and other related concepts, and collate the existing research results through reading literature, as the theoretical background of this article. This paper mainly uses theoretical analysis, descriptive statistical analysis, principal component analysis, stepwise regression analysis and other research methods, and the research methods, data sources, samples in the third part. This selection and other problems are explained.
The historical origin and development status of the city investment debt in China is introduced in the fourth part of this article. Up to now, the city investment debt in our country has mainly experienced three stages of development, and it was the starting stage before 2005. In this period, the development of urban investment debt was restricted by relevant laws and regulations and the whole macro economic situation, and the whole was in the exploration stage. The number of line size and the number of issuing periods were relatively small; after 2005, the city investment debt entered a rapid development period. In the period of 2005-2008 years and three years, the number of issuing periods and the scale of issuance had a rapid growth. After 2009, the development of the city investment debt has entered into the world economic situation, the national positive macroeconomic policy and the reform of the enterprise debt issuance system. The main reason of this article is the explosive growth period after 2009. The main reason is that the city investment debt is distributed more in this period, and it is guaranteed from the data collection and the reliability of the results.
In the fifth part of this paper, the analysis of the influence factors on the spread margin of the issuance of urban investment debt is analyzed from macro factors and micro factors. In macro factors, the theoretical analysis and simple analysis are found through the factors such as gross domestic product, money supply, consumer price index, corporate bond, risk free interest rate structure and other factors. There is a negative correlation between the gross domestic product (GDP), the corporate bond index, the riskless interest rate structure and the spread margin of the city investment debt, and the consumer price index is negatively correlated. After the analysis of two aspects of the subject and the design of the bond, in its own design factors, the scale of issuance, the period of issuance, the type of interest rate have a significant impact on the spread, and in the main factors of the issue, the credit rating, the scale of the assets, and the related financial data have a significant impact.
Through the simple analysis of the difference between the macro and microcosmic factors and the spread margin of the city investment debt issue, in the sixth part, this paper tries to establish the model of the influence factors of the distribution difference between the city investment debt and the existence of the multiple collinearity among the variables, so this part uses the principal component analysis and the stepwise regression analysis to eliminate two methods respectively. The principal component analysis model (Model1) and the stepwise regression model (Model2) are established between the variables. Through the analysis and comparison of the two models, it is found that in the model, the main factor of the debt issuance is the credit level, the asset scale, the bond design factor is the interest rate type and the issuing period. The consumer price index and the debt index are significant factors in the macro factors. The distribution difference prediction is carried out with the obtained model, and the goodness of fit is compared. The two model shows that the R square of the regression equation of Model2 is greater than that of Model1, and the fitting of model 2 is better.
Finally, due to the lack of theoretical and practical ability of the author, there are many shortcomings in this paper, such as the inadequacy of factors, such as the inability to take the local government factors into consideration, and the lack of consideration of the liquidity factors of bonds, so the article is further improved.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F812.5;F283

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本文編號：2118688