【摘要】：債券融資是近年我國資本市場發(fā)展極為迅速的融資形式,信用價(jià)差能夠反映債券的風(fēng)險(xiǎn)水平,是債券定價(jià)和投資策略的重要考量。影響信用價(jià)差的因素是多方面的,目前對這些因素的實(shí)證研究還沒有統(tǒng)一的結(jié)論。本文以探究影響中國企業(yè)債券信用價(jià)差的因素為主要研究目的,在對國外重要成熟理論模型和實(shí)證結(jié)果進(jìn)行梳理的基礎(chǔ)上,結(jié)合我國企業(yè)債券市場發(fā)展的客觀情況和目前已有的國內(nèi)研究,提出了比較全面的信用價(jià)差影響因素,并在定性分析的基礎(chǔ)上給出了定量分析的實(shí)證研究。 最早開始研究企業(yè)債券信用價(jià)差的是莫頓,他在1974年以布萊克-斯科爾斯的期權(quán)定價(jià)模型為基礎(chǔ),提出了針對企業(yè)債券進(jìn)行估值的定價(jià)模型——結(jié)構(gòu)化模型,此模型假定企業(yè)債券的違約發(fā)生在發(fā)債企業(yè)的價(jià)值下降到某一臨界點(diǎn)以下。鑒于莫頓模型的假設(shè)條件眾多而且要求嚴(yán)格,之后的多位學(xué)者在其基礎(chǔ)上拓展了莫頓模型。Black and Cox (1976)模型便是其中比較有代表性的模型。該模型的進(jìn)步體現(xiàn)在：一是考慮了違約風(fēng)險(xiǎn)和利率風(fēng)險(xiǎn),二是考慮了嚴(yán)格絕對的優(yōu)先受償權(quán)的誤差�，F(xiàn)實(shí)中,債券的信用價(jià)差是連續(xù)的,而結(jié)構(gòu)化模型假設(shè)信用價(jià)差在債券到期時(shí)等于零,這與現(xiàn)實(shí)不同�；谶@個(gè)考慮,首達(dá)時(shí)間模型、跳躍擴(kuò)散模型和隨機(jī)利率模型對結(jié)構(gòu)模型進(jìn)行了拓展。第二類著名的信用風(fēng)險(xiǎn)定價(jià)模型是簡化模型。該模型假設(shè)違約不可預(yù)測并服從跳躍過程,從違約概率和償付率作為研究角度,這方面重要的模型是Jarrow, Lando and Turnbull (1997)模型和Duffie and Singleton(1999)模型。隨著研究的進(jìn)一步推進(jìn),越來越多的學(xué)者發(fā)現(xiàn)了“信用價(jià)差之謎”,即企業(yè)債券實(shí)際的信用價(jià)差遠(yuǎn)遠(yuǎn)大于預(yù)期違約損失,代表性的研究分為兩類：信用價(jià)差分解理論和信用風(fēng)險(xiǎn)分解困境理論。綜合來看,前者認(rèn)為信用價(jià)差是由信用價(jià)差是稅收、風(fēng)險(xiǎn)溢價(jià)、流動性溢價(jià)、系統(tǒng)風(fēng)險(xiǎn)、企業(yè)特定風(fēng)險(xiǎn)等造成的,后者認(rèn)為系統(tǒng)性風(fēng)險(xiǎn)不可能分散掉,能夠完全分散掉違約風(fēng)險(xiǎn)的投資組合在現(xiàn)實(shí)中很難找到,所以非預(yù)期損失難以避免。 對信用價(jià)差影響因素的實(shí)證研究也有很多,都是針對某個(gè)或某類因素展開實(shí)證分析。本文總結(jié)歸納了這些因素并將其分為兩類：第一類,宏觀因素,包括短期利率、國債利率差、股票收益率、股市波動率、經(jīng)濟(jì)增長率、居民消費(fèi)價(jià)格指數(shù)的變動、貨幣供應(yīng)量的變動等；第二類包括微觀因素,即企業(yè)自身因素,比如：信用等級、杠桿率、企業(yè)資產(chǎn)價(jià)值、剩余期限等。理論上講,宏觀因素與信用價(jià)差的相關(guān)性表現(xiàn)在：短期利率和信用價(jià)差是負(fù)相關(guān)的,利率上升說明經(jīng)濟(jì)發(fā)展良好,企業(yè)未來盈利能力增強(qiáng),信用價(jià)差減��；股票收益率與信用價(jià)差是負(fù)相關(guān)的；國債利率差和信用價(jià)差是負(fù)相關(guān)的,因?yàn)閲鴤找媛是�斜率增加說明有經(jīng)濟(jì)增長趨勢,信用價(jià)差減�。唤�(jīng)濟(jì)增長率和信用價(jià)差負(fù)相關(guān)；居民消費(fèi)價(jià)格指數(shù)的變動和信用價(jià)差正相關(guān)相關(guān)；股市波動率和信用價(jià)差負(fù)相關(guān)；貨幣供應(yīng)量的變化與信用價(jià)差負(fù)相關(guān)。微觀因素與企業(yè)債券信用價(jià)差的相關(guān)性表現(xiàn)在：信用評級和信用價(jià)差負(fù)相關(guān)；杠桿率與信用價(jià)差正相關(guān)；剩余期限與信用價(jià)差正相關(guān)；企業(yè)資產(chǎn)價(jià)值與信用價(jià)差負(fù)相關(guān)。 從國內(nèi)外對這些因素的實(shí)證研究結(jié)果看,對于某些因素(如短期利率等)的影響沒有絕對統(tǒng)一的結(jié)論,這與學(xué)者們各自研究的假設(shè)有重要關(guān)系,因此,得到基于中國企業(yè)債市場實(shí)際情況下信用價(jià)差與這些因素的相關(guān)關(guān)系是本文實(shí)證研究要解決的問題,并在此基礎(chǔ)上辨別出因素對信用價(jià)差解釋程度的結(jié)構(gòu)。 在確定本文要研究的影響因素之后,本文開始分別建立時(shí)間序列的向量自回歸模型和橫截面數(shù)據(jù)的微觀的模型。首先本文對被解釋變量和解釋變量進(jìn)行設(shè)置。筆者發(fā)現(xiàn)很多研究直接使用了企業(yè)債券和國債的到期收益率而不是即期收益率來計(jì)算信用價(jià)差,這樣就沒有考慮到利率期限結(jié)構(gòu)的影響,嚴(yán)格來說是不準(zhǔn)確的。本文宏觀影響因素的研究區(qū)間的選擇將本次金融危機(jī)前后都考慮進(jìn)去,宏觀影響因素的變量使用月度數(shù)據(jù),使用了5年和10年剩余期限的企業(yè)債券信用價(jià)差作為被解釋變量,分別建立了VAR模型分析在不同剩余期限的情況下,因素對信用價(jià)差的影響有何變化,還對模型進(jìn)行了脈沖響應(yīng)分析與方差分解。微觀模型選取了2012年6月29日的上市公司企業(yè)債券,通過國泰安系列研究數(shù)據(jù)庫給出的財(cái)務(wù)數(shù)據(jù)、評級情況及剩余期限,計(jì)算出各自的即期收益率,并通過插值法計(jì)算出對應(yīng)的國債即期收益率得到對應(yīng)的信用價(jià)差,進(jìn)而建立多元回歸模型。這兩個(gè)模型的建立并未直接套用國外流行的結(jié)構(gòu)化模型,而是考慮了我國債市的具體情況,借鑒了羅斯套利定價(jià)模型的思想,建立多元回歸方程。宏觀模型的實(shí)證結(jié)果顯示：兩種不同剩余期限的信用價(jià)差對宏觀因素的影響存在7個(gè)月的滯后,但是各自的影響顯著的因素發(fā)生了變化。對于剩余期限較長的企業(yè)債券而言,信用價(jià)差與短期利率是正相關(guān)的關(guān)系,這可以從研究的時(shí)間區(qū)間內(nèi)的經(jīng)濟(jì)具體運(yùn)行情況得到現(xiàn)實(shí)依據(jù)。對于股市波動率、股票收益率、經(jīng)濟(jì)增長率的影響,得到的結(jié)論都與理論相符。微觀模型的實(shí)證結(jié)果顯示：模型的擬合程度很高,信用等級和剩余期限對信用價(jià)差的影響最為顯著,并且結(jié)論與理論假設(shè)一致。 本文的創(chuàng)新之處表現(xiàn)在：第一,時(shí)間區(qū)間跨度長,涵蓋了金融危機(jī)和債券市場發(fā)展最為迅速的幾年；第二,對信用價(jià)差影響因素的探索更加全面；第三,被解釋變量使用了即期收益率,考慮到了利率期限結(jié)構(gòu)的影響,計(jì)算更為準(zhǔn)確,并且使用交易所即期收益率曲線,能更好的代表整個(gè)企業(yè)債券市場；第四,實(shí)證結(jié)果與國外已有研究有不同之處,并得到合理的解釋。 論文框架結(jié)構(gòu)如下： 第一部分：緒論。第一節(jié)簡單介紹了我國企業(yè)債券市場的發(fā)展現(xiàn)狀和制度建設(shè)情況,列出了目前我國債券市場的規(guī)模和債券品種,陳述了我國債券市場存在的問題,針對目前的經(jīng)濟(jì)環(huán)境展望了下一步企業(yè)債券的發(fā)展。第二節(jié)闡述了本文的研究對信用價(jià)差理論和現(xiàn)實(shí)的意義之處。第三節(jié)給出了本文研究對象的相關(guān)定義的界定,接著在第四節(jié)闡述了本文的研究思路和使用的模型及方法,第五節(jié)給出了研究的創(chuàng)新和不足。 第二部分：企業(yè)債券信用價(jià)差利率綜述。該部分是對本文研究問題的理論綜述,首先根據(jù)信用價(jià)差的組成和國外國內(nèi)的研究成果,總結(jié)了目前該問題的研究現(xiàn)狀,歸納和對比了相同結(jié)論和存在的差異及爭議。第二節(jié)重點(diǎn)陳列和描述了信用風(fēng)險(xiǎn)定價(jià)模型：結(jié)構(gòu)化模型和簡化模型,比較了各個(gè)模型進(jìn)步之處,也指出了其中的不足。第三節(jié)交待了對前面模型存在的質(zhì)疑,并主要對比了“信用價(jià)差之謎”的兩種重要理論。 第三部分：影響因素分析。這部分既是對前面文獻(xiàn)綜述的一個(gè)歸納,也是對我國企業(yè)債券市場進(jìn)行的適應(yīng)性分析,提出了宏觀層面8個(gè)影響因素和企業(yè)個(gè)體方面4個(gè)影響我國企業(yè)債信用價(jià)差的因素,并探討了各因素可能對信用價(jià)差產(chǎn)生影響的方向。為后面建立模型提供了依據(jù)。 第四部分：實(shí)證研究設(shè)計(jì)。分別基于VAR模型和多元線性回歸實(shí)證分析了宏觀和微觀影響因素。宏觀研究以時(shí)間序列數(shù)據(jù)為基礎(chǔ),確定了滯后階數(shù)得出模型的方程組,并通過脈沖響應(yīng)分析給出了各個(gè)內(nèi)生變量一個(gè)標(biāo)準(zhǔn)差沖擊影響信用價(jià)差預(yù)測標(biāo)準(zhǔn)差的力度和滯后期,通過方差分解得到各個(gè)內(nèi)生變量對殘差沖擊影響信用價(jià)差預(yù)測標(biāo)準(zhǔn)差的解釋結(jié)構(gòu)。微觀研究以橫截面數(shù)據(jù)為樣本,選取了2012年6月29日17只公司債券的數(shù)據(jù),建立多元回歸方程,最后給出了各自的實(shí)證結(jié)論。 第五部分：總結(jié)與建議是結(jié)合實(shí)證研究結(jié)論,給出了政策層面的建議。 第六部分：未來研究展望。闡述了本文研究的不足之處,并給出了改進(jìn)的方法。
[Abstract]:Bond financing is a very rapid financing form in China's capital market development in recent years. The credit spread can reflect the risk level of the bond. It is an important consideration of the bond pricing and investment strategy. There are many factors affecting the credit spread. At present, there is no unified conclusion on the empirical study of these factors. This paper is to explore the influence of Chinese enterprises. The factor of the credit spread of the bond is the main purpose. On the basis of combing the important mature theoretical model and the empirical results abroad, combining the objective situation of the development of the corporate bond market in China and the existing domestic research, this paper puts forward a relatively comprehensive factor of the credit spread, and gives the qualitative analysis on the basis of the qualitative analysis. An empirical study of quantitative analysis.
In 1974, on the basis of Black Scholes's option pricing model, he proposed a pricing model based on the option pricing model of Black - Scholes, a structured model, which assumes that the default of corporate bonds falls below a certain threshold. In view of the many assumptions and strict requirements of the moton model, many scholars later expanded the moton model.Black and Cox (1976) model to be a representative model. The progress of the model is as follows: first, considering the risk of breach of contract and interest rate risk, and two considering the strict and absolute priority of compensation. In reality, the credit spread of the bond is continuous, and the structured model assumes that the credit spreads are equal to zero when the bonds expire. This is different from the reality. Based on this consideration, the first time model, the jump diffusion model and the random interest rate model are extended to the structural model. The second famous credit risk pricing models are simplified. The model assumes that default is unpredictable and obeys the jumping process, from the probability of default and the rate of payment as the research angle. The important model in this respect is Jarrow, Lando and Turnbull (1997) model and Duffie and Singleton (1999) model. With the further advance of the research, more and more scholars have discovered the "riddle of credit spread", that is, The actual credit spread of corporate bonds is far greater than the expected loss of default. The representative study is divided into two categories: the theory of credit spread decomposition and the theory of credit risk decomposition dilemma. It is considered that systematic risk can not be dispersed. It is difficult to find a portfolio that can completely disperse the risk of default. Therefore, it is difficult to avoid unanticipated losses.
There are a lot of empirical studies on the factors affecting the credit spread, which are aimed at an empirical analysis of some or some factors. This paper sums up these factors and divides them into two categories: the first category, the macro factor, including the short-term interest rate, the interest rate difference of national debt, the stock return rate, the stock market volatility, the economic growth rate, and the consumer price index. Changes, changes in the amount of money supply, and so on; the second category includes micro factors, namely, enterprise own factors, such as credit rating, leverage ratio, enterprise asset value, and residual maturity. In theory, the correlation between macro factors and credit spreads is manifested in the negative correlation between the short-term interest rate and the credit spread, and the rise in interest rates shows that the economic development is good. The future profitability of the enterprise is enhanced and the credit spread is reduced; the stock return is negatively related to the credit spread; the interest rate difference between the national debt and the credit spreads is negatively related, because the increase in the slope of the yield curve shows the trend of economic growth, the decrease of the credit spread, the negative correlation between the economic growth rate and the credit spread, and the consumer price index. The change of the number is positively related to the credit spread; the stock market volatility is negatively related to the credit spread; the change of the money supply is negatively related to the credit spread. The correlation between the micro factors and the credit spread of the corporate bonds is negative related to the credit rating and the credit spread; the leverage ratio is positively related to the credit spread, and the remaining period and the credit price. Positive correlation; negative correlation between corporate asset value and credit spreads.
From the empirical results of these factors at home and abroad, there is no absolute unified conclusion on some factors (such as short-term interest rate), which is important to the hypothesis of the scholars' respective studies. Therefore, the correlation between the credit price difference and these factors is an empirical study based on the actual situation of the Chinese enterprise debt market. To solve these problems, we can identify the structure of factors explaining the credit spreads.
After determining the influencing factors of this paper, this paper begins with the establishment of the vector autoregressive model of the time series and the microscopic model of the cross section data. First, this paper sets up the explanatory variables and the explanatory variables. I find that many studies have directly used the maturity yield of the corporate bonds and the Treasury bonds instead of the immediate collection. It does not take into account the impact of the term structure of interest rates, which is strictly inaccurate. The choice of the research interval of this macro impact factor will be taken into account before and after the financial crisis, the variables of the macroeconomic factors use the monthly data, and the corporate bond credit of 5 and 10 years is used. As an explanatory variable, the VAR model is established to analyze the changes in the impact of the factors on the credit spread and the analysis of the impulse response and the variance decomposition. The micro model selects the corporate bond of the listed company in June 29, 2012, and gives the data of the Tai'an series research database. The financial data, the rating situation and the remaining time limit are calculated, and the corresponding credit spreads are calculated by the interpolation method, and then the multiple regression model is established. The establishment of the two models does not directly apply the structured model of foreign flows, but consider the debt market of our country. In particular, we use the idea of Ross's arbitrage pricing model to establish a multiple regression equation. The empirical results of the macro model show that the impact of the credit spreads on the macro factors of the two different remaining periods has 7 months lag, but the significant factors have changed. For the longer remaining period of corporate bonds, The relationship between the credit spread and the short-term interest rate is a positive correlation, which can be based on the actual operation of the economy in the time interval of study. The results of the stock market volatility, stock return and economic growth rate are consistent with the theory. The empirical results of the micro model show that the model has a high degree of fitting. The effect of grade and residual period on credit spreads is the most significant, and the conclusion is consistent with the theoretical hypothesis.
The innovation of this paper is as follows: first, the length of the time interval is long, covering the financial crisis and the most rapid development of the bond market; second, the exploration of the factors affecting the credit spreads is more comprehensive; third, the explanatory variables use the immediate return rate, taking into account the effect of the term structure of the interest rate, and the calculation is more accurate, and The use of the exchange rate curve of the exchange can better represent the whole enterprise bond market. Fourth, the empirical results are different from those in foreign countries and have a reasonable explanation.
The framework of the paper is as follows:
The first section is introduction. The first section briefly introduces the development status and system construction of our country's enterprise bond market, lists the scale of the current bond market and the bond variety, states the problems existing in the bond market in our country, and looks forward to the development of the next enterprise bond in view of the current economic environment. The second section expounds this article. The research on the significance of the theory and reality of the credit spread. The third section gives the definition of the relevant definition of the object of this paper, then the fourth section of the research ideas and the use of the model and method, the fifth section gives the innovation and deficiency of the research.
The second part: a summary of the interest rate of the credit spread of corporate bonds. This part is a theoretical summary of the study of this paper. Firstly, according to the composition of the credit spread and the research results from foreign countries, the research status of the present problem is summarized and the differences and disputes of the same conclusion and existence are summarized and compared. The second section focuses on the display and description of the letter. The risk pricing model, structured model and simplified model, compares the progress of each model and points out its shortcomings. The third section deals with the question of the previous model, and compares the two important theories of the "riddle of the credit spread".
The third part: the analysis of influencing factors. This part is not only a summary of the previous literature review, but also an adaptability analysis of the enterprise bond market in China. It also puts forward 8 factors on the macro level and 4 factors affecting the credit spread of corporate bonds in our country, and probes into the possible difference between the factors and the credit spreads. The direction of the influence provides a basis for building a model later.
The fourth part: empirical research design. Based on the VAR model and multiple linear regression analysis, the macro and micro factors are analyzed respectively. Based on the time series data, the macroscopic study determines the equations of the lagging order and gives a standard difference impact credit price of each endogenous variable by the impulse response analysis. The intensity and stagnation of the difference prediction standard deviation, through the variance decomposition, the interpretation structure of the standard deviation of the prediction standard difference affecting the residual impact on the credit spread is obtained by the variance decomposition. In the microscopic study, the data of the cross section are taken as the sample, and the data of 17 corporate bonds in June 29, 2012 are selected and the multiple regression equation is set up. Finally, the empirical conclusions are given.
The fifth part: the conclusion and suggestion are combined with the conclusions of empirical research, giving policy recommendations.
The sixth part: the prospect of future research. The shortcomings of this study are expounded, and the improvement method is given.
【學(xué)位授予單位】：西南財(cái)經(jīng)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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