本文選題：信用利差　切入點(diǎn)：結(jié)構(gòu)化模型　出處：《上海交通大學(xué)》2013年碩士論文

【摘要】：本文以116只房地產(chǎn)行業(yè)信用債券為樣本，參考國外成熟模型，采用橫截面數(shù)據(jù)和時(shí)間序列數(shù)據(jù)回歸的方法，對結(jié)構(gòu)化模型變量和其他變量對債券信用利差的影響進(jìn)行了實(shí)證研究。 橫截面數(shù)據(jù)的回歸結(jié)果表明，，債項(xiàng)評級、債券提前償還條款和地方政府財(cái)政實(shí)力對房地產(chǎn)行業(yè)，尤其是城投類債券的信用利差有顯著的影響，模型的解釋力達(dá)到了49.36%，各個(gè)變量均顯著。我們還對公司層面的財(cái)務(wù)數(shù)據(jù)行了研究，以公司杠桿比率、速動比率、和是否設(shè)置擔(dān)保作為變量進(jìn)行了回歸，結(jié)果并不顯著。這表明債券投資者對地方政府的財(cái)政實(shí)力更為關(guān)注，而對公司層面財(cái)務(wù)數(shù)據(jù)關(guān)注較少，主要是公司財(cái)務(wù)數(shù)據(jù)的披露較為滯后所導(dǎo)致的。 時(shí)間序列日頻率數(shù)據(jù)的回歸結(jié)果表明，無風(fēng)險(xiǎn)利率和收益率曲線結(jié)構(gòu)的變化對信用利差有顯著的影響，股票市場的收益率和波動率變化并沒有顯著影響，在大多數(shù)發(fā)行人均為非上市公司的債券市場，股市的波動對債市的影響并不明顯。模型整體的解釋力達(dá)到了14.62%，與中外文獻(xiàn)的結(jié)果類似，說明結(jié)構(gòu)化變量對中國債券市場的信用利差有一定的解釋力，但是并沒有從根本上找到信用利差的主要影響因素。 時(shí)間序列月頻率數(shù)據(jù)由于數(shù)據(jù)點(diǎn)過少，模型整體的解釋力受到影響和削弱，總的來說宏觀變量的變化對信用利差的影響與我們預(yù)期的結(jié)果相反，可能是受到近期金融危機(jī)和信用債違約事件沖擊的影響。
[Abstract]:In this paper, 116 real estate industry credit bonds are used as samples, referring to foreign mature models, and the method of cross section data and time series data regression is used in this paper. The effects of structural model variables and other variables on bond credit spreads are studied empirically. The regression results of cross-sectional data show that debt rating, bond repayment terms and local government financial strength have a significant impact on the real estate industry, especially the city investment bond credit spreads. The explanatory power of the model reached 49.36%, and the variables were significant. We also studied the financial data at the corporate level, using the corporate leverage ratio, the speed ratio, and whether or not to set guarantees as variables. The results are not significant. This suggests that bond investors are more concerned about the fiscal strength of local governments than about corporate financial data, mainly due to the lag in the disclosure of corporate financial data. The regression results of daily frequency data of time series show that the structure of risk-free interest rate and yield curve has a significant impact on credit spreads, but the change of return and volatility in stock market has no significant effect. In the bond market where most issuers are non-listed companies, the impact of stock market fluctuations on the bond market is not obvious. The overall explanatory power of the model has reached 14.62, which is similar to the results of Chinese and foreign literature. It shows that the structured variable has a certain explanatory power on the credit spread of China's bond market, but it does not fundamentally find the main influencing factors of the credit spread. Because the monthly frequency data of time series are too few, the overall explanatory power of the model is affected and weakened. In general, the effect of the change of macro variables on credit spreads is contrary to the expected results. May be affected by the recent financial crisis and credit default events impact.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F299.23;F832.51;F224

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