本文關(guān)鍵詞： 企業(yè)債 信用利差 VAR方法 面板數(shù)據(jù) 逐步回歸法　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著中國企業(yè)債券市場的日益發(fā)展,企業(yè)債信用利差受到越來越廣泛的關(guān)注。在國外比較成熟的資本市場,企業(yè)債信用利差與宏觀經(jīng)濟(jì)指標(biāo)有著顯著的聯(lián)動關(guān)系。本文采用AAA級與AA級企業(yè)債之間的信用利差,首先分析了企業(yè)債信用利差的內(nèi)部特征,揭示出信用利差序列本身存在異方差,序列滯后期的擾動對序列本身存在正向影響,序列本身具有一定的短時記憶性。之后運(yùn)用VAR方法,采用2007年6月至2013年12月的市場數(shù)據(jù),分析了中國企業(yè)債信用利差與國內(nèi)主要生產(chǎn)、流動性指標(biāo)的關(guān)系。結(jié)果表明,中國企業(yè)債信用利差與儲蓄總額和無風(fēng)險利率負(fù)相關(guān)。但與發(fā)達(dá)國家市場不同的是,其與生產(chǎn)性指標(biāo)關(guān)系不顯著,表明中國債券市場并沒有充分發(fā)揮其服務(wù)生產(chǎn)性企業(yè)的作用,債券市場結(jié)構(gòu)和定價機(jī)制等方面與發(fā)達(dá)國家相比還不夠完善。接下來本文通過對債券市場面板數(shù)據(jù)的檢驗,證明信用利差的變化導(dǎo)致企業(yè)投資規(guī)模變化的路徑在國內(nèi)不顯著,從而解釋了信用利差與生產(chǎn)性指標(biāo)關(guān)系不顯著的原因。最后,本文通過多元線性回歸,采用逐步回歸法,分析了宏觀因素對企業(yè)債信用利差的影響。結(jié)果發(fā)現(xiàn),股票市場的波動性、無風(fēng)險利率對企業(yè)債信用利差有負(fù)向影響關(guān)系,固定資產(chǎn)投資對企業(yè)債信用利差有正向影響。
[Abstract]:With the development of China's corporate bond market, credit spreads on corporate bonds have attracted more and more attention. The credit spread of enterprise debt has a significant linkage with macroeconomic indicators. This paper uses the credit spread between AAA and AA to analyze the internal characteristics of corporate debt credit spread. It is revealed that there is heteroscedasticity in the credit spread sequence itself, the disturbance of lag period has a positive effect on the sequence itself, and the sequence itself has a certain short-term memory. Then, using VAR method, the market data from June 2007 to December 2013 are used. This paper analyzes the relationship between the credit spreads of Chinese corporate bonds and the main domestic production and liquidity indicators. The results show that the credit spreads of Chinese corporate bonds are negatively correlated with the total amount of savings and the risk-free interest rate. The relationship between the bond market and the productive indicators is not significant, which indicates that the bond market in China has not given full play to its role as a service producer. Compared with the developed countries, the structure and pricing mechanism of the bond market are still not perfect. Then, through the test of the panel data of the bond market, it is proved that the path of the change of enterprise investment scale caused by the change of credit spreads is not significant in China. Finally, through multiple linear regression and stepwise regression method, this paper analyzes the influence of macro factors on credit spreads of corporate bonds. The volatility of stock market, risk-free interest rate has a negative impact on corporate bond credit spreads, fixed asset investment has a positive impact on corporate debt credit spreads.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F124

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本文編號：1516701