本文選題：公司債券利差 + 采購經(jīng)理指數(shù)��； 參考：《哈爾濱工業(yè)大學》2014年博士論文

【摘要】：中國債券市場不斷發(fā)展壯大，在資本市場中的作用越來越重要，滬、深交易所債券市場也日益發(fā)展，其中公司債券的發(fā)展對公司融資具有重要影響。對公司債券收益率利差的研究具有重要意義。盡管人們普遍認為許多因素對公司債券利差產(chǎn)生影響，但已有的研究多集中于違約風險與信用風險，缺乏較為系統(tǒng)、全面的理論分析和實證研究，迫切需要對公司債券利差影響因素進行更加深入的分析。 論文以定量分析為主，以定性分析為輔。采用理論與實證相結合的方法進行研究，分析了宏觀經(jīng)濟環(huán)境因素、資本市場因素和債券個體因素對公司債券收益率利差的影響，然后，對三個層次的因素進行了綜合分析。以下是本文的主要內容： 首先，分析了公司債券收益率利差決定因素研究的理論基礎。明確了公司債券的內涵，界定了公司債券收益率利差。深入分析了公司債券利差決定因素并介紹了公司債券收益率利差分析方法。為實證分析奠定基礎。 其次，分析了宏觀經(jīng)濟因素對公司債券收益率利差的影響。利用自回歸條件異方差模型分析公司債券收益率特性，發(fā)現(xiàn)公司債券收益率具有波動聚集性，但公司債券收益率不存在非對稱性。接著，采用企業(yè)家信心指數(shù)、消費者信心指數(shù)、企業(yè)景氣指數(shù)三個指標分析了2012年宏觀經(jīng)濟環(huán)境狀況，發(fā)現(xiàn)2012年經(jīng)濟有逐漸走低趨勢。隨后，創(chuàng)新性地選擇九個因素作為自變量，它們分別表示制造業(yè)發(fā)展狀況、通貨膨脹水平、貨幣供應量變化與外匯變動。對九個自變量逐步回歸分析，發(fā)現(xiàn)工業(yè)品出廠價格指數(shù)、企業(yè)商品交易價格指數(shù)顯著，表明工業(yè)、企業(yè)產(chǎn)品價格變化對公司債券利差有重要影響；匯率因素與公司債券利差顯著負相關；工業(yè)增加值因素與公司債券利差顯著負相關，它代表宏觀經(jīng)濟發(fā)展狀況，但系數(shù)很小；采購經(jīng)理指數(shù)與公司債券利差顯著負相關，但從系數(shù)看，它的影響遠小于價格因素。之后，采用2011年的數(shù)據(jù)對上述實證結果進行了穩(wěn)健性檢驗。 再次，分析了資本市場因素對公司債券利差的影響。主要利用面板數(shù)據(jù)分析了債券綜合指數(shù)、股票綜合指數(shù)、債券特質波動率和股票特質波動率對公司債券利差的影響。發(fā)現(xiàn)股票綜合指數(shù)與公司債券利差顯著負相關；債券綜合指數(shù)與公司債券利差顯著正相關；債券特質波動率和股票特質波動率與公司債券利差顯著正相關，但股票綜合指數(shù)的影響遠小于債券綜合指數(shù)。股票特質波動率的影響小于債券特質波動率的影響，這是本文的新發(fā)現(xiàn)。隨后，選取2011年的數(shù)據(jù)進行了穩(wěn)健性檢驗。 然后，從兩方面分析了債券個體因素對公司債券利差的影響。一方面，利用面板數(shù)據(jù)分析了基于債券市場的公司規(guī)模因素、價值因素、基于股票市場的公司規(guī)模因素、價值因素、期限、違約和債券等級因素對公司債券收益率利差的影響。發(fā)現(xiàn)基于債券市場的公司規(guī)模因素與公司債券利差顯著正相關，公司規(guī)模越小，公司債券收益率越高，公司規(guī)模越大，公司債券收益率越低；違約因素和期限因素與公司債券利差正相關；基于股票市場的公司規(guī)模因素與公司債券利差顯著正相關；然后，將債券等級因素作為虛擬變量加入模型中，發(fā)現(xiàn)它們與公司債券利差顯著負相關。另一方面，使用面板數(shù)據(jù)，利用流動性代理變量方法測量流動性風險對公司債券收益率利差的影響。采用債券價格收益平方代表價格收益波動因素，研究發(fā)現(xiàn)它與公司債券利差顯著正相關，當價格收益波動率變大時，債券交易面臨的不確定性增強，風險增強，因此公司債券利差增加。公司債券發(fā)行量與公司債券利差顯著負相關，公司發(fā)行債券量越大，公司債券的流動性風險越小，，公司債券利差越小。債券交易量與公司債券交易額強相關，因此剔除了債券交易量，債券交易額變量顯著，但是與假設不符。在前人研究基礎上對債券年齡這一流動性代理變量進行了創(chuàng)新，分別以4個月、8個月、12個月、16個月、20個月及24個月為臨界點區(qū)分年輕債券與年老債券，分成六組，研究發(fā)現(xiàn)其與公司債券利差顯著負相關，并且發(fā)現(xiàn)在中國公司債券市場以12個月為臨界點劃分年輕債券與年老債券較為合適。隨后，選取2011年的數(shù)據(jù)進行了穩(wěn)健性檢驗。 最后，利用期限結構仿射模型和卡爾曼濾波法分析了公司債券收益率，并創(chuàng)新性的對公司債券利差的影響因素進行了綜合分析。一方面，建立了公司債券利率期限結構N因素仿射模型，并利用卡爾曼濾波分析法對上交所與深交所公司債券周平均收益率數(shù)據(jù)進行實證分析，估計模型參數(shù)。研究發(fā)現(xiàn)，單因素與雙因素模型可以預測一步向前公司債券收益率，三因素模型能較好的擬合現(xiàn)有公司債券收益率；另一方面，采用卡爾曼濾波法對公司債券利差影響因素進行綜合分析，實證結果顯示狀態(tài)空間模型考慮影響因素系數(shù)的時變性，它能較好地擬合模型。 對公司債券利差影響因素的研究，一方面，可以發(fā)現(xiàn)公司債券利差的影響因素，為投資者投資決策做參考，為發(fā)行人做指導，并且為市場監(jiān)管者提供政策制定的依據(jù)，具有重要的現(xiàn)實意義；另一方面可以更加完善該領域的研究，具有重要的理論意義。
[Abstract]:The role of the Chinese bond market is growing and growing, and the role in the capital market is becoming more and more important. The bond market in Shanghai and Shenzhen has also developed increasingly. The development of corporate bonds has an important impact on corporate financing. The study of the margin margin of the bond yield is of great significance. The difference has the influence, but the existing research focuses on the default risk and the credit risk, and the lack of a more systematic, comprehensive theoretical analysis and empirical study. It is urgent to make a more in-depth analysis of the factors affecting the corporate bond spreads.
The thesis focuses on quantitative analysis, supplemented by qualitative analysis, and uses a combination of theoretical and empirical methods to analyze the impact of macroeconomic environmental factors, capital market factors and bond individual factors on the profit margin of corporate bond yields. Then, the three levels of the factors are synthetically analyzed. The following is the main content of this article. :
First, it analyzes the theoretical basis of the study on the determinants of the profit margin of the corporate bond, defines the connotation of the corporate bond, defines the profit margin of the corporate bond yield, analyzes the determinants of the corporate bond spreads and introduces the analysis method of the profit margin of the corporate bond yield, which lays the foundation for the empirical analysis.
Secondly, the influence of macroeconomic factors on the profit margin of corporate bond yields is analyzed. Using the autoregressive conditional heteroscedasticity model to analyze the earnings ratio of corporate bonds, it is found that the yield of corporate bonds has volatility aggregation, but the yield of corporate bonds does not exist unsymmetrical. Then, the index of entrepreneur confidence, consumer confidence index, enterprises are adopted. The three indicators of the industry boom index analyzed the macroeconomic environment in 2012 and found that the economy was gradually decreasing in 2012. Then, nine factors were chosen as independent variables, which indicated the development of the manufacturing industry, the level of inflation, the change of money supply and the change of foreign exchange. The regression analysis of the nine independent variables was made. The present industrial product factory price index and the enterprise commodity transaction price index are significant, which indicates that the change of the product price of the industry has an important influence on the bond spreads of the corporate bonds; the exchange rate factor has a significant negative correlation with the corporate bond spreads, and the industrial added value factor is closely related to the corporate bond spreads, which represents the macro economic development, but the coefficient is very important. The purchasing manager index is significantly negatively related to the corporate bond spreads, but it is far less influenced by the coefficient than the price factor. Then, the data of 2011 are used to test the robustness of the above empirical results.
Thirdly, the influence of capital market factors on the corporate bond spreads is analyzed. The effect of bond comprehensive index, stock index, bond idiosyncratic volatility and stock idiosyncratic volatility on corporate bond spreads is analyzed with panel data. There is a significant positive correlation between the bond spreads and the volatility of the bond trait and the volatility of the stock quality, but the impact of the stock index is much smaller than the bond index. The impact of the stock trait volatility is less than the bond trait volatility. This is a new discovery in this article. Then, the 2011 data are selected. The robustness test was done.
Then, from two aspects, we analyze the impact of individual bond factors on corporate bond spreads. On the one hand, we use panel data to analyze the factors of company size based on the bond market, value factors, the influence of corporate scale factors, value factors, duration, default and bond rating factors on the profit margin of corporate bond yields. The smaller the company size, the higher the corporate bond yield, the larger the company's scale, the lower the yield of the corporate bonds, the higher the company size, the lower the corporate bond yield, the default factor and the term factor and the corporate bond spreads, and the company scale factor based on the stock market and the corporate bond spreads. There is a positive correlation; then, bond rating factors are added to the model as virtual variables, and they are found to be negatively related to the corporate bond spreads. On the other hand, using the panel data, the liquidity risk is used to measure the effect of liquidity risk on the profit margin of corporate bonds. The study found that it has a significant positive correlation with the corporate bond spreads. When the price volatility increases, the uncertainty of the bond transaction is enhanced and the risk is enhanced. Therefore, the corporate bond spreads increase. The issuance of corporate bonds is significantly negatively related to the corporate bond spreads, the greater the amount of the bond issuance, the liquidity wind of the corporate bonds. The smaller the risk, the smaller the corporate bond spreads, the bond trading volume is strongly related to the amount of the corporate bond transaction, so the bond trading volume is eliminated, the bond trading volume is significant, but it does not agree with the hypothesis. On the basis of previous studies, the liquidity agent variables of the bond age are innovating for 4 months, 8 months, 12 months, 16 months, and 20 months, respectively. And 24 months for the critical point to distinguish between young bonds and old bonds, divided into six groups, the study found that it was significantly negatively related to the corporate bond spreads, and found that the Chinese corporate bond market was more appropriate to divide young bonds and old bonds at a critical point of 12 months. Then, the 2011 data were selected to test the robustness.
Finally, we use the time limit structure affine model and Calman filter method to analyze the yield of corporate bonds, and make a comprehensive analysis of the influence factors of the corporate bond spreads. On the one hand, the N factor affine model of the term structure of the corporate bond is established, and the Calman filter analysis method is used to deal with the bonds of the Shanghai Stock Exchange and the Shenzhen Stock Exchange. It is found that the single factor and double factor model can predict one step forward corporate bond yield, and the three factor model can better fit the existing corporate bond yield. On the other hand, the Calman filter method is used to make a comprehensive analysis of the influence factors of the corporate bond spreads. The empirical results show that the state space model takes account of the time variation of the coefficient of influence factors, and it can better fit the model.
On the one hand, we can find the influencing factors of the corporate bond spreads, which can be used as a reference for the investment decision of the investors, guide the issuer and provide the basis for the policy making for the market supervisors. On the other hand, it is important to improve the research in this field. The theoretical significance.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.51;F224

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