本文選題：中期票據(jù) + 發(fā)行利差　； 參考：《中國地質(zhì)大學(xué)(北京)》2017年碩士論文

【摘要】：中期票據(jù)自2008年發(fā)行以來,發(fā)展十分迅速。2008-2015年,一般中期票據(jù)的發(fā)行規(guī)模在整個信用債市場中所占的比重為19%,超過了同期的企業(yè)債和公司債。然而,中期票據(jù)存在的風(fēng)險(xiǎn)也不容忽視。截止到2017年5月15日,共有12只中期票據(jù)發(fā)生違約。這充分表明,中期票據(jù)存在較高的信用風(fēng)險(xiǎn)。而發(fā)行利差作為中期票據(jù)信用風(fēng)險(xiǎn)的反映,對其進(jìn)行分析就顯得十分有必要。本文首先從發(fā)行期限、發(fā)行主體現(xiàn)狀、擔(dān)保情況、發(fā)行利率類型分布、行業(yè)分布以及債項(xiàng)信用等級分布等5個方面對中期票據(jù)的發(fā)行情況進(jìn)行了統(tǒng)計(jì)。此外,還從上市與否、企業(yè)性質(zhì)以及期限3個視角對中期票據(jù)發(fā)行利率進(jìn)行了比較分析。結(jié)果顯示:(1)對于同一企業(yè)性質(zhì)的中期票據(jù)來說,5年期中期票據(jù)的發(fā)行利率高于3年期中期票據(jù);(2)對于同一期限的中期票據(jù)來說,地方國有企業(yè)中期票據(jù)發(fā)行利率高于中央國有企業(yè)中期票據(jù);(3)除了地方國有企業(yè)3年期中期票據(jù)外,非上市企業(yè)的中期票據(jù)發(fā)行利率高于上市企業(yè)中期票據(jù)。在此基礎(chǔ)上,使用主成分分析法和加權(quán)最小二乘法,對影響中期票據(jù)發(fā)行利差的因素進(jìn)行實(shí)證分析,并對結(jié)果進(jìn)行了比較。最終得出:(1)財(cái)政依存度、GDP增長率、凈資產(chǎn)規(guī)模和債務(wù)保障率對中央國有企業(yè)中期票據(jù)發(fā)行利差均有顯著影響。除了這四個指標(biāo)外,流動比率對上市中央國有企業(yè)中期票據(jù)發(fā)行利差均有顯著影響。貸存比和信息不對稱程度對非上市中央國有企業(yè)中期票據(jù)發(fā)行利差均有顯著影響;(2)財(cái)政依存度、人均社會消費(fèi)和凈資產(chǎn)規(guī)模對地方國有企業(yè)中期票據(jù)發(fā)行利差均有顯著影響。除了這兩個指標(biāo)外,權(quán)益乘數(shù)、凈資產(chǎn)周轉(zhuǎn)率和債務(wù)保障率對上市地方國有企業(yè)中期票據(jù)發(fā)行利差均有顯著影響。GDP增長率對非上市地方國有企業(yè)中期票據(jù)發(fā)行利差均有顯著影響。最后,對中期票據(jù)的發(fā)行給出了相應(yīng)的建議,即豐富中期票據(jù)種類、建立中期票據(jù)風(fēng)險(xiǎn)預(yù)警體系、建立動態(tài)透明的中期票據(jù)及發(fā)債企業(yè)信息披露機(jī)制、建立合理的中期票據(jù)信用評級機(jī)制。
[Abstract]:Since the issuance of medium-term paper in 2008, it has developed very rapidly. From 2008 to 2015, the issuing scale of general medium-term paper accounts for 19% in the whole credit bond market, which exceeds the corporate bond and corporate bond in the same period. However, the risk of mid-term bills should not be ignored. As of May 15, 2017, a total of 12 mid-term notes defaulted. This fully indicates that there is a high credit risk in mid-term notes. As a reflection of the credit risk of mid-term bills, it is necessary to analyze the issue spread. This paper firstly makes statistics on the issuance of medium-term bills from five aspects: the issue term, the current situation of the issuer, the guarantee situation, the distribution of the type of interest rate, the distribution of the industry and the credit grade distribution of the debt. In addition, the paper makes a comparative analysis of the interest rate of mid-term bill issuance from the perspectives of listing or not, the nature of the enterprise and the term. The results show that for the same enterprise medium-term notes, the interest rate of five-year notes issued is higher than that of 3-year medium-term notes.) for medium-term notes with the same term, The interest rate of local state-owned enterprise medium-term bill issuance is higher than that of central state-owned enterprise medium-term bill. Except for local state-owned enterprise, the interest rate of non-listed enterprise is higher than that of listed enterprise. On this basis, we use principal component analysis and weighted least square method to analyze the factors that affect the spread of medium-term bill issuance, and compare the results. Finally, it is concluded that the ratio of fiscal dependence and GDP growth, net asset size and debt guarantee rate have a significant effect on the spread of medium-term bill issuance in central state-owned enterprises. In addition to these four indicators, the liquidity ratio has a significant impact on the spread of the mid-term bills issued by the listed central state-owned enterprises. The loan-to-deposit ratio and the degree of information asymmetry have significant influence on the medium term bill issue interest margin of the non-listed central state-owned enterprises. (2) the degree of financial dependence, the per capita social consumption and the scale of net assets have significant influence on the local state-owned enterprise medium-term bill issue interest rate difference. In addition to these two indicators, the equity multiplier, The net assets turnover rate and debt guarantee rate have significant influence on the spread of medium-term notes issued by listed local state-owned enterprises. The growth rate of GDP has a significant effect on the spread of medium-term notes issuance of non-listed local state-owned enterprises. Finally, the paper gives the corresponding suggestions on the issue of medium-term bills, that is, to enrich the types of medium-term notes, to establish a risk warning system for medium-term notes, and to establish a dynamic and transparent mechanism for disclosure of information of medium-term bills and bond issuing enterprises. Establish a reasonable credit rating mechanism for mid-term bills.
【學(xué)位授予單位】：中國地質(zhì)大學(xué)(北京)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.2

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本文編號：1782519