本文關(guān)鍵詞：我國企業(yè)債信用利差期限結(jié)構(gòu)研究　出處：《天津工業(yè)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

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【摘要】：企業(yè)債的發(fā)展規(guī)模逐漸擴(kuò)大,伴隨而來的是違約事件的發(fā)生,企業(yè)債的信用風(fēng)險(xiǎn)漸漸凸顯,打破了剛性兌付,信用風(fēng)險(xiǎn)成為企業(yè)債市場(chǎng)上的主要風(fēng)險(xiǎn),而在二級(jí)市場(chǎng)上,一般情況下選擇信用利差期限結(jié)構(gòu)作為反映企業(yè)債信用風(fēng)險(xiǎn)的指標(biāo)。信用利差期限結(jié)構(gòu)是指企業(yè)債的信用利差與到期期限的關(guān)系,而信用利差是到期期限相等的企業(yè)債和國債收益率的差值。所以本文主要通過研究我國企業(yè)債信用利差期限結(jié)構(gòu)來分析企業(yè)債所存在的信用風(fēng)險(xiǎn),進(jìn)而對(duì)我國企業(yè)債市場(chǎng)信用風(fēng)險(xiǎn)管理提出相關(guān)建議以完善我國企業(yè)債市場(chǎng)管理體系。全文共分為四章:第一章是導(dǎo)論,主要是概括本文的研究背景以及本文研究的意義。其次,本章通過查閱國內(nèi)外學(xué)者的研究現(xiàn)狀總結(jié)出有關(guān)信用利差期限結(jié)構(gòu)的研究結(jié)果,從而得出本文的研究思路以及實(shí)證研究方法。第二章是闡述本文涉及的概念和理論基礎(chǔ),并簡單分析企業(yè)債的風(fēng)險(xiǎn)來源。第三章是本文的核心部分,對(duì)信用利差期限結(jié)構(gòu)的特征、影響因素以及對(duì)經(jīng)濟(jì)增長趨勢(shì)的預(yù)測(cè)作用進(jìn)行實(shí)證分析。首先分析我國企業(yè)債信用利差期限結(jié)構(gòu)的統(tǒng)計(jì)特征,然后進(jìn)行主成分分析,實(shí)證分析信用利差期限結(jié)構(gòu)影響因素,最后驗(yàn)證對(duì)經(jīng)濟(jì)增長趨勢(shì)的預(yù)測(cè)作用。第四章主要是對(duì)本文的研究結(jié)論進(jìn)行總結(jié),并根據(jù)本文的研究結(jié)論,結(jié)合我國企業(yè)債市場(chǎng)現(xiàn)狀提出相關(guān)建議和展望。本文通過對(duì)我國企業(yè)債信用利差期限結(jié)構(gòu)的研究得出以下主要結(jié)論:1、水平因子和斜率因子對(duì)我國企業(yè)債信用利差期限結(jié)構(gòu)的解釋力度在900%以上,而對(duì)這兩個(gè)因子影響顯著的宏觀經(jīng)濟(jì)因素主要是無風(fēng)險(xiǎn)利率及其變化和CRB指數(shù)。2、評(píng)級(jí)和期限不同的企業(yè)債,其信用利差期限結(jié)構(gòu)受不同的宏觀經(jīng)濟(jì)因素影響,其中對(duì)于短期企業(yè)債信用利差而言其更容易受到宏觀經(jīng)濟(jì)因素的影響。另外,在不同評(píng)級(jí)的企業(yè)債方面,AA級(jí)企業(yè)債的信用利差期限結(jié)構(gòu)更容易受到宏觀經(jīng)濟(jì)因素影響。3、無風(fēng)險(xiǎn)利率是最重要的影響因素,并且具有正效應(yīng)。4、期限的長短和信用評(píng)級(jí)的高低與信用利差分別呈現(xiàn)正相關(guān)和負(fù)相關(guān)關(guān)系,即企業(yè)債到期期限越長其信用利差也就越大,而企業(yè)債信用評(píng)級(jí)越低其信用利差也就越大。5、企業(yè)債信用利差期限結(jié)構(gòu)可以對(duì)我國的經(jīng)濟(jì)增長趨勢(shì)起到一定程度的預(yù)測(cè)作用。
[Abstract]:The scale of the development of corporate bonds gradually expanded, accompanied by the occurrence of default events, corporate debt credit risk gradually highlighted, breaking the rigid payment, credit risk has become the main risk in the enterprise bond market. In the secondary market, the term structure of credit spreads is generally chosen as the index to reflect the credit risk of enterprise bonds. The term structure of credit spreads refers to the relationship between the credit spreads of enterprise bonds and the maturity period. The credit spread is the difference between the enterprise bonds with the same maturity period and the national debt yield. So this paper mainly analyzes the credit risk of the enterprise bonds by studying the term structure of the corporate bonds credit spreads in our country. And then put forward some suggestions to improve the management system of corporate bond market. The thesis is divided into four chapters: the first chapter is the introduction. This chapter summarizes the research background of this paper and the significance of this study. Secondly, this chapter summarizes the research results about the term structure of credit spreads by consulting the current situation of scholars at home and abroad. The second chapter is to elaborate the concept and theoretical basis of this paper, and simply analyze the risk source of corporate debt. Chapter 3 is the core of this paper. This paper makes an empirical analysis on the characteristics of the term structure of the credit spread, the influencing factors and the forecasting effect on the economic growth trend. Firstly, it analyzes the statistical characteristics of the term structure of the credit spread of the enterprise bonds in China. Then the principal component analysis, empirical analysis of credit spread term structure factors, and finally verify the forecast of economic growth trend. Chapter 4th is the conclusion of this paper. According to the conclusions of this paper, combined with the current situation of the corporate debt market in China, put forward the relevant suggestions and prospects. Through the study of the term structure of the credit spreads of corporate bonds in China, the following main conclusions: 1. The level factor and slope factor explain the term structure of corporate bond credit spread in China more than 900%. The main macroeconomic factors affecting these two factors are risk-free interest rate and its changes, CRB index. 2, rating and maturity of corporate bonds. The term structure of credit spreads is affected by different macroeconomic factors, especially for short-term corporate bonds credit spreads are more vulnerable to macroeconomic factors. In addition, in different ratings of corporate debt. The term structure of credit spreads of AA grade corporate bonds is more vulnerable to macroeconomic factors. The risk-free interest rate is the most important factor, and has a positive effect of .4. The length of the term and the credit rating show a positive correlation and negative correlation with the credit spread, that is, the longer the maturity of corporate debt, the greater the credit spread. The lower the credit rating of enterprise bonds, the greater the credit spread. 5. The term structure of corporate debt credit spreads can predict the economic growth trend of our country to some extent.
【學(xué)位授予單位】：天津工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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