本文關(guān)鍵詞：中國(guó)流動(dòng)性溢價(jià)和債券定價(jià)：信用利差的構(gòu)成　出處：《上海交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用利差 流動(dòng)性溢價(jià) Fama MacBeth回歸

【摘要】：本文用GLS和Fama MacBeth回歸兩種方法研究了2011年至2013年9月底有雙邊報(bào)價(jià)的475個(gè)中期票據(jù)的信用利差的決定因素，發(fā)現(xiàn)流動(dòng)性指標(biāo)中的買賣報(bào)價(jià)差、交易量對(duì)信用利差都有較為顯著的影響，但交易量在Fama MacBeth回歸中不夠顯著，，買賣報(bào)價(jià)差在控制發(fā)行人的回歸中不顯著；總體來(lái)看，利差中信用風(fēng)險(xiǎn)仍是主要部分，而宏觀風(fēng)險(xiǎn)反應(yīng)在期限利差中。影響力最大的指標(biāo)是信用評(píng)級(jí)、發(fā)行規(guī)模、資產(chǎn)負(fù)債率、買賣報(bào)價(jià)差。按照評(píng)級(jí)的分組回歸顯示剩余期限和債券存續(xù)期限也開(kāi)始變得顯著，在分組中，其他財(cái)務(wù)指標(biāo)可能顯著，但這種關(guān)系在不同評(píng)級(jí)的分組中不穩(wěn)定。另外，信用利差對(duì)評(píng)級(jí)存在路徑依賴，投資者也會(huì)關(guān)注歷史評(píng)級(jí)和當(dāng)前對(duì)于歷史變化的趨勢(shì)。 在控制了發(fā)行人固定效應(yīng)影響的Fama MacBeth回歸中，流動(dòng)性指標(biāo)失去顯著性，間接說(shuō)明流動(dòng)性指標(biāo)未必如信用情況的影響大；但發(fā)行規(guī)模、評(píng)級(jí)、期限利差、資產(chǎn)負(fù)債率依然顯著。 Hausman檢驗(yàn)顯示交易量和債券評(píng)級(jí)都是外生的，并不由信用利差決定；且流動(dòng)性本身受到債券信用狀況的影響很小，顯示模型是有意義的。雖然利差的水平可以由宏觀因素和信用因素解釋，但利差的波動(dòng)很難由這些因素解釋，這和國(guó)外的發(fā)現(xiàn)不同。
[Abstract]:In this paper, GLS and Fama MacBeth regression methods are used to study the determinants of credit spread between 2011 and September 2013. It is found that the trading price is poor in liquidity index and the trading volume has a significant effect on credit spreads, but the volume is not significant in Fama MacBeth regression. The difference in price is not significant in the return of the controlling issuer; In general, credit risk is still the main part of the spread, while the macro risk is reflected in the term spread. The most influential indicators are credit rating, issuance scale, asset-liability ratio. The grouping regression according to the rating shows that the remaining maturity and the maturity of the bond are also beginning to become significant, and in the group, other financial indicators may be significant. In addition, credit spreads have path dependence on ratings, and investors will also focus on historical ratings and current trends in historical changes. In the Fama MacBeth regression, which controls the influence of the issuer's fixed effect, the liquidity index loses its significance, which indirectly indicates that the liquidity index may not be as influential as the credit situation. But the issuance scale, the rating, the term interest rate difference, the asset-liability ratio is still remarkable. Hausman test shows that both trading volume and bond rating are exogenous and are not determined by credit spreads. The liquidity itself is little affected by the bond credit situation, which shows that the model is meaningful. Although the level of interest margin can be explained by macro factors and credit factors, it is difficult to explain the fluctuation of interest rate difference by these factors. This is different from what has been found abroad.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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