發(fā)布時間：2018-05-04 02:44

  本文選題：短期融資券 + 信用利差　； 參考：《浙江大學(xué)》2014年碩士論文

【摘要】：自2005年中國人民銀行重新啟動短期融資券業(yè)務(wù)以來,短期融資券以其較低的發(fā)行門檻、較低的發(fā)行成本受到市場各類主體的廣泛關(guān)注。近年來,短期融資券的市場規(guī)模得到了迅速的擴(kuò)張,并已成為我國資本市場發(fā)行及交易排名靠前的主要券種。隨著發(fā)行市場的不斷壯大,關(guān)于短期融資券發(fā)行利率市場化定價的研究也日漸豐富。本文研究的主要目的是通過定性和定量相結(jié)合的方法,對我國短期融資券發(fā)行時點(diǎn)的信用利差進(jìn)行研究,試圖找出影響其發(fā)行利差的主要因素,并運(yùn)用各顯著因素構(gòu)造出短期融資券的信用利差預(yù)測模型。希望通過本文的研究為發(fā)行者及其他各類市場參與主體提供一定的參考。 本文在整理參考國內(nèi)外學(xué)術(shù)界理論研究成果的基礎(chǔ)上,結(jié)合我國短期融資券業(yè)務(wù)的發(fā)展現(xiàn)狀進(jìn)行了實(shí)證研究。文章選用了短期融資券2010年至2013年的發(fā)行數(shù)據(jù),以SHIBOR利率作為基準(zhǔn)利率,將各期短期融資券的主體信用級別、是否上市、行業(yè)類別、所有制性質(zhì)、單筆發(fā)行規(guī)模作為自變量與短期融資券的信用利差進(jìn)行相關(guān)性分析,選取相關(guān)顯著因素建立計(jì)量經(jīng)濟(jì)模型,進(jìn)行多元線性回歸分析。通過實(shí)證分析,本文得出了以下結(jié)論：短期融資券的信用利差與SHIBOR利率是高度相關(guān)的。發(fā)行主體的信用級別對信用利差的影響是十分顯著的,發(fā)行主體信用等級越高其所發(fā)行的短期融資券的信用利差就越低。評級機(jī)構(gòu)的信用評價在短期融資券信用利差估值中的作用是非常重要的。在我國,企業(yè)的所有制性質(zhì)也直接決定了其短期融資券的信用利差。國有企業(yè)依托政府信用,其發(fā)行的短期融資券往往更易受到投資者的親賴。 本文將通過該信用利差預(yù)測模型模擬得到的信用利差與2013年下半年發(fā)行的短期融資券的實(shí)際發(fā)行利差進(jìn)行了對比,證明該模型對于短期融資券發(fā)行利差的預(yù)測具有一定的指導(dǎo)作用。最后,本文從健全市場違約機(jī)制、完善信用評級體系、加強(qiáng)對承銷機(jī)構(gòu)的監(jiān)管、促進(jìn)發(fā)行定價機(jī)制的市場化等方面為促進(jìn)短期融資券市場的健康發(fā)展提出了一些建議。
[Abstract]:Since the people's Bank of China restarted the short term financing bill business in 2005, the short term financing bond has been widely concerned by all kinds of market entities because of its lower threshold and lower issuing cost. In recent years, the market size of short-term financing bonds has been rapidly expanded, and has become the capital market in our country, the issuance and trading ranking of the main securities. With the increasing of the issuing market, the research on the market-oriented pricing of short-term financing paper interest rate is becoming more and more abundant. The main purpose of this paper is to study the credit spreads at the time of issuance of short term financing bills in China through the combination of qualitative and quantitative methods, and try to find out the main factors that affect the spreads. The credit margin prediction model of short-term financing bond is constructed by using the significant factors. Through this study, I hope to provide some reference for issuers and other market participants. Based on the theoretical research results of academic circles at home and abroad, this paper makes an empirical study on the development of short-term financing bills in China. This paper selects the issuing data of short term financing bonds from 2010 to 2013, taking the SHIBOR interest rate as the benchmark interest rate, puts forward the main credit grade, whether listed, whether the industry category, ownership nature of each issue of short term financing paper. This paper analyzes the correlation between single issue size as independent variable and credit interest margin of short term financing bond, selects relevant significant factors to establish econometric model, and carries out multivariate linear regression analysis. Through empirical analysis, this paper draws the following conclusions: the credit spread of short-term financing paper is highly correlated with SHIBOR interest rate. The credit grade of the issuer has a significant influence on the credit spread. The higher the credit grade of the issuer, the lower the credit spread of the short term financing bond issued by the issuer. The credit evaluation of rating agencies is very important in the valuation of short-term financing paper credit spreads. In our country, the ownership nature of enterprises also directly determines the credit spreads of short-term financing bonds. State-owned enterprises rely on government credit, and their short-term financing bonds are more likely to be relied on by investors. In this paper, we compare the credit spreads simulated by the credit spread prediction model with the actual issuance spreads of short-term financing bonds issued in the second half of 2013. It is proved that this model can guide the prediction of short-term financing bond issue interest margin. Finally, this paper puts forward some suggestions to promote the healthy development of the short-term financing bond market from the aspects of perfecting the market default mechanism, perfecting the credit rating system, strengthening the supervision of the underwriting institutions, and promoting the marketization of the issuing and pricing mechanism.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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本文編號：1841232