發(fā)布時間：2018-05-04 06:25

  本文選題：城投債 + 信用風(fēng)險　； 參考：《西南財經(jīng)大學(xué)》2013年碩士論文

【摘要】：分稅制改革后,地方財政的收入一直處于緊張狀態(tài),加上近年來我國城鎮(zhèn)化步伐的不斷加快,地方政府對資金的需求越來越大,而同時我國法律明確規(guī)定,地方政府不能發(fā)行債券,于是各地政府紛紛建立了自己的投融資平臺,以便在市場上舉債,城投債就這樣應(yīng)運(yùn)而生了。其獨(dú)特的產(chǎn)生背景使得其募集資金的用途也比較固定：主要是投向基礎(chǔ)設(shè)施類和市政類項目,城投債的名稱也由此而來。2008年國際上爆發(fā)金融危機(jī),我國為了應(yīng)對金融危機(jī),提出了“支持有條件的地方政府組建融資平臺,發(fā)行企業(yè)債、中期票據(jù)等融資工具,拓寬中央政府投資項目的配套資金融資渠道。”1這迎來了2009年城投債的快速發(fā)展。加之各個監(jiān)管機(jī)構(gòu)放松對城投企業(yè)的管制,我國城投債出現(xiàn)了跨越式的增長。2012年發(fā)行的城投債規(guī)模就達(dá)到了6367.9億元,超過2011年一年發(fā)行總額的50%。 城投債作為債券的一種,與其它債券相比,有其自身的獨(dú)特之處,首先我國城投債在法律上沒有明確的保障措施,然而因城投企業(yè)與當(dāng)?shù)卣P(guān)系的緊密,使得城投債多有政府的隱性擔(dān)保；其次,城投債的發(fā)行主體城投企業(yè)具有獨(dú)特的財務(wù)特征,一般資產(chǎn)規(guī)模較大,營業(yè)外收入較多,經(jīng)營活動現(xiàn)金流較少而籌資活動現(xiàn)金流較大；再次,城投債一般呈現(xiàn)出主體信用評級較低而債項信用評級較高的特點；最后,因監(jiān)管法律法規(guī)不完善,城投債的各項相關(guān)信息披露不及時不充分,透明度較低。 本文的研究對象是影響城投債利差的主要因素,包括信用風(fēng)險利差和流動性風(fēng)險利差兩個方面。在前人研究的基礎(chǔ)上,筆者力圖全面的分析各個主要因素對我國城投債利差的影響。在理論分析部分,筆者將影響因素分為信用風(fēng)險影響因素和流動性風(fēng)險影響因素兩大類,其中又將信用風(fēng)險的影響因索分為宏觀經(jīng)濟(jì)因素、區(qū)域因素、企業(yè)財務(wù)狀況、債券自身因素和其它影響因素進(jìn)行討論：流動性風(fēng)險則分別從債券自身因素和債券市場因素進(jìn)行討論 另外,本文還構(gòu)建了兩個多元回歸模型,試圖對影響我國城投債利差的因素進(jìn)行檢驗分析。第一個模型為我國城投債利差的微觀影啊因素模型.由于微觀因素太多,各因素之間存在不同程度的相關(guān)性,因此本文將運(yùn)用SPSS軟件對影響我國城投債利差的信用風(fēng)險微觀因素進(jìn)行因子分析,提取出具有代表性的因子進(jìn)行了回歸分析.該模型是基于截面數(shù)據(jù)的研究.對2011年12月交易所城投債的利差進(jìn)行了分析和解釋。 第二個模型為我國城投債利差的宏觀影響因素模型,該模型是基于時間序列的研究。因為時間數(shù)據(jù)多存在不平穩(wěn)性,所以該實證在開始時對數(shù)據(jù)的平穩(wěn)性進(jìn)行了檢驗,之后進(jìn)行協(xié)整檢驗以分析宏觀中長期因素的影響,最后建立了向量誤差模型來探究宏觀影響因素中的短期因素對我國城投債利差的影響。并以此為基礎(chǔ),對2008年10月到2011年12月交易所城投債指數(shù)的利差進(jìn)行了討論。 通過理論和實證分析,筆者得出了相應(yīng)的結(jié)論：信用風(fēng)險和流動性風(fēng)險都是影響我國城投債利差的重要因素。微觀層面上,投資者并不關(guān)注城投企業(yè)自身的經(jīng)營情況.而更關(guān)注區(qū)域因素和城投債自身的因素。宏觀層面上短期只有消費(fèi)者物價指數(shù)對我國城投債利差產(chǎn)生影響,長期對我國城投債利差有影響的是國內(nèi)生產(chǎn)總值、消費(fèi)者物價指數(shù)和債券市場寬度指標(biāo),商業(yè)銀行貸存比對我國城投債利差無影響。短期消費(fèi)者物價指數(shù)與我國城投債利差負(fù)相關(guān),這與其對我國城投債利差的長期的作用方向相反。 最后,筆者提出了加強(qiáng)城投企業(yè)的獨(dú)立性、加強(qiáng)城投債市場流動性、建立城投債償還保障機(jī)制和監(jiān)督機(jī)制、促進(jìn)地方經(jīng)濟(jì)健康穩(wěn)定發(fā)展、提高各城投企業(yè)透明度、健全相關(guān)法律法規(guī)六項政策建議。 本文的整個研究試圖探討控制城投債的風(fēng)險的有效方法。明確我國城投債利差的影響因素、影響程度和影響方向,可以使得政策制定者明確所需要關(guān)注的因素,為監(jiān)管部門監(jiān)管提供依據(jù);其次,也可幫助各地政府通過調(diào)整可以控制的影響因素來降低城投債的風(fēng)險,縮小城投債的利差,減小城投企業(yè)的融資成本：再次.明確我國城投債利差的影響因素,可以為信用評級機(jī)構(gòu)進(jìn)行債券評級提供依據(jù),為投資者的投資決策提供判斷依據(jù)。 本文的主要結(jié)構(gòu)安排： 第一部分：緒論。主要是說明本文的研究背景與意義,城投債及城投債利差的概念界定和介紹,研究思路與框架、創(chuàng)新以及不足之處。 第二部分：文獻(xiàn)綜述。在閱讀大量文獻(xiàn)的基礎(chǔ)上,本文對前人的研究進(jìn)行了梳理,為之后的分析打下基礎(chǔ)。 第三部分：我國城投債的發(fā)展與特征。主要分析了我國城投債的發(fā)展歷程、現(xiàn)狀及特征。 第四部分：我國城投債利差影響因素的理論分析。結(jié)合第二部分和第三部分,本部分對我國城投債利差影響因素分成了信用風(fēng)險影響因素和流動性影響因素分別進(jìn)行具體的分析。 第五部分：我國城投債利差影響因素的實證研究。本部分首先根據(jù)第四部分的理論分析選取影響因素,然后分別設(shè)立我國城投債利差的微觀影響因素實證模型和宏觀影響因素實證模型。其中微觀影響因素實證模型是基于截面數(shù)據(jù)的分析,經(jīng)過因子分析后對提取出的因子進(jìn)行回歸；宏觀影響因素實證模型是基于時間序列的分析,經(jīng)過協(xié)整檢驗得到長期的影響因素,又通過建立向量誤差性模型來確定我國城投債利差宏觀因素中的短期影響因素。 第六部分：研究結(jié)論與建議。經(jīng)過前面的研究,本部分給出結(jié)論并提出相應(yīng)的政策建議,最后對未來的研究進(jìn)行了展望。 本文的主要貢獻(xiàn)： 1.本文研究的城投債利差是二級市場上的收盤收益率與相同期限國債到期收益率的差額,這樣更能反映真實價值,更能充分反映信息。 2.綜合考慮了多種影響因素。以往學(xué)術(shù)界對于債券利差影響因素的研究多是考慮信用風(fēng)險影響因素或者流動性風(fēng)險影響因素的一種,在微觀和宏觀影響層面上也大多只考慮一個層面,未能全面考慮。本文在影響因素的選擇上綜合考慮信用風(fēng)險影響因素、流動性風(fēng)險影響因素、微觀影響因素以及宏觀影響因素,再通過實證分析以求找到我國城投債利差變動的更全面的解釋。 3.運(yùn)用因子分析進(jìn)行深度分析。以往學(xué)術(shù)界在對債券利差影響因素進(jìn)行實證分析師,多直接進(jìn)行回歸,而經(jīng)濟(jì)指標(biāo)之間會很容易出現(xiàn)相關(guān)關(guān)系,故本文在進(jìn)行回歸之前,先采用因子分析提取出有解釋力但又互相獨(dú)立的因子,從而能更清晰的找出對城投債利差有影響的變量。 本文的不足之處： 因時間和筆者能力有限,本文還存在很多不足。首先本文是在綜合前人研究的基礎(chǔ)上選取的影響因素變量,可能會漏掉研究者未發(fā)現(xiàn)但重要的影響因素。其次,僅對固定利率的無擔(dān)保的城投債進(jìn)行研究,未分析浮動利率、含權(quán)的、擔(dān)保的城投債,也未對銀行間的城投債的利差進(jìn)行研究。另外,由于一些指標(biāo)和數(shù)據(jù)難以獲得,比如地區(qū)經(jīng)濟(jì)情況公開的信息就很少,故本文未能對地區(qū)因素進(jìn)行深層次研究,僅運(yùn)用了可獲得的公開信息。
[Abstract]:After the reform of the taxation system , the income of local finance has been in tension , and in recent years , the demand of local governments has become more and more important . In order to meet the financial crisis , the local government has set up its own investment and financing platform so as to raise the financing channel of the central government ' s investment projects .

As a kind of bond , city investment debt has its own unique place than other bonds . First , it has no definite safeguard measures in the law . However , because of the tight relationship between the city investment enterprises and the local government , the city investment debt has the implicit guarantee of the government .
Secondly , the capital investment enterprises of the capital investment bank have unique financial characteristics , the general assets are large , the operating income is more , the cash flow of the operating activities is less , and the cash flow of the fund raising activities is relatively large ;
Thirdly , city investment debt generally presents the characteristics of lower subjective credit rating and higher debt credit rating ;
Finally , because of the imperfect regulation laws and regulations , the disclosure of the relevant information of the city investment debt is not timely and insufficient , and the transparency is low .

On the basis of the previous research , the author tries to analyze the influence factors of credit risk into two broad categories : credit risk impact factor and liquidity risk factor . In the theoretical analysis part , the author divides the influence factors into two categories : credit risk influence factor and liquidity risk factor .

In addition , we have constructed two multiple regression models , and tried to analyze the factors that affect the interest margin of our city investment . The first model is the micro - shadow factor model of our city ' s debt spreads . Because of too many micro factors and different factors , this paper applies SPSS software to analyze the micro - factors of credit risk factors that affect China ' s capital investment . This model is based on cross - section data . The model is based on the research of cross - section data .

The second model is the macro - impact factor model of the capital investment difference in our country . The model is based on the research of time series . As the time data is not stationarity , the empirical study examines the stationarity of the data at the beginning . Finally , a vector error model is established to explore the influence of short - term factors on macro - factors . Finally , a discussion is made on the difference between short - term factors in macro - influencing factors in the macro - influencing factors .

Based on the theoretical and empirical analysis , the author concludes that credit risk and liquidity risk are the important factors that affect China ' s capital investment . At the micro level , investors don ' t pay attention to the business situation of city investment enterprises .

Finally , the author puts forward the strengthening of the independence of the city investment enterprises , strengthening the liquidity of the investment market in the city , establishing the mechanism and the supervision mechanism of the city investment repayment guarantee mechanism , promoting the stable development of local economic health , improving the transparency of each city investment enterprise and perfecting the six policy recommendations of relevant laws and regulations .

The whole research of this paper attempts to explore the effective way to control the risk of city investment debt . It is clear that the influencing factors , the influence degree and the influence direction of the capital investment spreads in our country can make the policy makers clear the factors which need to be concerned and provide the basis for supervision and supervision . Secondly , it can help the local governments to reduce the risk of capital investment by adjusting the influencing factors that can be controlled , reduce the profit margin of the city investment and reduce the financing cost of the city investment enterprises .

The main structure of this paper is as follows :

Part I : Introduction . It is mainly to illustrate the background and significance of the study , the definition and introduction of the concept of capital investment and the difference between city investment and capital investment , and the thinking and framework , innovation and deficiency .

Part Two : Literature review . On the basis of reading a large number of literatures , this paper sorts out the previous research , and lays the foundation for the later analysis .

The third part : The development and characteristics of our city ' s investment debt . The development course , the present situation and the characteristics of our country ' s investment debt are analyzed .

The fourth part is the theoretical analysis of the influencing factors of the debt spreads in the city of our country . Combining the second part and the third part , this part divides the influencing factors into credit risk influence factor and liquidity influence factor , and carries on the concrete analysis respectively .

The fifth part : The empirical research on the factors that influence the debt spreads in our city . This part firstly selects the influencing factors according to the theoretical analysis of the fourth part , then sets up the empirical model and the macro - influencing factor empirical model of the micro - influence factors of the capital investment spreads in our country . The empirical model of the micro - influencing factors is based on the analysis of the cross - section data , and the extracted factors are returned after the factor analysis ;
The empirical model of macro - influence factors is based on the analysis of time series , and the long - term influence factors are obtained through co - integration test .

Part VI : Research conclusions and recommendations . Through the previous research , this part gives the conclusion and puts forward the corresponding policy recommendations , and finally prospects the future research .

The main contributions of this paper are as follows :

1 . The difference between the bond yield and the yield of bond due to the same period is the difference between the bond yield and the maturity yield of the same period , which can reflect the real value and more fully reflect the information .

2 . A variety of influencing factors are taken into consideration . In previous academic circles , the research on the influencing factors of bond spreads is one of the factors that consider the influence factors of credit risk or the risk of liquidity risk . At the micro and macro - impact level , the factors of credit risk , the influencing factors of liquidity risk , the micro - influencing factors and the macro - influencing factors are considered comprehensively .

3 . Using factor analysis to analyze deeply . In previous academic circles , the author makes an empirical analysis on the influencing factors of bond spreads , and the correlation between economic indexes is easy . Therefore , before the regression , this paper uses factor analysis to extract the factors with explanatory power but also independent of each other , so as to find out the variable which has an influence on the margin of investment in the city .

The shortcomings of this paper are as follows :

Because of the limited time and the author ' s ability , there are many deficiencies in this paper . First of all , this paper studies the influence factors selected on the basis of comprehensive predecessors ' research , which may miss the undiscovered but important influence factors of the researchers . Secondly , because some indexes and data are difficult to obtain , such as the public information of regional economic situation is very few , this paper fails to carry on deep research on regional factors , and only uses the publicly available information .

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F812.5

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