【作者】 王宁；

【导师】 郭继鸣；

【作者基本信息】 河北工业大学 ， 应用经济， 2017， 硕士

【摘要】 在我国经济下行压力仍然较大的背景下,一些企业经营困难,债务风险不断加剧。因此,政府进一步加大了对企业应收帐款、融资租赁等财产权益的资产证券化业务的扶持力度,以应对企业债务规模增长过快,债务负担不断加重的经济形势。基于以上背景,探究我国资产支持证券信用利差的影响因素对丰富我国债券领域相关理论、优化企业资源配置、降低企业融资成本等方面具有一定意义。本文选取2014年至2017年期间发行规模最大的信贷资产支持证券与企业资产支持证券为研究对象,通过定量分析的方法建立多元回归模型,考察各个影响因素对资产支持证券信用利差的影响效应。微观债券自身影响因素研究结果表明:信用评级、发行规模以及到期期限对于两类资产支持证券信用利差的影响效应最为显著。其中信用评级与发行规模回归系数为负,而到期期限的回归系数为正。在其他解释变量中,对于信贷资产支持证券,附属比例、分级债券数量以及付息方式与信用利差显著负相关,承销商数量对信用利差的影响并不明显;对于企业资产支持证券,附属比例与企业类型回归系数显著为负,而分级债券数量和承销商数量对信用利差的影响不显著。宏观经济因素回归结果表明:居民消费价格指数和工业增加值同比回归系数显著为负。此外,货币供应量、生产者价格指数与信用利差之间不存在显著相关性。本文最后分别从信用增级、信用评级、风险隔离、准入机制以及经济政策五个方面提出结论和建议。在信用增级方面,要大力促进我国专业的外部信用增级机构的发展,培养专业的金融担保公司;在信用评级方面,要充分发挥信用评级揭示风险的作用;在风险隔离方面,要建立完善的风险隔离机制,规避较低信用水平企业的信用风险;在发行机制方面,要放宽资产支持证券发行主体准入制度,但应严防资产支持证券的过度包装以及机构创新;在经济政策方面,要实施相对稳健的经济政策保持宏观经济稳步发展,降低资产支持证券的信用风险。更多还原

【Abstract】 Under the background that the downward pressure on the economy in our country is still relatively large,some enterprises have difficulties in operation and the debt risks are aggravating.Therefore,the government further strengthened its support to asset securitization businesses such as corporate receivables,financing leases and other property rights so as to cope with the economic situation that the scale of corporate debts increased rapidly and the debt burden was aggravating.Based on the above background,it is of great significance to explore the influencing factors of the credit spread of China’s asset-backed securities in order to enrich the relevant theories in China’s bond market,optimize the allocation of resources of enterprises and reduce the financing cost of enterprises.This article takes the largest issue of credit asset-backed securities and enterprise asset-backed securities from 2014 to 2017 as the research object and establishes a multiple regression model by quantitative analysis to examine the impact of various factors on the credit spread of asset-backed securities.The research on the influencing factors of the micro-bond itself shows that the effect of credit rating,issuance scale and maturity on the credit spreads of the two types of asset-backed securities is the most significant.The impact of credit rating and issue size on credit spread is negative,while the maturity impact on credit spread is positive.Among the other explanatory variables,there is a significant negative correlation between the credit asset-backed securities,the subsidiary ratio,the number of classified bonds and the interest payment method and the credit spread.The effect of the number of underwriters on the credit spread is not significant.For the corporate asset-backed securities,The regression coefficient of proportion and enterprise type index items is significantly negative,while the amount of classified bonds and underwriters influence insignificant credit spread.The regression results of macroeconomic factors show that the regression coefficient of the household consumption price index and the industrial added value is significantly negative compared with the same period of last year.In addition,there is no significant correlation between money supply,producer price index and credit spread.In the conclusion and suggestion part,this article makes suggestions from five aspects: credit enhancement,credit rating,risk isolation,access mechanism and economic policy.In terms of credit enhancement,we should vigorously promote the development of a professional external credit enhancement institution in our country and develop a professional financial guarantee company.In the aspect of credit rating,we should give full play to the role of credit rating to reveal risks.In the aspect of risk isolation,we must establish and improve Risk isolation mechanism to circumvent the default risk of lower credit level companies;access mechanism,to relax the access system of asset-backed securities issuer,but should be to prevent the transitional packaging of asset-backed securities and institutional innovation;in economic policy It is necessary to implement relatively sound economic policies to maintain the steady development of the macroeconomy and reduce the credit risk of asset-backed securities.更多还原