【作者】 邓颖；

【导师】 陈林；

【作者基本信息】 电子科技大学 ， 金融工程， 2020， 硕士

【摘要】 债券市场的发展对我国拓宽企业直接融资渠道,维护我国金融市场的总体平稳具有极其重要的战略意义。伴随着我国金融结构的优化升级,以及国家相关政策的积极鼓励,我国信用债市场获得了迅速的发展,成为企业重要的直接融资渠道。但信用债市场违约事件也频频出现,给投资者带来较大的考验。在未来的一段时间内,我国发债企业的债券到期规模将不断扩大,企业将出现债务负担持续增加、盈利水平逐渐下降、运营压力逐渐增加等情况。因此,在今后的一段时间内,我国的信用债市场将存在较高的违约风险,市场投资者需要密切关注信用债市场风险的态势。频繁的信用债违约事件影响了我国债券市场的稳定发展,充分了解我国债券市场发展状况及信用债违约原因,对我国债券市场的发展具有重要意义。本文使用截至2019年6月末中国债券市场信用债数据,基于去杠杆政策影响的独特视角,总结了近年来信用债违约整体情况与信用债违约特征,并从去杠杆政策这一宏观经济因素及发债企业财务指标等微观特征角度,分析了去杠杆政策对信用债违约的影响。本文采用Logit回归得到发债企业的违约概率评估模型,利用倾向评分匹配方法和双重差分方法,探究去杠杆政策、企业杠杆率水平、企业融资受限、企业债务结构等因素与企业信用债违约的关系。本文研究发现,去杠杆政策在一定程度上能降低企业总体杠杆率水平,但是在去杠杆政策实施期间,也有部分企业存在加杠杆现象。去杠杆政策在2017年与2018年与企业违约概率呈现正相关关系,2019年呈负相关关系,本文认为出现这种现象的原因是,刚推出去杠杆政策时,市场受到一定的冲击,债券发行者还未适应政策变化,融资效率降低,违约概率变大。但从一个长期的过程来看,去杠杆政策的实施使等级较高、发行者具有较大成长性、具有更高的还款能力的债券更受青睐,债券市场更加理性,从而降低了企业违约率。这与我国去杠杆政策建立有效市场机制、将企业杠杆率维持在合理水平、降低企业违约概率的目标相一致。本文通过在模型中加入去杠杆政策虚拟变量与企业杠杆率水平分组的交互项发现,去杠杆政策的施行会逐渐减弱企业高杠杆率对违约的影响。去杠杆政策的大环境下,社会流动性趋紧,企业融资难度加大,部分企业在信用债发行时出现发行失败或取消发行等情况,且未成功发行的债券数量呈现递增趋势。本文通过在模型中加入去杠杆政策与融资受限虚拟变量的交互项,发现融资受到限制会增加企业违约概率,但去杠杆政策会降低融资受限对企业违约概率的影响。中国企业债务结构以短期债务为主的现状,会增加我国信用债违约的概率,但去杠杆政策会降低短债比例过高对违约的影响。实证结论与我国去杠杆政策施行的目标相一致,说明去杠杆政策在优化企业债务结构,降低企业违约方面具有积极意义。更多还原

【Abstract】 The development of bond market is of great strategic significance to broaden the direct financing channels of enterprises and maintain the overall stability of the financial market in China.With the optimization and upgrading of China’s financial structure and the active encouragement of relevant national policies,China’s credit bond market has achieved rapid development and become an important direct financing channel for enterprises.However,the default events in the credit bond market also occur frequently,which brings great experience to investors.In the future,the maturity scale of the bond issuing enterprises in China will continue to expand,the debt burden of the enterprises will continue to increase,the profit level will gradually decline,and the operation pressure will gradually increase.Therefore,there will be a high default risk in the credit bond market in China in the future,and the market investors need to pay close attention to the situation of the credit bond market risk.Frequent credit default events affect the stable development of China’s bond market.It is of great significance for the development of China’s bond market to fully understand the development of China’s bond market and the causes of credit default.Using the data of China’s bond market as of the end of June 2019,based on the unique perspective of the impact of deleveraging policy,this paper summarizes the overall situation of credit bond default and the characteristics of credit bond default in recent years,and analyzes the impact of deleveraging policy on credit bond default from the perspective of macroeconomic factors such as deleveraging policy and micro characteristics such as financial indicators of debt issuing enterprises.In this paper,logit regression is used to get the evaluation model of default probability of issuing enterprises.Using the method of tendency score matching and double difference,the relationship between deleveraging policy,the level of leverage ratio,the limitation of corporate financing,the structure of corporate debt and the default of corporate credit debt is explored.In this paper,we find that the deleveraging policy can reduce the overall leverage level of enterprises to a certain extent,but during the implementation of the deleveraging policy,some enterprises also have the phenomenon of adding leverage.Deleveraging policy has a positive correlation with the probability of default of enterprises in 2017 and 2018,and a negative correlation in 2019.This paper believes that the reason for this phenomenon is that when the deleveraging policy was first introduced,the market was impacted to some extent,bond issuers had not yet adapted to the policy changes,financing efficiency was reduced,and the probability of default was increased.But in a long-term process,the implementation of the deleveraging policy makes the bonds with higher grade,greater growth of issuers and higher repayment ability more popular,and the bond market more rational,thus reducing the enterprise default rate.This is consistent with the goal of establishing an effective market mechanism,maintaining the leverage ratio at a reasonable level,and reducing the probability of default.This paper finds that the implementation of deleveraging policy will gradually reduce the impact of high leverage on default by adding the interaction term of deleveraging policy dummy variable and enterprise leverage level grouping in the model.Under the environment of deleveraging policy,social liquidity is becoming tighter,corporate financing is more difficult,some companies fail to issue or cancel the issuance of credit bonds,and the number of unsuccessful bonds is increasing.In this paper,by adding the interaction term of deleveraging policy and financing limited virtual variables into the model,we find that financing Limited will increase the probability of enterprise default,but deleveraging policy will reduce the probability of financing limited to enterprise default.The current situation that the debt structure of Chinese enterprises is dominated by short-term debt will increase the probability of default of credit debt in China,but the deleveraging policy will reduce the impact of the high proportion of shortterm debt on default.The empirical results are consistent with the implementation goals of China’s deleveraging policy,which shows that deleveraging policy has positive significance in optimizing the debt structure of enterprises and reducing the default of enterprises.更多还原