我国城投债发行利差影响因素分析

发布时间：2018-07-13 07:50

【摘要】：自1994年1月1日起,中国实行分税制改革,对各省、自治区、直辖市以及计划单列市实行分税制财政管理体制。尽管分税制改革有力的调动了地方政府的积极性,在一定程度上促进了地方经济的增长和财政的增收,但随着经济体制改革的推进、公共财政体制的发展,尤其城市化进程的加快、社会保障资金的缺口、国有金融机构不良资产以及国有企业困境等各种问题凸显,地方政府所承担的促进地方经济发展和扩大城市基础设施建设等各方面的责任越来越大,而地方政府用于基础设施建设和预算内财政资金仅仅靠财政拨款,资金远远不够。与此同时,分税制改革以来,中央和地方的事权和财权的分配出现了事实上的事权重心下移而财权重心上移的现象,从而导致了地方政府事权和财权的不对等,在加上中国转移支付制度尚不完善,地方政府资金缺口不断加大。在我国相关法律法规下,地方政府一直并不允许直接发债。为解决资金需求和供给矛盾问题,在现实操作中便产生了两种解决办法：一是中央财政发行国债再转贷地方,实际上是中央替地方政府发债；二是通过设立隶属于地方政府的企业(被称为“城投公司”或“地方融资平台”),或向银行借款,或按照《企业债券管理条例》来发行债券,这种债券就是所谓的城投债。城投债作为一种隐性的中国式市政债券,它以地方政府的税收收入或者项目收益作为担保,其信用评级比仅次于国债,又比一般企业债券高,被认为是中国的“银边债券”。然而,由于当前地方政府债务信息不透明、城投债定价机制不完善、相关法律法规的缺失、城投公司治理结构不完善以及城投债与发债主体的增信方式单一等的问题,城投债也存在着诸多风险。城投债既具有“市政债券”的特点,同时有具有普通企业债券的特点,其双重特点使得城投债的风险有其独特性。作为投资者,其最为关心的问题就是债券的收益情况,在我国城投债的发行过程中,均是以票面金额作为发行价,因此不存在折价发行或溢价发行的问题,其收益情况主要体现在债券的票面利率中。通过对城投债发行募集说明书的观察,发现绝大多数的城投公司企业债在确定发行利率时均是以基准利率加上利差确定票面利率,而均以Shibor利率作为其基准利率,且不同债券的发行利差各不相同。本文以债券的发行利差作为研究对象,分析影响该利差的宏观、微观、债券自身设计因素。在本文的第一、二、三部分中,说明了本文写作的研究背景、研究意义、文献综述、研究方法等。在以往对利差的研究中,首先主要基于整个债券市场的分析,而城投债即和普通企业债券即存在相同点,也存在不同之处；其次,以往分析主要基于二级市场上的债券利差,而对债券发行利差研究不多；即使在对债券发行利差的研究中,也是基于单因素与利差影响的分析,缺少从宏微观、债券设计等因素全方位的分析,因此本文尝试将各因素综合起来分析城投债的发行利差。在第二部分中,本文明确了城投债、城投公司等相关概念,并通过阅读文献,整理已有研究成果,作为本文的理论背景。本文主要运用理论分析、描述性统计分析、主成分分析、逐步回归分析等研究方法,并在第三部分对研究方法、数据来源、样本选取等问题进行说明。我国城投债的历史由来和发展现状在本文的第四部分进行介绍。到目前为止,我国的城投债主要经历了三个发展阶段,2005年之前为起步阶段,这一时期,城投债的发展受相关法律法规以及整个宏观经济形势的限制,整体处于探索阶段,发行规模和发行期数均比较少；2005年之后,城投债进入快速发展期,在2005-2008年三年期间,发行期数和发行规模均有较快增长；2009年之后,受益于世界经济形势、国家积极的宏观经济政策以及企业债发行制度的改革,城投债发展进入爆发性增长期。本文也主要分析的是城投债在2009年之后的爆发性增长期,主要原因在于这一时期城投债发行较多,从数据的搜集和结果的可靠性上都有保证。在本文第五部分进行城投债发行利差的影响因素分析,分别从宏观因素、微观因素进行分析。在宏观因素中,通过对国内生产总值、货币供应量、居民消费价格指数、企业债券、无风险利率结构等因素进行理论分析和个别简单分析发现,国内生产总值、企业债券指数、无风险利率结构和城投债发行利差之间存在负相关关系,且居民消费价格指数呈负相关。通过对货币供应量与发行利差的走势图和一元回归均为发现两者之间有明显的相关性。在微观因素的分析中,本文通过对城投债发行主体和债券自身设计两个方面进行分析,在自身设计因素中,发行规模、发行期限、利率类型对利差有显著影响；在发行主体因素中,信用评级、资产规模、以及相关财务数据存在显著影响。通过对宏微观各因素与城投债发行利差之间的个别简单分析,在第六部分本文尝试建立城投债发行利差影响因素模型,由于变量众多,并且各变量之间多重共线性的存在,因此本部分分别运用主成分分析和逐步回归分析两种方法消除变量之间的多重共线性,并建立了主成分分析模型(Model1)和逐步回归模型(Model2).通过对两个模型的分析比较发现,在模型中,对城投债发行利差影响显著的因素中,发债主体因素为信用等级、资产规模,债券设计因素为利率类型、发行期限,宏观因素方面居民消费价格指数和企债指数因素显著。并以得到的模型进行发行利差预测,拟合优度比较。两模型比较发现,Model2的回归方程R方大于Model1,模型2拟合情况较好。最后,由于作者理论和实务上的能力不足,本文也存在诸多不足之处,譬如因素的考虑不够周全,未能将城投债发行主体的地方政府因素考虑在内,缺少对债券流动性因素的考虑等,因此文章有进一步完善之处。
[Abstract]:Since January 1, 1994, China has carried out the reform of the tax sharing system and carried out the fiscal management system of the tax sharing system for the provinces, autonomous regions, municipalities directly under the central government and the listed cities. Although the reform of the tax system has effectively mobilized the enthusiasm of the local government, it has promoted the growth of the local economy and the increase of the revenue to a certain extent, but with the reform of the economic system the reform of the economic system has been pushed forward. The development of the public finance system, the acceleration of the urbanization process, the gap of the social security funds, the bad assets of the state-owned financial institutions and the plight of the state-owned enterprises have been highlighted, and the local government has more and more responsibilities to promote the development of the local economy and expand the infrastructure construction of the city, and the local government is responsible for the development of the local government. At the same time, since the reform of the tax sharing system, the distribution of the power and financial power of the central and local authorities has shifted from the center of gravity to the gravity of the financial power, which leads to the unequal of the local government's power and financial power. China's transfer payment system is not perfect, and the gap of local government funding is increasing.
Under the relevant laws and regulations of China, local governments have not allowed direct issuance of debt. In order to solve the problem of capital demand and supply, there are two solutions in the actual operation: first, the central financial issuance of national debt to the local government, in fact, the central government for local government debt; the two is through the establishment of local government. An enterprise (called "city investment company" or "local financing platform"), or to borrow from the bank, or issue bonds according to the regulations of the corporate bond management, is called the so-called city investment debt. The city investment debt is a recessive Chinese municipal bond, which is guaranteed by the tax revenue of the local government or the income of the project. Second only to the national debt, and higher than the general enterprise bond, it is considered the "silver side bond" of China. However, because the current local government debt information is not transparent, the pricing mechanism of the city investment debt is imperfect, the related laws and regulations are missing, the governance structure of the city investment company is imperfect, and the mode of increasing credit of the city investment and the debt issuing bodies is single, etc. There are also many risks in the city's debt.
City Investment debt has the characteristics of "municipal bond", but also has the characteristics of common enterprise bonds. Its dual characteristics make the risk of city investment debt unique. As an investor, the most concerned problem is the income of the bond. In the process of issuing city investment debt, the issue price is the issue price, so it does not exist. In the issue of discount or premium issue, its income is mainly reflected in the coupon interest rate of the bond. Through the observation of the prospectus of the issuance of the city investment debt, it is found that the vast majority of the corporate debt of the city investment company determines the par rate with the benchmark interest rate plus the difference between the interest rate and the Shibor interest rate as its benchmark. Interest rates are different, and the spread spreads of different bonds are different. In this paper, the distribution difference of bonds is taken as the research object, and the macro, micro, and bond design factors that affect the difference are analyzed.
In the first, second and three parts of this article, the research background, significance, literature review and research methods of this paper are explained. In the previous study of the difference, the first mainly based on the analysis of the whole bond market, while the city investment debt is the same as that of the ordinary enterprise bonds, and there are differences in the past. Secondly, the main basis of the previous analysis is the main basis. The bond spreads in the two level market are not much studied. Even in the study of the bond issue margin, it is based on the analysis of the influence of the single factor and the difference of interest, and the lack of a comprehensive analysis of the factors such as macro and micro, bond design and so on. In the second part, this civilization confirms the concept of city investment debt, city investment company and other related concepts, and collate the existing research results through reading literature, as the theoretical background of this article. This paper mainly uses theoretical analysis, descriptive statistical analysis, principal component analysis, stepwise regression analysis and other research methods, and the research methods, data sources, samples in the third part. This selection and other problems are explained.
The historical origin and development status of the city investment debt in China is introduced in the fourth part of this article. Up to now, the city investment debt in our country has mainly experienced three stages of development, and it was the starting stage before 2005. In this period, the development of urban investment debt was restricted by relevant laws and regulations and the whole macro economic situation, and the whole was in the exploration stage. The number of line size and the number of issuing periods were relatively small; after 2005, the city investment debt entered a rapid development period. In the period of 2005-2008 years and three years, the number of issuing periods and the scale of issuance had a rapid growth. After 2009, the development of the city investment debt has entered into the world economic situation, the national positive macroeconomic policy and the reform of the enterprise debt issuance system. The main reason of this article is the explosive growth period after 2009. The main reason is that the city investment debt is distributed more in this period, and it is guaranteed from the data collection and the reliability of the results.
In the fifth part of this paper, the analysis of the influence factors on the spread margin of the issuance of urban investment debt is analyzed from macro factors and micro factors. In macro factors, the theoretical analysis and simple analysis are found through the factors such as gross domestic product, money supply, consumer price index, corporate bond, risk free interest rate structure and other factors. There is a negative correlation between the gross domestic product (GDP), the corporate bond index, the riskless interest rate structure and the spread margin of the city investment debt, and the consumer price index is negatively correlated. After the analysis of two aspects of the subject and the design of the bond, in its own design factors, the scale of issuance, the period of issuance, the type of interest rate have a significant impact on the spread, and in the main factors of the issue, the credit rating, the scale of the assets, and the related financial data have a significant impact.
Through the simple analysis of the difference between the macro and microcosmic factors and the spread margin of the city investment debt issue, in the sixth part, this paper tries to establish the model of the influence factors of the distribution difference between the city investment debt and the existence of the multiple collinearity among the variables, so this part uses the principal component analysis and the stepwise regression analysis to eliminate two methods respectively. The principal component analysis model (Model1) and the stepwise regression model (Model2) are established between the variables. Through the analysis and comparison of the two models, it is found that in the model, the main factor of the debt issuance is the credit level, the asset scale, the bond design factor is the interest rate type and the issuing period. The consumer price index and the debt index are significant factors in the macro factors. The distribution difference prediction is carried out with the obtained model, and the goodness of fit is compared. The two model shows that the R square of the regression equation of Model2 is greater than that of Model1, and the fitting of model 2 is better.
Finally, due to the lack of theoretical and practical ability of the author, there are many shortcomings in this paper, such as the inadequacy of factors, such as the inability to take the local government factors into consideration, and the lack of consideration of the liquidity factors of bonds, so the article is further improved.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F812.5;F283

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