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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145865


    Title: 中資美元債信用利差決定因素分析
    The Determinants of Credit Spread in Chinese Dollar Bond
    Authors: 劉思霓
    Liu, Szu-Ni
    Contributors: 張興華
    Chang, Hsing-Hua
    劉思霓
    Liu, Szu-Ni
    Keywords: 中資美元債
    信用利差
    債券定價
    Date: 2023
    Issue Date: 2023-07-06 16:48:03 (UTC+8)
    Abstract: 本研究實證 2012 年至 2022 年影響中資美元債信用利差表現的因 素，因中資美元債市場逾半以無信評發行，因此信用評級無法作為中資美元債信用利差評析的良好參考指標，故本文除納入總體變數外， 亦選納數個個體企業財務指標，以完善中資美元債市場信用利差的影響因素分析。
    本文模型選用的影響因子可區分為總體與個體變數，其中總體變數選取：中國十年期國債、滬深 300 指數收益率、人民幣無本金外匯交割期貨，而個體變數則選取：債券發行量、彭博流動性分數、債券期限、債券評級、產業類別、債券發債主體性質、發債企業資產規模、發債企業資產負債率。用以上 11 個因子作為自變數、債券信用利差 作為應變數進行多元迴歸分析，探討各個變數與信用利差之間的關係。
    研究結果顯示：(1) 中國十年期國債、人民幣無本金外匯交割期貨、滬深 300 指數收益率、發債企業資產負債率對中資美元債信用利差影響顯著為正；彭博流動性分數、發債企業資產規模、債券期限對中資美元債信用利差影響顯著為負。過去文獻用債券規模衡量流動性表現，惟其對中資美元債信用利差影響不顯著，因此本文創新引入彭博流動性分數指標，以更好地衡量流動性溢酬；(2) 不同信評的債券中，有信評債券統計結果皆顯著，且信評等級越高之債券，信用利差越低；惟無評級債券統計結果不顯著，且單獨進行多元回歸分析可發現，中國十年期國債、信評等級的統計顯著性皆有所下降，而債券發債主體性質的統計顯著性大幅上升，主要因無評級發債企業以公共 建設、城投等具政府背景的企業為主，不願揭露財務資訊以取得信評， 而投資人對具國企背景之債券有強支付預期，使「發債主體性質」在無信評債券評價中成為重要影響因素；(3) 不同產業的債券中，地產債自 2020 年房市政策收緊以來，違約事件頻傳，信用利差大幅高於其他產業，而金融、城投債則在產業重要性與政策支持下，信用利差壓縮至較低水平；(4) 債券期限對中資美元債信用利差的影響顯著為負，顯示當債券存續期間越長，則信用利差越低，推測或因以下三大理由：可通過監管並發行長債之企業本身體質較佳；債券發行期限越 長，需對外揭露的背景資訊越多，使資訊不對稱程度縮窄；債券發行時點的融資環境比存續期間更為重要。
    This study examines the factors affecting the credit spread of Chinese-dollar bonds from 2012 to 2022 by multiple regression analysis. The factors are: China 10-year government bond yield, CSI 300 index return, RMB NDF, bond volume, LAQ score, maturity, rating, industry category, bond issuer nature, asset scale and debt-to-asset ratio.
    The results show that: (1) China 10-year government bond yield, RMB NDF, CSI 300 index return, and debt-to-asset ratio have a positive impact on the credit spread, while LAQ score, asset scale, and maturity have a negative impact. Also, this paper innovatively introduces LAQ score indicator to better measure liquidity premium. (2) The higher the credit rating, the lower the credit spread. However, the statistical results of unrated bonds are not significant. Besides, it is found that the statistical significance of China 10-year government bond and credit rating has decreased, while the statistical significance of the nature of the issuing entity of bonds has increased significantly. This is mainly because unrated issuing enterprises are mainly government-backed enterprises, who are unwilling to disclose financial information to obtain credit ratings. (3) Real estate bonds have seen a high frequency of default events and a significantly higher credit spread since the tightening of housing policies in 2020, while the credit spread of financial and urban investment bonds has been compressed to a lower level under the support of industry importance and policies. (4) Bond maturity has a significant negative impact on the credit spread. This may be due to three main reasons: enterprises that can issue long-term bonds through regulation have better business conditions; the longer the bond`s maturity, the more background information needs to be disclosed, narrowing the degree of information asymmetry; and the financing environment at the time of bond issuance is more important than the duration of the bond.
    Reference: 1. 王靖軒(2020)。《國際因素對中資美元債定價的影響》，上海外國 語大學金融學碩士論文。
    2. 李存修、陳姿利(2013)。《點心債券和中國公司債券信用利差的影 響因素》，財團法人金融研訓院。
    3. 邵溯帆(2020)。《中資企業境外美元債定價機制研究》，上海財經 大學金融學碩士論文。
    4. 侯永順(2019)。《中資美元債海外融資成本探討》，國立中央大學 財務金融學系碩士論文。
    5. 姚潤萌(2021)。《中資美元債發行利差的影響因素研究》，山東財 經大學金融學碩士論文。
    6. 范龍振、張處(2006)。《中國債券市場債券回報率與宏觀經濟變量 關係的實證分析》，上海復旦大學管理學院碩士論文。
    7. 常雅丹(2021)。《中資美元債價格影響因素研究》，華中師範大學 金融學碩士論文。
    8. 郭泓、武康平(2005)。《債券市場流動性及其相關問題研究》，西 南民族大學學報。
    9. 謝一飛(2015)。《從Merton結構化模型看中國信用利差的特殊性》， 中國人保資產管理股份有限公司。
    10.顏琪(2012)。《中國大陸公司債券信用利差決定因素分析》，國立 政治大學金融學系碩士論文。
    11.中國中金公司(2021)。《中資美元債:與境內信用債的平行世界》。
    12.Altman, E.(1989). “Measuring Corporate Bond Mortality and Performance”, Journal of Finance, 909-922
    13.Black, F. and Cox, J.C.(1976).“Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance, 31, 351-367.
    14.E. Philip Jones, Scott P Mason and Eric Rosenfeld(1984). “Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation”, Journal of Finance, Vol.39, issue 3, 611-25
    15.Fischer Black, Myron Scholes(1973). “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, Vol. 81, No.3, May-Jun 1973, 637-654
    16.Longstaff, F. and Schwartz(1995). “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt”, Journal of Finance, 50, 789-819
    17.Madan, Dilip and Unal(2000). “A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads”, The Journal of Financial and Quantitative Analysis, Vol.35, No. 1, Mar 2000, 43-65
    18.Robert C. Merton(1973). “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, November 1973
    Description: 碩士
    國立政治大學
    金融學系
    110352024
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110352024
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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