我国中期票据发行利差的影响因素研究

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我国中期票据发行利差

的影响因素研究

摘要

最早的中期票据出现于 1972 年的美国，这种融资工具的期限介于商业票据和

公司债券之间，因而被形象地称作“中期票据”。我国作为新兴市场国家，和英

美等金融发达国家存在一定的差距，直到 2008 年 4 月中国人民银行颁布了一系列

规范性文件，我国中期票据业务才正式建立。由于中期票据具有流动性高、信息透

明、融资成本低、形式灵活等优点，中期票据一经推出便受到理论界和实务界的追

捧和欢迎。中期票据的迅猛发展，一方面拓宽了企业的融资渠道，提高了直接融

资比例，降低了融资成本，改善了企业的资本结构。另一方面也丰富了资本市场

产品结构，完善了债务融资工具的期限品种，为投资者提供了更多的风险偏好选

择机会，从而有助于银行间债券市场的良性运行。

目前我国中期票据发行采用的是簿记建档机制，中期票据发行利率等于基准

利率与利差之和。本文以同期限的国债利率作为基准利率研究中期票据发行利差

的影响因素。研究中期票据发行利差的影响因素,有助于发行人和承销商更加合理

地对中期票据进行定价,有利于帮助中期票据的投资者判断中期票据的实际投资

价值,还能为政策制定者提供合理的建议。为此,本文运用理论分析和实证检验相

结合的方法研究了中期票据发行利差的影响因素。

本文的主要内容如下:首先,为了更好的借鉴前人的研究成果，本文先对国内

外有关中期票据方面的研究做文献综述，分述国内外研究现状。其次，介绍中期

票据的相关概念、发展历史和银行间债券市场的现状。从概念上界定了中期票据和

发行利差的概念，阐明选择将中期票据发行当天同期限国债收益率作为发行利差

基准利率的原因。这部分还重点介绍了中期票据的发行机制并与其他发行机制做

了比较。再次,确定影响中期票据发行定价的因素,并收集数据，从理论上简单分

析这些因素对发行利差的影响。最后,建立实证模型验证中期票据发行利差的影啊

因素。

实证结论表明:发行主体的信用评级、发行规模、中期票据信用评级、通货膨胀

企业性质、二级市场流动性、发行期限、GDP 增速、发行人所属行业对中期票据的发

行定价有显著影响，其中，企业性质和流动性对中期票据发行利差的影响与理论

预期相反，本文也对该结果做了进一步分析。企业性质与发行利差的关系与预期

不符是由于发行中期票据的国有性质的企业的主体评级和债项评级级别都较低，

而主体评级和债项评级对发行利差的影响要远大于企业性质对发行利差的影响，

所以导致国有性质企业的发行利差较高。而流动性对发行利差的影响并没有像理

论预期一样大，流动性没有表现出与发行利差的负相关性，实证结果表明流动性

指标与发行利差之间的相关程度不高，说明我国中期票据二级市场流动性对一级

市场发行利差的影响不大。其他因素的实证结果与理论预期相一致。

本文的研究有以下三点值得肯定:首先，文章的数据涵盖了从 2008 年 4 月中

期票据推出到 2013年 10 月的大量原始数据。相对于之前对中期票据的研究，本文

的数据全面且时间跨度长。其次，文章采用与国外做法一致的国债收益率作为定

价的基准利率，采用这一基准利率受到学术界的广泛认可。最后，文章利用实证

数据验证了中期票据发行定价的各类宏观和微观层面的影响因素，研究结果对中

期票据的发行者、承销商、投资者和监管者都具有一定的参考价值。

但是，文章有的方面还值得进一步改进。基准利率的选取方面，从目前的实

际情况来看，中期票据发行利率最值得参考的利率是交易商协会指导利率，但本

文考虑到交易商协会指导利率只是一种过渡性质的制度安排，在实证建模时没有

采取交易商协会指导利率作为基准利率，而采取同期限国债收利率作为参考。研

究模型方面，本文的模型较为简单，如果条件允许可以改进模型对中期票据的影

响因素进行研究。在对中期票据发行利差的影响因素进行考虑时本文尽可能全面

但难免有疏漏，研究因素可以有不同的侧重点，随着理论实践的不断完善，相应

的指标体系也会更加健全。

关键词: 银行间债券市场中期票据发行利差

ABSTRACT

In 1972,The first medium-term notes appeared in the United States. The term of

this kind of financing tool is between commercial paper and corporate bonds, therefore,

it was vividly called "medium-term notes". As emerging markets, the development of

medium-term notes in our country is far behind financial developed countries, such as

Britain and America. Until April 2008 , the people's bank of China had issued a series

of regulatory documents and medium-term notes business was formally established in

our country. Because the medium-term notes has high liquidity, transparency, the

financing advantages of low cost, flexible form, medium-term notes once had been a

favourite tool. The rapid development of medium-term notes had an effect on both the

enterprise and the capital market. On the one hand ,it broaden the financing channels,

increased the proportion of direct financing, reduced the financing cost, improved

enterprise's capital structure. On the other hand, it enriched the capital market products

structure, improved the varieties of the duration of debt financing tools, provided

investors with more risk preference choices, and helped the benign operation of the

inter-bank bond market.

At present, the medium-term notes issued pricing mechanism is Book-building

mechanism. The issued rates of medium-term notes is equal to the sum of benchmark

interest rates and spreads. This paper researched the influence factors of the medium-

term notes issued spread, with the national debt rate as the benchmark interest rate. The

research of the influence factors of the medium-term notes issued spreads can contribute

to more reasonable price ,help investors judge the actual investment value of medium-

term notes, provide reasonable Suggestions for policy makers. To this end, the paper

applies the method of combining theoretical analysis and empirical test to study the

influence factors of medium-term notes issued spreads.

The main content of this paper is as follows: first, in order to draw lessons from the

research achievements of predecessors, this article reviewed the relevant studies of

medium-term notes. Secondly, this paper introduced the related concept of medium-

term notes, development history and the present situation of the inter-bank bond market.

In this part, it defined the medium-term notes and the interest spread and clarified the

reason for choosing the benchmark interest rate on government bonds as the interest

spread. This part also introduced the medium-term notes issued mechanism and the

comparison with other distribution mechanism. Again, the writer determined the factors

that influence the medium-term notes issued pricing , collected the data, theoretically

analyzed the impact of these factors on the interest spread. Finally, this paper

established the empirical to inspect these factors’ influence on the interest spread.

The empirical results indicate that: the main credit rating, issuance, debt rating,

inflation, enterprise properties, the secondary market liquidity, release period, GDP

growth, the industry factor has remarkable effect on the issued prices of the medium-

term notes. Among them, the influence of enterprise properties and liquidity on the

medium-term notes issued spreads is contrast to the expection . The paper also made

further analysis of the results. The inconsistent relationship between enterprise nature

and interest spread is due to both the main credit rating and the debt rating of state-

owned enterprises are lower than other enterprises. Meanwhile the influence of main

credit rating and debt rating on interest spread is greater than the influence of enterprise

nature on it. The above two points lead to higher spreads of state-owned enterprises.

Liquidity’s impact on interest spread is smaller than expected. The empirical results

show that the relation degree between liquidity and the interest spread is not high. This

shows that China's medium-term notes’ liquidity in the secondary market has little

effect on the interest spread in the primary market. Other factors is consistent with the

expected.

In this paper, the research has the following three advantages. First of all, the

article data covers from April 2008 to October 2013, it is a large number of raw data.

Relative to the previous study of medium-term notes, in this paper, the data is ful and

has a longer time span. Relative to the previous study of medium-term notes, in this

paper, the data fully and long time span. Secondly, in accordance with foreign practices,

the article uses the yields on government bonds as the benchmark interest rate, this rate

is widely accepted by academic circles. Finally, the article inspect the influence factors

of the medium-term notes issued pricing. The results of the medium-term notes issuers,

underwriters, investors and regulators have the certain reference value. The results

provide certain reference value for the issuers, underwriters, investors and regulators.

But three aspects are worth further improvement. The first Problem is the selection

of benchmark rate, in the current situation, for MTNs issuing coupon rate the most

valuable reference guide interest is the interest released by National Association of

Financial Market Institutional Investors(NAFMII).This approach takes into account the

market differences between domestic Primary market and secondary market the reality

of dual track interest system.So in the empirical modeling reference guide interest rate

has not been taken as the benchmark interest rate, while taking the yields on

government bonds with the same Period as the reference. The second problem is that the

model is simple, if conditions allow ,you can improve model to study the influence

factors of medium-term notes. The last question is there may be omissions. Different

Researchers can have different priority factors. With the constant improvement of the

theory and the practice, the corresponding index system will also be more robust.

Key Words: Inter-bank Bond Market，Medium-Term Notes，Spread

目  录
摘  要
ABSTRACT
第一章 绪论......................................................................................................................1
§1.1 研究背景............................................................................................................1
§1.2 研究意义............................................................................................................3
§1.3 国内外文献综述................................................................................................3
§1.3.1 国外文献综述..........................................................................................3
§1.3.2 国内文献综述..........................................................................................5
§1.4 研究的内容及框架............................................................................................9
§1.4.1 研究的内容..............................................................................................9
§1.4.2 论文的研究思路和框架..........................................................................9
§1.5 本文的创新与不足..........................................................................................10
第二章 中期票据相关概念和发展历史........................................................................12
§2.1 中期票据的定义、优势和风险......................................................................12
§2.1.1 中期票据的定义....................................................................................12
§2.1.2 中期票据作为债务融资工具的优势....................................................12
§2.1.3 中期票据的风险....................................................................................14
§2.2 中期票据发行利差的含义..............................................................................17
§2.3 债券发行定价机制..........................................................................................18
§2.3.1 协议定价发行机制................................................................................19
§2.3.2 公开招标机制........................................................................................19
§2.3.3 簿记建档机制........................................................................................20
§2.3.4 两种竞价发行方式的比较....................................................................21
§2.4 中期票据的发展历史......................................................................................22
§2.4.1 中期票据的国外发展历史....................................................................22
§2.4.2 中期票据在我国的发展历史................................................................23
第三章 我国银行间债券市场现状................................................................................26
§3.1 债券市场格局..................................................................................................26
§3.2 中期票据发行人..............................................................................................27

§3.3 信用评级机构..................................................................................................29
§3.4 承销商..............................................................................................................30
§3.5 我国中期票据及其发行市场的特点..............................................................31
第四章 中期票据发行利差的影响因素分析................................................................34
§4.1 发行人外部影响因素......................................................................................34
§4.1.1 宏观经济增长状况................................................................................34
§4.1.2 通货膨胀率............................................................................................35
§4.2 发行人内部影响因素......................................................................................36
§4.2.1 企业性质及所属行业............................................................................36
§4.2.2 主体信用评级.......................................................................................................37
§4.3 中期票据的其他特征对发行利差的影响......................................................38
§4.3.1 发行规模................................................................................................38
§4.3.2 发行期限................................................................................................................39
§4.3.3 二级市场流动性....................................................................................39
§4.3.4 中期票据信用评级................................................................................40
第五章 中期票据发行利差影响因素的实证分析........................................................42
§5.1 数据采集与处理..............................................................................................42
§5.2 模型的选择......................................................................................................42
§5.3 变量的选取和变量间的预期相关关系..........................................................45
§5.4 中期票据发行利差影响因素分析的实证方法简介......................................47
§5.5 中期票据发行利差影响因素的实证回归结果..............................................47
§5.6 回归结果分析..................................................................................................49
第六章 研究结论及政策建议........................................................................................53
§6.1 研究结论..........................................................................................................53
§6.2 对中期票据发行的参与者和政策制定者的相关建议..................................56
参考文献.........................................................................................................................60
在读期间公开发表的论文和承担科研项目及取得成果.............................................63
致 谢................................................................................................................................64

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摘要：

我国中期票据发行利差的影响因素研究摘要最早的中期票据出现于1972年的美国，这种融资工具的期限介于商业票据和公司债券之间，因而被形象地称作“中期票据”。我国作为新兴市场国家，和英美等金融发达国家存在一定的差距，直到2008年4月中国人民银行颁布了一系列规范性文件，我国中期票据业务才正式建立。由于中期票据具有流动性高、信息透明、融资成本低、形式灵活等优点，中期票据一经推出便受到理论界和实务界的追捧和欢迎。中期票据的迅猛发展，一方面拓宽了企业的融资渠道，提高了直接融资比例，降低了融资成本，改善了企业的资本结构。另一方面也丰富了资本市场产品结构，完善了债务融资工具的期限品种，为投资者提供了更多的风险...

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