城投债定价策略研究——以“13粤垦债”为例.pdfVIP

摘要 1994 年起，我国实行分税制改革，为各级地方政府明确了财权事权。但随 着我国城市化进程的加快，地方政府用于基础设施建设的预算内资金严重不足。 随着资金缺口的逐步扩大，寻求外部融资成为地方政府推进城市基础设施建设、 促进地方经济发展的重要途径。通过实际情况可以看出，由地方政府融资平台公 司进行债权融资，对推动城市发展起到了积极作用。在城投债发行过程中，发行 定价成为投资者、发行人、承销机构的重要关注点，定价高低直接影响到发行人 的融资成本和投资人的获利空间，因而定价策略正确与否即为决定发行效果好坏 乃至决定发行成功失败的重要因素。 本文采用理论与实证相结合、方法与案例相结合的研究方法，并且在研究中 注重对数据的挖掘与分析，注重对比研究方法的使用。本文探究了城投债的产生 原因，划分了城投债的发展历程，分析了城投债的发行现状，并阐述了我国城投 债的意义。并且，本文对国际上债券定价常用的三种模型——传统回归模型、结 构化模型和简约模型进行了评述。在此基础上，结合我国城投债特点，确定使用 传统回归模型中的逐步回归法作为我国城投债的发行定价方法，结合实际工作分 析得到定价主要影响因素，通过对2012 至2013 年间发行的城投债进行实证研究 得出了城投债发行定价模型。本文运用定价模型对“13 粤垦债”进行发行定价 测算，并通过实务工作中常用的利差定价法对“13 粤垦债”进行定价分析，以 其作为对定价模型所得结果的印证，将理论模型运用于实际工作中。 关键词：城投债，发行定价，利差 I Abstract Since 1994, Chinas enforcement of sharing system clarified the fiscal power and administrative authority of local governments. However, as the urbanization process speeds up, the capital in budget for the infrastructure construction of the local governments become significantly insufficient. As this financial gap grows larger, searching for external financing has become the main approach to strengthen the city infrastructure construction and to promote the development of local economy. City financing platform, including various kinds of city investment companies, plays an active role in promoting the city development, according to experience. In the process of the city investment bond issuance, the issuing price become the focus of investors, issuers, and underwriters. Since direct offering price influences the financing cost of issuers and the profit of investors, whether the pricing strategy is proper or not will be the major factor for the success of the issuance. The thesis adapts the research methods which combines strategies and cases, theory and applications, emphasizing on data mining and analysis, focusing on the comparison methods. The the