中国PPP资产证券化定价影响因素的实证研究
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摘要
利率定价是资产证券化过程中的核心环节,对于PPP资产证券化尤为突出,合理的定价对PPP资产证券化参与各方的成本、收益及投资决策至关重要。本文应用基于无风险套利的PPP资产证券化产品定价模型,采取偏最小二乘回归分析方法实证分析了影响PPP资产证券化定价的因素。结果表明,宏观经济环境、基础资产质量和担保是影响其定价的主要因素。基于此,提出选择优质PPP项目来推动资产证券化,市场化运营以发挥增信的作用,建立地方政府担保约束性机制等对策建议。
Pricing is the core link in the process of asset securitization, especially for PPP asset securitization. Reasonable pricing is crucial for the cost, revenue and investment decision-making of different participants involved in the securitization. This paper builds a pricing model of PPP securitization products based on risk-free arbitrage, then uses the PLS method to study key factors of PPP securitization pricing interest rate. The results show that macroeconomic environment, quality of underlying assets and guarantee are the most important factors that affect the issue rate of PPP asset-backed securities. Based on this, we propose effective proposals such as Select high quality PPP project to promote asset securitization, using market-based operations to increase credit, and establishing local government guarantee binding mechanisms.
Pricing is the core link in the process of asset securitization, especially for PPP asset securitization. Reasonable pricing is crucial for the cost, revenue and investment decision-making of different participants involved in the securitization. This paper builds a pricing model of PPP securitization products based on risk-free arbitrage, then uses the PLS method to study key factors of PPP securitization pricing interest rate. The results show that macroeconomic environment, quality of underlying assets and guarantee are the most important factors that affect the issue rate of PPP asset-backed securities. Based on this, we propose effective proposals such as Select high quality PPP project to promote asset securitization, using market-based operations to increase credit, and establishing local government guarantee binding mechanisms.
引文
[1]褚晓凌,刘婷等.PPP项目资产证券化产品利差定价实证研究[J].地方财政研究,2017(10):13~18.
[2]戴国强,孙新宝.我国企业债券信用利差宏观决定因素研究[J].财经研究,2011,37(12):61~71.
[3]郭宁,安起光.PPP模式资产证券化定价研究——基于期权调整利差模型的分析[J].山东财经大学学报,2017,29(01):11~18+27.
[4]韩鹏飞,胡奕明.债券增信定价的实证研究——来自中国债券市场的经验证据[J].投资研究,2015(2):90~111.
[5]刘曦腾,杨大楷.我国资产证券化产品发行利率影响因素的实证分析——基于ABS和CLO信用利差差异的比较[J].东岳论丛,2016,37(11):162~168.
[6]罗荣华,刘劲劲.地方政府的隐性担保真的有效吗?——基于城投债发行定价的检验[J].金融研究,2016(04):83~98.
[7]齐天翔,葛鹤军等.基于信用利差的中国城投债券信用风险分析[J].投资研究,2012(1):15~24.
[8]沈红波,廖冠民.信用评级机构可以提供增量信息吗——基于短期融资券的实证检验[J].财贸经济,2014,35(8):62~70.
[9]汪莉,陈诗一.政府隐性担保、债务违约与利率决定[J].金融研究,2015(09):66~81.
[10]汪伟立.政府隐性担保与降低债券风险溢价——基于我国城投债的实证研究[J].宏观经济研究,2017(11):51~59.
[11]王芳,周红.担保方式效应与独立审计需求——基于中国债券市场的研究[J].会计研究,2015(07):71~78.
[12]王经绫,彭佼蛟等.PPP项目资产证券化政府债务性风险问题研究[J].证券市场导报,2017(09):4~11+18.
[13]王思远,余思勤等.我国港口资产证券化定价研究[J].技术经济与管理研究,2016(04):65~69.
[14]徐浩萍,杨国超.股票市场投资者情绪的跨市场效应——对债券融资成本影响的研究[J].财经研究,2013,39(02):47~57.
[15]严武,吴恒煜等.中国债务抵押债券定价模型及实证分析[J].广东金融学院学报,2011,26(03):34~45.
[16]赵程锦,潘小军.我国银行业信贷资产证券化的定价问题研究[J].上海金融,2016(05):90~95.
[17]赵静,方兆本.中国公司债信用利差决定因素——基于结构化理论的实证研究[J].经济管理,2011,33(11):138~148.
[18]赵旭.信贷资产证券化的违约风险分析[J].商业研究,2006(20):148~151.
[19]Jiang J X.Beating Earnings Benchmarks and the Cost of Debt[J].Accounting Review,2008,83(2):377~416.
[20]Faltin T O,Johnson K W et al..Issuer Credit Quality and the Price of Asset Backed Securities[J].American Economic Review,2010,100(2):501~505.
[21]Guo L.Determinants of credit spreads:The role of ambiguity and information uncertainty[J].North American Journal of Economics&Finance,2013,24(1):279~297.
[22]Kisgen D J.Credit Ratings and Capital Structure[J].Journal of Finance,2006,61(3):1035~1072.
[23]Lesmond D A.Corporate Yield Spreads and Bond Liquidity[J].Journal of Finance,2007,62(1):119~149.
[24]Van L A.Determinants of Euro Term Structure of Credit Spreads[J].Working Paper Research,2004,132(12):1303~1315.
[25]Vink D,Thibeault A E.ABS,MBS and CDO Compared:An Empirical Analysis[J].Mpra Paper,2008,14(2):27~45.
[2]戴国强,孙新宝.我国企业债券信用利差宏观决定因素研究[J].财经研究,2011,37(12):61~71.
[3]郭宁,安起光.PPP模式资产证券化定价研究——基于期权调整利差模型的分析[J].山东财经大学学报,2017,29(01):11~18+27.
[4]韩鹏飞,胡奕明.债券增信定价的实证研究——来自中国债券市场的经验证据[J].投资研究,2015(2):90~111.
[5]刘曦腾,杨大楷.我国资产证券化产品发行利率影响因素的实证分析——基于ABS和CLO信用利差差异的比较[J].东岳论丛,2016,37(11):162~168.
[6]罗荣华,刘劲劲.地方政府的隐性担保真的有效吗?——基于城投债发行定价的检验[J].金融研究,2016(04):83~98.
[7]齐天翔,葛鹤军等.基于信用利差的中国城投债券信用风险分析[J].投资研究,2012(1):15~24.
[8]沈红波,廖冠民.信用评级机构可以提供增量信息吗——基于短期融资券的实证检验[J].财贸经济,2014,35(8):62~70.
[9]汪莉,陈诗一.政府隐性担保、债务违约与利率决定[J].金融研究,2015(09):66~81.
[10]汪伟立.政府隐性担保与降低债券风险溢价——基于我国城投债的实证研究[J].宏观经济研究,2017(11):51~59.
[11]王芳,周红.担保方式效应与独立审计需求——基于中国债券市场的研究[J].会计研究,2015(07):71~78.
[12]王经绫,彭佼蛟等.PPP项目资产证券化政府债务性风险问题研究[J].证券市场导报,2017(09):4~11+18.
[13]王思远,余思勤等.我国港口资产证券化定价研究[J].技术经济与管理研究,2016(04):65~69.
[14]徐浩萍,杨国超.股票市场投资者情绪的跨市场效应——对债券融资成本影响的研究[J].财经研究,2013,39(02):47~57.
[15]严武,吴恒煜等.中国债务抵押债券定价模型及实证分析[J].广东金融学院学报,2011,26(03):34~45.
[16]赵程锦,潘小军.我国银行业信贷资产证券化的定价问题研究[J].上海金融,2016(05):90~95.
[17]赵静,方兆本.中国公司债信用利差决定因素——基于结构化理论的实证研究[J].经济管理,2011,33(11):138~148.
[18]赵旭.信贷资产证券化的违约风险分析[J].商业研究,2006(20):148~151.
[19]Jiang J X.Beating Earnings Benchmarks and the Cost of Debt[J].Accounting Review,2008,83(2):377~416.
[20]Faltin T O,Johnson K W et al..Issuer Credit Quality and the Price of Asset Backed Securities[J].American Economic Review,2010,100(2):501~505.
[21]Guo L.Determinants of credit spreads:The role of ambiguity and information uncertainty[J].North American Journal of Economics&Finance,2013,24(1):279~297.
[22]Kisgen D J.Credit Ratings and Capital Structure[J].Journal of Finance,2006,61(3):1035~1072.
[23]Lesmond D A.Corporate Yield Spreads and Bond Liquidity[J].Journal of Finance,2007,62(1):119~149.
[24]Van L A.Determinants of Euro Term Structure of Credit Spreads[J].Working Paper Research,2004,132(12):1303~1315.
[25]Vink D,Thibeault A E.ABS,MBS and CDO Compared:An Empirical Analysis[J].Mpra Paper,2008,14(2):27~45.