近几年实质性的债券违约事件频繁发生，本文试图找出这些债券违 约的影响因素并研究违约对市场产生的影响。 本文以我国已发生违约的债券为研究对象，通过实证研究、案例分 析、事件分析以及调查问卷的方法，对我国债券违约的成因以及市场影 响进行了研究，并从债券发行、债券投资和债券监管三个方面提出具体 建议。 首先，本文从债券违约的微观因素和宏观因素两个角度出发，分析 总结了债券违约的影响因素。微观方面，本文以2017年1月至2018年 8月主体首次违约债券28只以及2017年1-6月所有一级新发债券2094 只为样本，运用Logistic模型进行实证研究得出：企业性质、主体评级、 经营性现金流净额/总资产、债券期限、资产负债率，这5个指标对债券 是否违约影响显著。同时，运用了案例分析法对违约事件中的特殊事件 加以补充说明。外因方面，本文通过分析GDP增速与去杠杆政策的影响， 得出宏观经济与监管政策是影响债券违约的重要因素。 其次，本文通过事件分析法、历史回顾和调查问卷的形式，分析研 究了违约对债券市场的影响，发现违约会造成信用利差走阔以及投资者 风险偏好降低。 最终，本文结合债券违约的原因和对市场的影响，给出具有现实意 义的意见和建议。对于发行人而言，有利于发行人进行风险管理，避免 发生违约；对于投资者而言，有利于投资者进行投资决策和防范风险； 对于监管者而言，有利于监管者制定适宜的政策，提高事前规避风险， 事后管理风险的能力，以免出现系统性的金融风险。 关键词：债券违约，信用利差，宏观因素 ANALYSIS OF BOND DEFAULT FACTORS AND THE IMPACT OF DEFAULT ON THE MARKET ABSTRACT In recent years, substantial bond defaults occur frequently. This paper tries to find out the influence factor of these bond defaults and study the impact of defaults on the market. This paper takes the bonds that have defaulted in China as the research object. Through empirical research, case analysis, event analysis and questionnaire, it studies the causes and market impact of bond default in China, and puts forward specific suggestions from bond issuance, bond investment and bond supervision. Firstly, from the internal and external causes of bond default, this paper summarizes the influencing factors of bond default. In terms of internal factors, this paper takes 28 first default bonds from January 2017 to August 2018 and 2094 first-class new bonds from January 2017 to June 2017 as samples, and uses Logistic model to carry out empirical research. It draws the following conclusions: enterprise nature, subject rating, net operating cash flow/total assets, bond maturity and asset-liability ratio have significant impact on the default of bonds. At the same time, we use the case analysis method to explain the special factors in the event of bond defaults. In terms of external factors, this paper analyses the impact of GDP growth and de-leveraging policy, and concludes that macroeconomic and regulatory policies are important factors affecting bond default. Secondly, through the form of event analysis, historical review and questionnaire, this paper studies the impact of default on the bond market, and finds that default will lead to widening credit spreads and reducing investors' risk preferences. Finally, this paper gives practical opinions and suggestions based on the causes of bond default and its impact on the market. For issuers, it is helpful for issuers to manage risks and avoid default; for investors, it is helpful for investors to make investment decisions and prevent risks; for regulators, it is helpful for regulators to formulate appropriate policies, improve their ability to avoid risks beforehand and manage risks afterwards, so as to avoid occurrence of systemic financial risks. KEY WORDS: bond default, credit spreads, macroeconomic factors 目 录 第1章 前言 ............................................................................................................................................. 1 1.1 研究背景 ....................................................................................................................................... 1 1.2 研究意义 ....................................................................................................................................... 1 1.3 研究内容 ....................................................................................................................................... 2 1.4 研究方法 ....................................................................................................................................... 3 1.5 创新和不足 ................................................................................................................................... 3 第2章 文献综述 ..................................................................................................................................... 4 2.1 国外研究 ....................................................................................................................................... 4 2.1.1 结构化模型 ............................................................................................................................ 4 2.1.2 简化模型 ................................................................................................................................ 4 2.2 国内研究 ....................................................................................................................................... 4 2.2.1 违约成因分析 ........................................................................................................................ 4 2.2.2 宏观因素对信用利差的影响 ................................................................................................ 5 2.2.3 信用风险对信用利差的影响 ................................................................................................ 6 2.2.4 违约事件的影响及建议 ........................................................................................................ 6 第3章 我国债券市场的发展和现状 ..................................................................................................... 7 3.1 我国债券市场的发展 ................................................................................................................... 7 3.2 我国债券市场的现状 ................................................................................................................... 8 3.2.1 我国债券存续情况 ................................................................................................................ 8 3.2.2 我国债券市场违约现状 ...................................................................................................... 10 第4章 债券违约的成因分析 ............................................................................................................... 15 4.1 债券违约的微观因素分析.......................................................................................................... 15 4.1.1 债券本身及财务因素 .......................................................................................................... 15 4.1.2 特殊事件因素 ...................................................................................................................... 23 4.2 债券违约的宏观因素分析.......................................................................................................... 28 4.2.1宏观经济因素 ....................................................................................................................... 28 4.2.2监管政策因素 ....................................................................................................................... 29 第5章 违约对市场的影响 ................................................................................................................... 34 5.1 数据选取 ..................................................................................................................................... 34 5.2 从事件分析法看违约对市场的影响 .......................................................................................... 34 5.2.1基本原理 ............................................................................................................................... 34 5.2.2样本选择与实证分析 .....................................