基于随机森林回归模型的城投债信用利差影响因素研究

Study on the Influencing Factors of Credit Spread of Municipal Bond Based on Random Forest Regression Model

我国的城投债在2008年到2014年间经历了快速的发展,通过研究城投债信用利差的影响因素来探究城投债是否还存在地方政府隐性担保现象以及城投债融资的市场化程度.通过梳理国内外对于信用利差影响因素的研究成果后,总结了较为全面的指标体系,并使用处理高维度样本、分类变量效果较好的随机森林回归模型来进行实证研究.结果表明城投债仍然存在较为明显的地方政府隐性担保现象,投资者比较看重城投债发行主体的背景;发债主体的财务指标对于信用利差有影响但相对较低.这说明目前国内城投债融资的市场化水平不高,仍需要进一步加大力度推动融资平台公司的市场化转型改制.

China’s municipal investment bonds experienced rapid development between 2008 and 2014.This paper studies the influencing factors of the credit spread of municipal investment bonds to explore whether there are still hidden guarantees of local governments and the degree of marketization of municipal investment bonds.After reviewing the research results of the factors affecting credit spread at home and abroad,this paper summarizes a more comprehensive index system based on previous studies,and uses random forest regression model that deals with high-dimensional samples and categorical variables to conduct empirical research.The empirical results indicate that there are still obvious hidden guarantees of local governments in municipal investment bonds.Investors pay more attention to the background of the issuance of municipal investment bonds.The financial indicators of bond issuers have an impact on credit spreads but relative lower,indicating that the current marketization level of domestic municipal investment bond financing is not high.Further efforts are needed to promote the market-oriented transformation and restructuring of financing platform companies.