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.
作者
邱冬阳
曹亚飞
邓璇
Qiu Dongyang;Cao Yafei;Deng Xuan(School of Economics and Finance,Chongqing University of Technology,Chongqing 400054,China)
出处
《上海经济》
CSSCI
2018年第4期90-105,共16页
Shanghai Economy
基金
国家社科基金重点项目"基于大数据+深度学习的中国金融市场波动性及预警机制研究"(17AJY028)
