公司债市场信用违约风险的传染效应与控制机理  

Contagion Effect and Control Mechanism of Default Risk in Corporate Bond Market

作　　者：吴涛 文梦悦 贺立龙[2] WU Tao;WEN Meng-yue;HE Li-long

机构地区：[1]重庆工商大学金融学院,重庆400067 [2]四川大学经济学院

出　　处：《金融论坛》2021年第9期26-35,69,共11页Finance Forum

基　　金：国家社科基金项目“经济新常态下中国债券市场风险控制研究”阶段性研究成果(16XGL005);重庆工商大学研究生创新科研项目“公司债市场信用违约风险的传导机制与传导效应研究”(yjscxx2020-094-80)。

摘　　要：本文基于2014年1月-2020年9月公司债市场信用违约与一级市场信用利差省级月度面板数据,运用固定效应与中介效应模型,分析公司债违约风险传染效应。发现:(1)公司债违约风险在公司债市场内部传染并产生结构化定价效应,区域商业银行投债机制、政府兜底机制是重要的风险中介传导机制;(2)不同类型、信用等级、区域的公司债发行价格不同程度地受违约风险事件影响;(3)公司债违约事件所具有的特征也会影响公司债市场发行价格体系。Based on the provincial monthly panel data of credit default and primary market credit spread in corporate bond market from January 2014 to September 2020,this paper analyzes the contagion effect of corporate bond default risk by using fixed effect and intermediary effect model.It is found that,(1)the default risk of corporate bonds spreads within the corporate bond market and produces a structured pricing effect,and the bond investment mechanism of regional commer-cial banks and the government guarantee mechanism are important risk intermediary transmission mechanisms;(2)the issuing prices of corporate bonds of different types,credit grades and regions are affected by default risk events to varying degrees;(3)the characteristics of corporate bond default events will also affect the issuing price system of corporate bond market.

关 键 词：公司债市场 信用违约风险 发行价格 信用利差 传染效应 

分 类 号：F832.51[经济管理—金融学]