打破同业兑付对金融债发行定价的影响——基于包商银行破产事件的实证研究  

The Impact of Breaking Rigid Payment on the Issuance Pricing of Financial Bonds: an Empirical Study Based on the Baoshang Bank Event

作　　者：易卓睿 陈忠阳[1] 赵红梅 Yi Zhuorui;Chen Zhongyang;Zhao Hongmei

机构地区：[1]中国人民大学财政金融学院,北京100872 [2]南开大学经济学院,天津300191

出　　处：《证券市场导报》2022年第4期69-79,共11页Securities Market Herald

基　　金：贵州省哲学社会科学重大专项课题《新时代贵州绿水青山变金山银山的重点任务和实现路径研究》(21GZZB14);中国人民银行天津分行“气候变化的财政金融风险研究”的资助项目。

摘　　要：包商银行破产冲击了投资者对金融债隐性担保的预期,本文研究打破同业兑付是否系统性改变同业存单的发行定价。研究发现,包商银行破产后,尽管市场提升了对信用风险的感知,发行主体的评级和银行类型在同业存单定价过程中的作用得到增强,但流动性分层和信用分层的现象也变得更加明显,发行人和债项本身等基本面信息对发行利差的解释力度下降,这事实上恶化了同业存单市场的定价效率。同时,异质性分析表明包商银行事件会加剧中小银行间的信用分层现象。本文提出完善信用风险转移机制、构建以风险和问题为导向的信息披露制度、丰富央行流动性监测指标等政策建议,以改进债券市场的风险定价效率。The takeover of Baoshang bank broke the market’s long-term expectation of interbank rigid payment for financial bonds. This paper examines whether the Baoshang bank event systematically affects the issuance pricing of interbank negotiable certificates deposit(NCDs). The empirical conclusion shows that, after the Baoshang bank event, the market’s perception of credit risk has indeed increased, and the role of the issuer’s rating and bank type in the pricing process of NCDs has been enhanced, but the credit and liquidity segmentations have also become more obvious, and the explanatory power of the fundamental factors of issuers and debts for the spread has decreased, which effectively worsens the pricing effciency of NCDs. In addition, the heterogeneity analysis shows that the Baoshang bank event will also aggravate the phenomenon of credit segmentation within small-and medium-sized banks. This paper puts forward policy suggestions such as improving the credit risk transfer mechanism, building a risk and problem-oriented information disclosure system, and enriching the liquidity monitoring indicators of the central bank, so as to improve the effciency of risk pricing in the bond market.

关 键 词：包商银行破产 同业存单 流动性分层 信用分层 金融债定价 

分 类 号：F830.91[经济管理—金融学]