失信风险传染会影响债券定价吗?--基于担保网络大数据的实证研究  

Does Dishonesty Risk Contagion Affect Bond Pricing?An Empirical Study Based on Guarantee Network Big Data

作　　者：王雷[1] 李晓腾 张自力 赵学军[2] WANG Lei;LI Xiaoteng;ZHANG Zili;ZHAO Xuejun(Guanghua School of Management,Peking University;Harvest Fund Management)

机构地区：[1]北京大学光华管理学院,北京100871 [2]嘉实基金管理有限公司,北京100020

出　　处：《金融研究》2022年第7期171-189,共19页Journal of Financial Research

基　　金：中国博士后科学基金(2020M671061)的资助。

摘　　要：在债券定价研究中不仅应该考虑企业自身的信用风险,还应该考虑相关网络组织的传染风险。本文基于43万笔非金融企业间的担保数据,构建了企业信用担保网络,发现失信风险作为一种广义的信用风险,在担保网络中具有传染效应,该传染效应能够影响债券的信用利差。企业的失信行为产生了三类传染效应,一是直接传染效应,无论是发债主体的担保人出现失信行为,还是被担保人出现失信行为,都会引起发债主体的信用利差上升;二是局部感染效应,如果局部担保网络中失信主体的占比提升,可能引起投资者对发债主体的“团体处罚”,导致信用利差上升;三是全局扩散效应,失信信息沿担保网络向整个市场扩散,导致债券信用利差上升。从企业所有制来看,民营企业主要受微观的直接传染效应和中观的局部感染效应影响;而国有企业主要受全局扩散效应影响;被担保人的失信风险对两类企业都有显著影响。失信风险传染效应会降低企业的再融资能力,其中局部感染效应导致企业次年的借款融资额下降,全局扩散效应导致企业次年的债券融资额下降。The economic connections between enterprises result in tightly linked networks.Therefore,a corporation's dishonesty risk is not independent,but has a contagion effect in the surrounding corporate network.A credit guarantee network is an important medium for credit risk contagion.Extensive credit guarantee networks have been established among domestic enterprises.When an enterprise experiences dishonesty risk,the risk spreads along the guarantee network to the surrounding enterprises,which is a complex network dynamics process.However,traditional economic tools cannot effectively analyze this process;risk monitoring and prevention can be more effective through the application of big data and artificial intelligence.Traditional bond credit research,whether it uses a structured or parsimonious model,holds that the credit spread of a corporation depends on its own business conditions,ignoring contagion effects among corporate networks.There have been few studies of the impact of dishonesty contagion on bond credit risk,and the following questions remain unanswered:Are bonds that have not incurred dishonesty risk affected by dishonesty risk contagion from other entities?If a dishonesty risk contagion effect exists,does it have the same impact on enterprises with different ownership structures?The guarantee network is a credit lending network among enterprises,and it also represents the contagion path of the dishonesty risk.Dishonesty risk,as a broad credit risk,has a contagion effect in the guarantee network,affecting the pricing of credit bonds.Three types of dishonesty risk contagion effects are identified in this research:a direct effect,a local effect,and a global diffusion effect.Based on 433000 pieces of guarantee data from non-financial enterprises,this paper constructs a corporate credit guarantee network month by month,including 5,578 bond issuers.It also uses data of defaulters disclosed by the Supreme People’s Court and bond default data to identify the dishonest behaviors of enterprises.The empirical res

关 键 词：担保网络 传染风险 信用利差 风险管理 债券定价 

分 类 号：TP311.13[自动化与计算机技术—计算机软件与理论] F832[自动化与计算机技术—计算机科学与技术] F275[经济管理—金融学]