担保品管理、质押式回购与信用债利差  

Collateral Management,Pledged Repo and Credit Bond Spreads

作　　者：彭俞超 贺钟慧 韩珣 黄志刚[1] Peng Yuchao;He Zhonghui;Han Xun;Huang Zhigang

机构地区：[1]中央财经大学金融学院 [2]北京第二外国语学院经济学院

出　　处：《宏观经济研究》2022年第7期35-52,共18页Macroeconomics

摘　　要：本文以2014年6月27日交易所债券质押式回购准入标准调整作为外生冲击,采用双重差分法识别质押回购对信用债利差的影响,并探究其作用机制。研究发现,准入标准提高会显著提升不再满足入库标准的信用债利差。机制在于,准入标准提升会弱化担保品在降低信用风险方面的“信号效应”,进而提高信用债利差。进一步分析表明,准入标准提高会导致违约溢价的提升,而对流动性溢价作用并不明显。拓展性分析表明,交易所回购准入标准提高对交易所债券市场的影响也会对银行间市场形成溢出效应。本文对于深化多层次资本市场、推动债券市场健康平稳发展等方面,具有较强的理论和现实意义。This paper identifies the impact of pledged repo on credit bond spreads and explores its mechanism of action using the adjustment of exchange bond pledged repo entry criteria on June 27, 2014 as an exogenous shock using a differences-in-differences approach. It is found that the increase in access criteria significantly raises the credit bond spreads that no longer meet the entry criteria. The mechanism is that the increase in access criteria weakens the ‘signaling effect’ of collateral in reducing credit risk, which in turn increases credit bond spreads. Further analysis shows that the increase in access criteria leads to a higher default premium, while the effect on the liquidity premium is not significant. An extended analysis shows that the impact of the increased access criteria for exchange repo on the exchange bond market also has a spillover effect on the interbank market. This paper has strong theoretical and practical significance for deepening the multi-level capital market and promoting the healthy and stable development of the bond market.

关 键 词：质押式回购 担保品管理 信用债利差 

分 类 号：F832.51[经济管理—金融学]