债券违约是否存在区域传染?——基于中国债券市场融资成本视角  

Is There a Regional Credit Risk Contagion Caused by Bond Default?——Empirical Evidence from Credit Spread of Bonds Issuing

作　　者：杨希雅 石宝峰[2,3] YANG Xi-ya;SHI Bao-feng(Southern Asset Management,Shenzhen 518000,China;College of Economics and Management,Northwest A&F University,Yangling 712100,China;Research Center on Credit and Big Data Analytics,Northwest A&F University,Yangling 712100,China)

机构地区：[1]南方基金管理股份有限公司,广州深圳518000 [2]西北农林科技大学经济管理学院,陕西杨凌712100 [3]西北农林科技大学信用大数据应用研究中心,陕西杨凌712100

出　　处：《运筹与管理》2022年第11期186-193,共8页Operations Research and Management Science

基　　金：国家自然科学基金项目(72173096,71873103,71731003);中央农办农业农村部乡村振兴专家咨询委员会软科学研究项目(202122);西北农林科技大学仲英青年学者项目(2021-04)。

摘　　要：2018年以来中国债券市场违约规模攀升,累计违约金额超2900亿元。债券违约后的负面影响受到投资者、发行人乃至监管部门关注。本文以北京、上海、辽宁等八个辖区为例,选取2016~2019年债券违约及债券发行数据,通过构建违约事件对债券发行价格影响因素模型,分析了债券违约的区域传染效应。研究发现:债券违约引发的信用风险存在区域传染性,主要体现为债券发行前若发行人所属辖区存在违约事件将推升债券融资成本;区域内的传染效应与违约时间距离负相关,当时间距离增长时,传染效应变弱,甚至消失;债券违约风险对不同性质企业的传染效应不同,民营企业受影响尤为显著。Since 2018,the number of bond default has risen rapidly.The cumulative amount of bond default has already exceeded 290 billion.As Chinese bond market is increasingly exposed to credit risk,understanding risk of default is urgent.This paper uses eight districts as examples to investigate the regional credit risk contagion effect caused by bond default from issuing pricing perspective.Based on a dataset of bond defaults and bonds issued in 2016~2019,the authors construct a factor affecting model and get following conclusions.The credit risk caused by bond default is regionally contagious,which is confirmed by the fact that if there is a credit event in the same district before the enterprise issues a bond,the financing cost of that corporate bond will be significantly increased.But this contagion effect will be reduced,even lost,with increasing time distance between the bond issuance and the default.Besides that,the credit risk contagion effect is different among different nature enterprises.Private enterprises are particularly affected by the credit risk contagion.

关 键 词：债券违约 区域传染 融资成本 债券发行价格 

分 类 号：F812.5[经济管理—财政学] F224.9