债务风险传染的多重网络研究  

Research on the Multilayer Network of Debt Risk Contagion

作　　者：杨子晖 王姝黛[1,2,3,4] 李东承 冷铁成 YANG Zihui;WANG Shudai;LI Dongcheng;LENG Tiecheng(SUSTech Business School,Southern University of Science and Technology;School of Finance,Guangdong University of Foreign Studies;Lingnan College,Sun Yat-Sen University;School of Management,Harbin Institute of Technology)

机构地区：[1]南方科技大学商学院,深圳518055 [2]广东外语外贸大学金融学院,广州510006 [3]中山大学岭南学院,广州510275 [4]哈尔滨工业大学经济与管理学院,哈尔滨150001

出　　处：《金融研究》2023年第3期38-56,共19页Journal of Financial Research

基　　金：2021年度国家社科基金重大项目“‘双循环’新格局下我国金融风险演化及防控措施研究”(项目批准号:21&ZD114)的资助。

摘　　要：2020年以来,我国债券市场先后经历了AAA级债券违约、房企暴雷等风险事件。科学处置突发违约事件,对维护资本市场稳定与国家金融安全至关重要。在此背景下,本文使用债券信用利差构建债务风险传染的多重网络,并在综合考虑城投债与产业债,不同信用评级债券异质性的基础上,应用前沿的网络合成技术,考察债务风险的跨区域与跨行业传染。研究发现,我国中西部地区受制于较为薄弱的经济基础,在债券市场中具备较高的系统重要性。而人口密集、经济外向度较高的东部地区受突发公共卫生事件的影响较大,其在非线性产业债网络内的系统重要性出现上升。在产业债市场中,房地产部门已经成为最为重要的风险源。此外,本文的研究还表明,区域贸易是影响债务风险传染的重要因素,贸易关联主要通过产业债市场发挥作用。基于以上发现,本文对完善债务风险防范机制提出若干建议,从而为保证资本市场的平稳发展,发挥好金融服务实体经济的职能,提供政策参考依据。Since 2020,China's bond market has experienced unexpected defaults of AAA-rated bonds and defaults by real estate companies.This abnormal fluctuation in the bond market presents a huge threat to the stability of the financial system.In this context,the Report to the 20th National Congress of the Communist Party of China states that"we will reinforce the systems that safeguard financial stability,place all types of financial activities under regulation according to the law,and ensure no systemic risks arise."Thus,preventing systemic shocks caused by default events is crucial to ensuring the development of the capital market and the macroeconomy.We use the credit spreads of municipal investment bonds and enterprise bonds to construct multilayer networks of debt risk.We identify the source of turbulence in multilayer networks based on the leave-one-out method(Huéet al.,2019).Furthermore,considering the heterogeneity of the bond markets,we apply the latest network combination technology proposed by Bonaccolto et al.(2019)to integrate risk information in linear and nonlinear networks and examine the cross-regional and cross-industry contagion effects of debt risk.Finally,we provide empirical evidence for the trade channel of debt risk contagion.We contribute to the research on the contagion effect of financial risk.First,the literature pays less attention to the debt-risk contagion of the Chinese corporate sector.However,as the debt scale of non-financial enterprises in China continues to rise,bond default has a significant negative impact on the stability of the financial market.This requires us to analyze the potential risk of municipal investment bonds and enterprise bonds.Second,bonds with different credit ratings and bonds from different issuers may have various risk characteristics,so analyzing debt risk in China based on multiple networks could be very valuable.This paper makes an innovative attempt to do so.Third,our work has strong policy implications.To the best of our knowledge,we are the first to show the

关 键 词：债务风险传染 城投债 产业债 多重网络 网络合成技术 

分 类 号：F832.51[经济管理—金融学]