美联储不同紧缩周期内本币主权债尾部风险研究  

Tail Risk of Domestic Sovereign Bonds under the Impact of Federal Reserve's Tight⁃ening Policy

作　　者：陈丰[1] 黄京磊 黄珊珊[3] Chen Feng;Huang Jinglei;Huang Shanshan(Balance of Payments Department,State Administration of Foreign Exchange;School of Social Science,Tsinghua Uni-versity;China Research Center for Foreign Direct Investment,University of International Business and Economics)

机构地区：[1]国家外汇管理局 [2]清华大学社会科学学院 [3]对外经济贸易大学外国直接投资(FDI)中心

出　　处：《国际金融研究》2023年第9期76-85,共10页Studies of International Finance

基　　金：国家社会科学基金年度项目“平台经济反垄断规制问题研究”(22BFX105);清华大学自主科研计划文科专项“当代中国政府注意力配置的内在逻辑与激励机制研究”(2022Z04W01006);清华大学公共管理学院青年教师发展种子基金资助。

摘　　要：党的二十大报告提出,要守住不发生系统性风险的底线。对于新兴经济体来说,外债偿还风险是引发系统性金融风险的重要来源。近十年来,外资增持本币主权债力度不断加大,美联储货币政策全球溢出效应日趋加强,对新形势下我国本币主权债的安全性提出挑战。本文运用条件在险价值法衡量了美联储不同紧缩周期对各国本币主权债信用违约风险的极端冲击。研究发现,虽然我国本币主权债券市场对外开放步伐日益加快,受到美联储货币政策的影响越来越大,但相较于其他新兴经济体,我国本币主权债在极端冲击下表现出较强的安全属性。在美联储采取极端紧缩货币政策的情况下,来自境内不同主体发行的本外币债信用价差、国内汇市、股市和主要行业指标对本币主权债风险溢价的冲击有限。The report of the 20th National Congress of the Communist Party of china highlights the importance of main⁃taining a bottom line to prevent systemic risks.For emerging economies like China,the risk of foreign debt repayment is also a significant trigger for systemic financial risks.Over the past decade,the increasing magnitude of foreign holdings of domestic sovereign bonds and the growing spillover effects of the US Federal Reserve′s monetary policies have posed challenges to the safety of China′s sovereign debt under the new circumstances.This paper employs the conditional Value-at-Risk method to assess the extreme impacts of the Federal Reserve′s tighten⁃ing policies on the credit default risk of sovereign debt in different countries during three distinct stages.The research sample consists of daily data from June 2013 to December 2022,including 5-year Cross Currency Swap(CCS)rates for selected emerg⁃ing economies,corresponding government bond yields,and the interest rate swap(IRS)between floating LIBOR rates and fixed rates in USD.The actual credit risk of domestic sovereign bonds in China is measured by the difference between domestic sovereign bond′s yield and the yield of US Treasury bonds and adjusted for derivative costs,which results in the domestic sovereign bond credit spread.The study reveals that despite the growing exposure of China′s domestic sovereign bond market to external influences from the US Federal Reserve′s monetary policies,domestic sovereign bonds exhibit relatively strong safety attributes compared to other emerging economies under extreme shocks.Even in scenarios where the Federal Reserve raises interest rates,causing the US dollar exchange rate and long-term and short-term US bond yields to reach extreme levels,the impact of credit spreads for domestic and foreign currency bonds issued by different entities within China,as well as the impact of the domestic foreign exchange market,stock market,and major industry indicators on the risk premium of domestic sovereign b

关 键 词：信用价差 跨货币利率互换 紧缩政策 条件在险价值法 网络关联度 

分 类 号：F831[经济管理—金融学]