债券违约的区域性影响——信息效应与逃离效应分析  

Regional Impacts of Bond Defaults:Analysis of the Information Effect and the Flight Effect

作　　者：刘晓蕾 刘俏[1] 李劢 朱妮 LIU Xiaolei(Laura);LIU Qiao;LI Mai;ZHU Ni(Guanghua School of Management,Peking University)

机构地区：[1]北京大学光华管理学院,北京100871

出　　处：《金融研究》2023年第8期74-93,共20页Journal of Financial Research

基　　金：国家自然科学基金面上项目(72273006,71872006);国家社会科学基金重大项目(22&ZD057);光华思想力平台的资助。

摘　　要：本文梳理了我国2014年至2020年信用债违约事件,研究违约事件对当地现存债券收益率以及新增发债的影响。结果表明,国企违约和私企违约影响不同:国企违约负面影响当地国企债券,而私企违约正面影响当地国企债券。这一结果反映,债券违约对同地区其他债券既存在负面信息效应,又存在投资人出于资产调整目的的逃离效应——由私企债券逃向更安全的国企债券。我们还发现,超预期违约的负面信息效应更大。本研究有三点政策启示。其一,逃离效应印证了债券市场仍存在地方分割,作为债券投资主体的银行偏好资源本地化限制了资金在全国范围内充分流动,需促进建设全国统一大市场。其二,逃离效应会加剧国企民企融资结构失衡,需切实解决国企预算软约束问题,让民企和国企能够在相同的融资环境中公平竞争,实现融资机会的均等化。其三,超预期违约会加剧违约的负面影响,需加强债券违约风险的及时跟踪和信息披露。Since 2020,China has experienced a number of bond defaults.Notably,Henan Yongmei Group,an AAA-rated bond issuer,unexpectedly declared a default of one-billion-yuan super and short-term commercial paper,triggering discussions on disorderly defaults and""debt evasion."In this context,it is essential to understand the impact of bond defaults to mitigate bond default risks and foster the healthy growth of the Chinese bond market.Theoretically,a bond default can have two effects on other local bonds.First,the information effect is driven by shared economic fundamentals or implicit guarantees from local governments.A bond default reveals additional information about fundamentals or implicit guarantees,thereby impacting bonds in the same region.Second,the flight effect arises from investors'fund reallocation from high-risk assets to low-risk assets,especially to local low-risk assets when local segmentation exists in the bond market,to reduce their risk exposure.To investigate these effects in the Chinese bond market,this paper categorizes credit bond defaults in China between 2014 and 2020 into state-owned enterprise(SOE)bonds and private enterprise bonds.We empirically analyze the impacts of these bond defaults on local issuers'bond spreads in the secondary market and their bond issuance in the primary market.The results support the presence of both the information and flight effects.First,we find that SOE defaults adversely affect local SOE bonds and private enterprise defaults adversely affect local private enterprise bonds.In both cases,this leads to an increase in yield spreads and a decrease in subsequent issuances by the corresponding type of issuers within the same province.This finding is consistent with the prediction of the information effect.Second,we observe that private enterprise defaults positively affect yield spreads and the subsequent issuance of local SOE bonds.This finding aligns with the flight effect.Third,we identify disorderly defaults,which deviate from market expectations,and quantify their i

关 键 词：债券违约 信息效应 逃离效应 地方分割 全国统一大市场 

分 类 号：F832.51[经济管理—金融学]