债信政策不确定性何以影响公共性发展金融机构的债券融资?——来自中国国家开发银行的证据  

How Bond Creditworthiness Policy Uncertainty Affects Bond Financing of Public Development Financial Institutions?-Evidence from China Development Bank

作　　者：王可第 徐佳君 WANG Kedi;XU Jiajun(Beijing Institute of Technology;Peking University)

机构地区：[1]北京理工大学人文与社会科学学院 [2]北京大学新结构经济学研究院公共性发展金融研究项目组 [3]北京大学新结构经济学研究院

出　　处：《经济学（季刊）》2023年第6期2437-2453,共17页China Economic Quarterly

基　　金：教育部人文社会科学研究青年基金项目(22YJC790126)的支持;福特基金会(135168,139355);国家社会科学基金(17BJL124);国家自然科学基金资助项目(72141301)的支持。

摘　　要：本文利用国家开发银行商业化改制的准自然实验,分析政府担保对公共性发展金融机构债券融资的作用,量化政府债信支持政策不确定性对其发债的收益、成本和期限的影响。通过分析银行间债券市场的微观数据,本文发现债信支持政策的不确定冲击使得国开债在事件窗口的短期收益比处理组债券收益低0.239%—0.437%,长期债券收益比处理组债券低1.488%—1.968%。进一步研究发现,政府债信支持政策不确定使债券融资成本提高50%左右,发行债券的平均期限缩短约60%。Using the commercialization of China Development Bank(CDB)as the quasi-natural experiment,we explore the role of government guarantees in bond financing of public development financial institutions and quantify the impacts of the policy uncertainty of the sovereign creditworthiness support upon the return,cost,and maturity of bonds issued by CDB.Analyzing a micro-level dataset of bond characteristics and prices in the interbank bond market,we find that the CDB bonds suffered from significant negative returns as a result of policy uncertainty.On average,the short abnormal bond returns of CDB bonds ranged betweenh-0.437%and-0.239%and the long abnormal bond returns ranged between-1.968%and-1.488%.We further discover that the policy uncertainty of the sovereign creditworthiness support raised the cost of bond financing by about 50%,and shortened the average term of bond issuances by about 60%.

关 键 词：债券融资 政策不确定 公共性发展金融机构 

分 类 号：F832.31[经济管理—金融学]