政府隐性担保、宏观波动与企业债定价  

Implicit Guarantee,Macroeconomic Fluctuations,and Corporate Bond Pricing

作　　者：王曦[1] 刘颖 江一鸣[3] WANG Xi;LIU Ying;JIANG Yi-ming(Lingnan College,Sun Yat-sen University,Guangzhou 510275;School of Economics,Shenzhen Polytechnic University,Shenzhen 518055;School of Mathematical Sciences,Nankai University,Tianjin 300071)

机构地区：[1]中山大学岭南学院,广州510275 [2]深圳职业技术大学经济学院,广东深圳518055 [3]南开大学数学科学学院,天津300071

出　　处：《软科学》2024年第9期30-39,共10页Soft Science

基　　金：国家自然科学基金项目(72133006、72103049)。

摘　　要：基于包含马尔可夫跳跃的实物期权理论对债券结构化定价,并融入政府隐性担保行为,求解最优隐性担保强度,得到具有刚性兑付特征的企业债显性定价公式及系列理论假说;再利用结构计量方法估计模型深层参数,数值模拟隐性担保对债券市场的周期性作用。研究发现:(1)隐性担保强度由财政盈余和企业债务缺口决定。经济形势变好时,财政盈余增加,企业债务缺口下降,双方共同作用提升了隐性担保强度,使其呈顺周期变化。(2)隐性担保降低了债券风险溢价。(3)隐性担保放大了债券风险溢价随宏观周期的波动幅度,导致债券市场更剧烈的波动。经济状态变差时,土地价值下跌,一方面恶化了企业流动性,另一方面降低了隐性担保强度,导致债券风险溢价螺旋上升。The bond is structurally priced using the real options theory,including the Markov jump and endogenously incorporating implicit guarantee action.It determines the optimal level of implicit guarantee intensity and derives explicit pricing formulas for corporate bonds with rigid repayment characteristics,along with a series of theoretical hypotheses.Subsequently,structural econometric methods are applied to estimate the deep parameters,and numerical simulations are conducted to assess the cyclical effects of implicit guarantees on financial markets.It finds that:(1)The intensity of implicit guarantee is determined by fiscal surplus and corporate debt gap.A good economic situation increases the fiscal surplus and decreases the debt gap,which increases the intensity of implicit guarantee and makes it pro-cyclically;(2)Implicit guarantees reduce the corporate bond risk premium;(3)Implicit guarantee amplifies the fluctuations of credit risk premiums with the economic cycle,leading to a more pronounced volatility in the bond market.When the economic situation deteriorates,the value of land declines,which worsens the liquidity of enterprises and reduces the intensity of implicit guarantee,and leads to a substantial increase in bond risk premium.

关 键 词：隐性担保 经济周期波动 企业债券定价 资本市场高质量发展 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济]