债券市场系统性金融风险的制度诱因:基于交叉违约条款的发现  

The Institutional Incentives of Systemic Financial Risk in Bond Market:Evidence from Cross-Default Clauses

作　　者：杨国超[1,2] 蒋安璇 Yang Guochao;Jiang Anxuan

机构地区：[1]中南财经政法大学会计学院新制度会计学研究中心 [2]中南财经政法大学数字技术与现代金融学科创新引智基地 [3]华中师范大学经济与工商管理学院

出　　处：《世界经济》2024年第12期136-164,共29页The Journal of World Economy

基　　金：国家社科基金重点项目(22AGL013)的资助。

摘　　要：现有文献大都基于特定的经济联系探究债券市场系统性金融风险的来源,本文则立足于债券违约风险会在同行业和同地区间传染这一特征事实,研究发现交叉违约条款会将同行业、同地区个别违约事件所伴随的违约风险进一步传递到新发债券,从而加剧债券市场系统性金融风险的发生。当交叉违约条款中约定的债务违约主体范围更大、违约种类更多时,交叉违约条款产生的风险放大效应更强;供应链上的违约事件以及行业和地区头部企业的违约事件也会沿着交叉违约条款将违约风险进一步传递到新发债券上。进一步分析还发现,同行业和同地区的债券违约事件会使得债权人减少对附有交叉违约条款发债企业的长期信贷融资,也会使得供应链上的债权人减少这类企业的商业信用。The majority of extant literature examines the sources of systemic financial risk in the bond market through the lens of specific economic linkages,this paper builds upon the fact that bond default risk is contagious across industries and regions.It further proves that cross-default clauses serve to exacerbate systemic financial risk in the bond market by facilitating the further dissemination of default risk that accompanies individual defaults within the same industry and region to newly issued bonds.The amplification of risk generated by cross-default clauses is more pronounced when a greater number of debt default entities and a wider range of defaults are stipulated in the cross-default clauses.In particular,defaults in the supply chain,as well as defaults of top enterprises in the industry and the region,serve to further disseminate the default risks along the cross-default clauses to the newly issued bonds.Further analysis also indicates that defaults on bonds within the same industry and region result in creditors reducing long-term credit facilities to debt issuers with cross-default clauses.Additionally,creditors in the supply chain reduce the commercial credit of such firms.

关 键 词：交叉违约 债券违约 风险传染 系统性金融风险 

分 类 号：F832.51[经济管理—金融学]