新型稳定性监管效果研究——来自债券市场的证据  

Research on the Effects of New-type Stability-oriented Regulation:Evidence from China's Bond Market

作　　者：郑怡君 吴文锋[1] 胡悦 ZHENG Yijun;WU Wenfeng;HU Yue(Antai College of Economics and Management,Shanghai Jiao Tong University)

机构地区：[1]上海交通大学安泰经济与管理学院,200030

出　　处：《经济研究》2024年第12期167-185,共19页Economic Research Journal

基　　金：国家自然科学基金项目(72310107002、72303065、72495153)的资助。

摘　　要：如何平衡市场的稳定性和有效性是金融监管面临的重要问题。利用2018年1月债券市场偏离度监管这一政策冲击,本文考察了以提高交易预期成本而非限制交易为主要特征的新型稳定性监管对市场稳定性和有效性的影响。研究发现,偏离度监管显著降低了高偏离债券的波动性,相比涨跌停板和熔断等传统稳定性监管政策更好地实现了市场稳定的目标。机制分析表明,这种新型稳定性监管有效限制了因负外部性产生的磁吸效应,以及订单不平衡带来的波动性外溢效应所导致的波动性增加。但与此同时,本文也发现偏离度监管使得部分投资者选择等待估值变动和延迟交易,这显著降低了债券价格对基本面的预测能力,且这种价格有效性的下降在民企和低评级企业中更加明显。进一步考察对实体经济的影响后发现,市场定价效率的下降会对金融资源的配置产生结构性的影响,导致民企和低评级企业债券融资和投资水平的显著下降。上述结果表明,债券市场的新型稳定性监管政策较好实现了市场稳定的目标,但对市场效率和金融资源的配置产生了结构性的影响。本文的发现为监管机构更全面地评价估值偏离度监管的经济后果、制订更为灵活有效的稳定性监管政策提供了参考。Stability and price informativeness are critical dimensions of market efficiency.A stable market reduces uncertainty for firms,while informative pricing facilitates optimal resource allocation,both of which enhance the financial market's support for the real economy.However,existing research indicates that while financial regulation can mitigate market volatility,it may also introduce policy noise and diminish price informativeness.Thus,finding a better balance between market stability and price informativeness presents a significant challenge for financial regulators.Previous studies on the stock market have shown that trading and price restrictions—such as price limits,circuit breakers,and limits on quoted price—can sometimes fail to decrease price volatility and maintain market stability.This failure can be attributed to two main factors.First,these restrictions affect all market participants,potentially reducing liquidity and causing negative externalities that increase volatility as limits approach(the magnet effect).Second,limitations on price and trading can lead to order imbalances,further exacerbating future volatility(the volatility spillover effect).Additionally,prior research suggests that such restrictions can reduce price informativeness due to trading interference effects.This raises a crucial question:Are there alternative regulatory approaches that can more effectively balance market stability and price informativeness?Furthermore,how might such policies influence investor behavior differently?The China interbank bond market offers an ideal setting,as it has implemented regulations that directly penalize institutions trading outside of designated price thresholds without imposing trade limits.In January 2018,the China Securities Regulatory Commission(CSRC)issued the Notice on Further Strengthening the Supervision of Bond Trading by Securities and Fund Management Institutions,which clearly stipulates that if the bond price in transactions deviates from the benchmark valuation by more than 1%,i

关 键 词：金融监管 市场稳定性 市场有效性 偏离度监管 债券市场 

分 类 号：F83[经济管理—金融学]