信用风险缓释凭证改善了债券发行利差吗?——来自债券层面的证据  

Does Credit Risk Mitigation Warrant Improve Bond Issuance Spreads?Evidence from Bond Level

作　　者：陈东君 宋福铁[1] CHEN Dongjun;SONG Futie(School of Business,East China University of Science and Technology,Shanghai 200237,China)

机构地区：[1]华东理工大学商学院,上海200237

出　　处：《华东经济管理》2025年第3期116-128,共13页East China Economic Management

基　　金：上海市哲学社会科学规划项目“公司债信用违约风险传染研究”(2021BJB002)。

摘　　要：促进金融服务实体经济、帮助企业解决融资难题是建设金融强国的重要任务。文章利用2018年10月至2023年12月在银行间市场公开发行的(超)短期融资券和中期票据数据,考察信用风险缓释凭证是否以及如何影响标的债券的发行利差。研究发现:CRMW显著增加标的债券的融资成本,经过不同内生性、稳健性检验后上述结论依旧成立;机制检验显示,CRMW因市场不成熟的局限性未充分发挥保险效应,其在缓解市场分歧的同时能够显著提高投资者最低和最高的申购利率,且CRMW引起的利率上升在信用水平高的发行人中更加显著;仅当信贷市场供不应求、债券市场信用风险溢价较高时,CRMW才能够发挥融资支持作用并显著降低标的债券发行利差。研究结论为信用衍生品影响债券市场的研究提供了来自新兴市场的经验证据,对进一步发展完善信用衍生品市场、推动债券市场服务企业融资具有启示意义。Promoting financial services to support the real economy and assisting enterprises in overcoming financing obstacles are pivotal undertakings in the development of a financial powerhouse.The essay examines whether and how credit risk mitigation warrant(CRMW)affects the issuance spreads of the underlying bonds,using data from(super)shortterm commercial papers and medium-term notes publicly issued in the interbank market from October 2018 to December 2023.Research findings:CRMW significantly elevates the financing costs of the underlying bonds,a conclusion that remains valid after various endogeneity and robustness tests.Mechanism tests reveal that,due to the limitations of an immature market,CRMW has yet to fully achieve its intended insurance effect.While CRMW contributes to mitigating market disagreements,it concurrently leads to a significant increase in both the minimum and maximum subscription rates for investors.The escalation in interest rates attributable to CRMW is particularly pronounced among issuers with high credit level.CRMW is capable of providing financing support and substantially reducing the issuance spread of underlying bonds only when the credit market experiences undersupply and the bond market′s credit risk premium is relatively elevated.The research findings provide empirical evidence from emerging markets on the impact of credit derivatives on the bond market.These insights hold significant implications for the further development and improvement of the credit derivatives market,as well as for bolstering the bond market′s capacity to facilitate corporate financing.

关 键 词：信用风险缓释凭证 信用衍生品市场 银行间信用债 债券发行定价 保险效应 

分 类 号：F832.51[经济管理—金融学]