美联储紧缩性货币政策与中国债券市场风险——来自企业双币种发债的微观证据  

The Federal Reserve's Tight Monetary Policy and Risks in China's Bond Market:Evidence from Corporate Dual-Currency Bond Issuance

作　　者：余明桂 安剑锋 贺蒙蒙 陈思翀[1] YU Ming-gui;AN Jian-feng;HE Meng-meng;CHEN Si-chong(School of Finance,Zhongnan University of Economics and Law)

机构地区：[1]中南财经政法大学金融学院

出　　处：《中国工业经济》2025年第2期42-60,共19页China Industrial Economics

基　　金：国家社会科学基金重大项目“以服务实体经济为导向的金融机构治理和激励约束机制研究”(批准号24ZDA043);国家自然科学基金面上项目“中美科技战与企业创新研究:基于被制裁企业的国内供应商的视角”(批准号72172158)。

摘　　要：防范化解金融风险是金融工作的根本性任务。近年来,一些中国企业同时发行了大量美元债券和人民币债券。当美联储实施紧缩性货币政策时,这些发行了美元债券的企业债务风险剧增,可能向人民币债券市场产生跨市场风险传染。本文以2021—2022年中国企业发行的境内信用债的月度交易数据为样本,从微观视角研究了2022年美联储加息的紧缩性货币政策对中国债券市场风险的影响及其实体经济效应。研究发现,美联储紧缩性货币政策通过美元债券渠道增加企业偿债成本和加剧企业流动性约束,提高了人民币债券的违约风险,进而提高了人民币债券的风险溢价。并且,这种效应在房地产企业债券、民营企业债券、剩余期限较长的债券、高杠杆率企业和高信息不对称企业的债券中更为明显。拓展研究发现,美联储紧缩性货币政策抑制了这些企业的银行借款和固定资产投资,减少了其劳动雇佣。本文为中国稳定债券市场预期、有效防控债券市场风险和加强境外债务管理提供了理论依据。In recent years,to fully utilize both domestic and international markets for financing,Chinese enterprises have issued not only a significant amount of RMB-denominated bonds but also a large scale of USD-denominated bonds.In March 2022,the Federal Reserve initiated the most substantial rate hike cycle in nearly 40 years.For enterprises that have issued both RMB and USD bonds,the Federal Reserve's significant rate hikes may exacerbate corporate debt risks,which is reflected in the widening of credit spreads on RMB bonds.The risk spillover effects of the Federal Reserve's monetary policy have always been a focus of academic and policymaker attention,yet there is little literature examining the risk contagion of the Federal Reserve's monetary policy on China's bond market through micro spillover channels,and related research lacks a micro-foundation.This paper uses secondary market monthly transaction data of RMB-denominated bonds from January 2021 to December 2022 as a sample,selecting bonds issued by enterprises that have issued both RMB and USD bonds as the experimental group,and bonds issued by enterprises that have only issued RMB bonds as the control group.The study employs a difference-in-differences(DID)approach to examine the cross-market risk spillover of the Federal Reserve's monetary policy tightening on China's bond market credit bonds.The research findings are as follows.First,the Federal Reserve's rate hikes significantly increase the risk premium on RMB bonds.Second,the mechanism analysis shows that the Federal Reserve's rate hikes increase the default risk of RMB bonds,thereby raising the risk premium on RMB bonds.Third,the heterogeneity analysis indicates that the increase in credit spreads is more pronounced for bonds issued by private enterprises,real estate companies,bonds with longer remaining maturities,high-leverage enterprises,and enterprises with higher information asymmetry.Fourth,the Federal Reserve's tightening monetary policy has caused risk spillovers to the real economy,reducing the c

关 键 词：美联储紧缩性货币政策 中国债券市场风险 信用债风险溢价 

分 类 号：F125[经济管理—世界经济]