信用风险缓释凭证对企业债券融资成本的影响研究——基于信用风险与信号传递的视角  

Research on the Impact of Credit Risk Mitigation Warrant on the Bond Financing Cost of Enterprise——Based on the Perspective of Credit Risk and Signal Transmission Effect

作　　者：陈东君 宋福铁[1] CHEN Dong-jun;SONG Fu-tie(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：《经济体制改革》2025年第1期80-89,共10页Reform of Economic System

基　　金：上海市哲学社会科学规划一般课题“公司债信用违约风险传染研究”(2021BJB002)。

摘　　要：以2018年10月至2023年12月在银行间市场发行过超短期融资券、短期融资券或中期票据的中国A股上市企业为研究样本,实证检验信用风险缓释凭证(CRMW)对参考实体债券融资成本的影响及作用机制。研究结果显示,CRMW存续期内参考实体的债券融资成本显著增加,该结论在经过一系列内生性及稳健性检验后依然成立。机制分析表明,CRMW通过提高企业信用风险、传递企业负面信号两种渠道扩大企业总体债券利差。进一步研究发现,CRMW并未给小型、非国有、展期风险高的企业带来融资成本优惠;CRMW的积极作用主要表现为解决企业融资难的问题。因此,为改善CRMW对企业融资成本的正向影响,创设商应将参考实体范围下沉至财务确实遇到困难的低评级企业;银行间交易商协会等相关部门可考虑增加CRMW挂钩的标的债券数量并继续鼓励二级市场交易,且将中长期票据作为未来发展的重点标的债券类型。Taking A-share listed companies that have issued super short-term commercial papers,short-term commercial papers or medium-term notes in the interbank market from October 2018 to December 2023 as a research sample,this paper empirically examines the impact and mechanism of credit risk mitigation warrant(CRMW)on the bond financing cost of reference entities.The results show that the bond financing cost of the reference entities increases significantly during the CRMW lifetime,and this conclusion is still valid after a series of endogenous and robustness tests.Mechanism analysis shows that CRMW widens the overall issuance spread of firms by significantly increasing corporate credit risk and transmitting negative corporate signals.Further research finds that CRMW does not bring preferential financing cost to small,non-state-owned or high rollover risk firms.The bright side of CRMW is mainly reflected in solving the financing difficulties of firms.Therefore,in order to improve the positive impact of CRMW on the financing cost of enterprises,the initiator should expand the scope of reference entities to low-rated enterprises which are actually experiencing financial distress,the National Association of Financial Market Institutional Investors and other relevant authorities may consider increasing the number of CRMW-linked underlying bonds and continue to encourage secondary market transactions.In addition,medium and long-term notes should be regarded as the key underlying bond type for future development.

关 键 词：信用风险缓释凭证 债券融资 信用风险 信号传递 

分 类 号：F832[经济管理—金融学]