周先平,向古月,刘仁芳.信用风险缓释凭证“缓释”了民营企业债券融资成本吗?——基于银行间债券市场的实证检验[J].西部论坛,2021,31(1):69-83
信用风险缓释凭证“缓释”了民营企业债券融资成本吗?——基于银行间债券市场的实证检验
Does Credit Risk Mitigation Warrant “Mitigate” Private Enterprises’ Bond Financing Costs?:An Empirical Study Based on Inter-Bank Bond Market
  
DOI:
中文关键词:  信用风险缓释凭证  债券融资成本  民营企业  信用利差  发行利率  股东议价能力  清算成本
英文关键词:credit risk mitigation warrant  bond financing cost  private enterprise  credit interest rate gap  issue rate  stockholder bargaining power  liquidation cost
基金项目:
作者单位
周先平,向古月,刘仁芳 1.中南财经政法大学 金融学院湖北 武汉 4300732.重庆工商大学 学术期刊社重庆 400067 
摘要点击次数: 67
全文下载次数: 112
中文摘要:
      作为一种信用衍生产品,信用风险缓释凭证应当具有降低债务融资成本的功能。在不完全债务合约情形下,信用风险缓释凭证可以通过加强债权人的谈判地位、约束债务人的机会主义行为等降低债务融资成本。将中国重启发行信用风险缓释凭证作为准自然实验,利用2018年1月—2019年11月的银行间债券市场数据,采用固定效应模型、双重差分法、平行趋势检验、动态效应分析和安慰剂检验等方法分析信用风险缓释凭证对民营企业债券融资成本的影响,结果表明:信用风险缓释凭证的创设发行,能够显著降低民营企业标的债券的信用利差和发行利率,且股东议价能力越强、清算成本越大,其融资成本下降效应越明显。进一步的研究发现,在短期融资市场存在由所有制差异引发的结构分化现象,信用风险缓释凭证的重启发行一定程度上减小了民营企业同国有控股企业之间的债券融资成本“剪刀差”,实现了对优质民营企业的定向支持。因此,应进一步发掘信用风险缓释凭证的结构化定向调节潜力,并加强对创设发行机构的监管约束,在有效降低债务融资成本的同时避免风险聚集。
英文摘要:
      As a credit derivative, credit risk mitigation warrant should have the function to reduce the debt financing cost. Under the background of incomplete debt contract, credit risk mitigation warrant can reduce the debt financing cost by enhancing the negotiation status of the creditors, restricting the opportunism behaviors of the debtors and so on. By using the inter-bank bond market data from January, 2018 to November, 2019, this paper takes China’s reinitiating the issuing of credit risk mitigation warrant as quasi-natural experiment, uses fixed effect model, difference in difference method, parallel test, dynamic effect analysis, placebo test and so on to analyze the impact of credit risk mitigation warrant (CRMW) on bond financing cost of private enterprise empirically. The study shows that CRMW can significantly reduce the issuing interest rate and the credit spread of underlying bonds, the higher the bargaining power of the stockholders is, the larger liquidation cost is, the more significant the declining of financing cost is. Further research shows that there exits structural differentiation caused by ownership difference in short-term bond market. The reissuance of CRMWs alleviates the “scissors gap” of bond financing costs between private enterprises and state-owned enterprises, and it supports high-quality private enterprises directionally. Therefore, we should further explore the potential of structured directional adjustment of CRMW and strengthen the supervision and restriction on the issuance agencies to effectively reduce debt financing cost and to avoid risk aggregation.
查看全文  查看/发表评论  下载PDF阅读器
关闭
《西部论坛》编辑部 版权所有
地址:中国 重庆市 南岸区学府大道19号,重庆工商大学学术期刊社 邮编:400067
电话:023-62769479 传真:
您是第1763681位访客
关注微信二维码