企业债券信用价差的影响因素研究——以石化行业为例

作为资本密集型的国民经济基础行业,石化行业能否充分运用企业债券对企业融资渠道的拓宽以及企业长期发展极为重要。基于静态利率结构NSS扩展模型及多元回归方法等,文章对石化企业债信用价差结构及宏微观影响因素深入研究。研究结果表明：使用Nelson—Siegel扩展模型拟合无风险利率曲线并计算信用价差,从拟合优度上看,拟合效果较好;宏微观影响因素影响效果显著,其中原油价格作为宏观影响因素对石化企业债信用价差有～定程度的影响。     

Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach

This study uses a dynamic copula model of dependence to investigate risk spillovers in China’s credit bond market between the bank and corporate sectors for a range of maturities from one week to 30 years. Using daily data on credit spreads for the period December 28, 2009 to June 2, 2017, the empirical results show that credit risk spillover is low and relatively stable for medium-term bonds, but higher and more variable for short- and long-term bonds. The results also show that credit risk spillover increased after 2014 with financial market reforms that involved interest rate liberalization and a loosening of government guarantees on corporate debt.     

Corporate governance and the cost of public debt financing: Evidence from Japan

This paper explores the relationship between corporate governance mechanisms and the cost of public debt financing in Japan. Using a sample of corporate bonds newly issued in Japan during the period 2005–2008, I find that CEO ownership is associated with higher yield spreads after controlling for other governance, bond, and firm characteristics. Founding family ownership is also positively related to yield spreads. In contrast, firms with large corporate shareholders enjoy lower yield spreads. These results are robust to various alternative specifications. Overall, my results indicate the importance of corporate governance mechanisms in Japanese corporate bond markets.     

信用评级对债券融资成本的影响

对2014—2018年在上海证券交易所发行的公司债券进行实证分析。研究表明：国内信用评级在债券市场上是具有信息含量的,即信用评级能够在发债企业和债券投资人之间传递出具有参考价值的信息,从而减少债券市场上的信息不对称;信用评级较高的企业比评级较低的企业的债券融资成本低,同时债券的评级也会影响债券的成本,即评级越高,债券的成本越低。     

Modelling the Credit Spreads and Long–Term Relationships of Thai Yankee Bond Issues

The present study investigates the yield spread between Thai government bonds issued in the US domestic market ('Yankee' bonds) and US Treasury bonds, to determine the long–term equilibrium dynamics and the factors that affect changes in credit spreads. The sample period investigated was from May 5, 1999 to March 26, 2002. The results suggest that the long–term equilibrium relationship holds only between Thai Yankee bonds and long–term US bonds, rather than shorter or equivalent maturity bonds. Also, changes in the credit spreads of Thai Yankee bonds are generally negatively related to changes in the Stock Exchange of Thailand (SET) index (see http://www.set.or.th/th/index.html). Changes in US Treasury bonds also tend to negatively affect spreads on short Thai Yankee bonds and positively affect spreads on long Thai Yankee bonds, although other macroeconomic factors – including exchange rate and capital flow variables – were generally not important.     

结构性违约、信用分层与评级机构的策略性反应——来自中国信用债市场的证据

2014年以来,以主要集中于民企的"结构性违约"宣告了中国信用债市场刚性兑付的"结构性打破",债券市场进入了新的发展阶段。利用2013-2017年债券数据,本文深入分析了结构性违约对评级机构行为和效率的影响,主要有如下发现：首先,信用评级的市场公信力会因政府隐性担保导致的"刚性兑付"而削弱;其次,结构性违约爆发之后,信用评级的整体效率有所提升,但在不同发行主体呈现分化,对于非城投类企业,信用评级对发行利差的影响显著增大,意味着评级公信力的显著提升,而对于城投类企业,评级效率并未明显改善;进一步研究表明,出现这种情况的原因在于评级机构在违约后采取了差异化的评级策略,对于违约风险较大的非城投类债券,评级机构倾向采取"收紧评级"的策略;对于违约风险较低的城投债,评级机构倾向于采取"放宽评级"的策略。这种策略性行为是导致市场"信用分层"的重要原因,并有可能推升民营企业的融资成本。     

Credit Markets and the Propagation of Korea's 1997 Financial Crisis

We consider the roles of monetary shocks and tightening credit market conditions in the transmission of South Korea's 1997 financial crisis to the real sector, and compare the relative impacts of these factors on production in light and heavy industries. Using structural regression equations, vector autoregressive models, and the accompanying dynamic forecasts, we find that the ratio of commercial bills dishonored to the total value of bills to be cleared can explain the decline in industrial production more fully than either the decline in the real stock of money or the spread between yields on corporate and government bonds. These results are most emphatic in light industry, for which small and medium-sized firms account for more than 70% of the total value added. Since fluctuations in the dishonored bills ratio may reflect components related to increases in the cost of credit intermediation and its effect on small and medium-sized firms more precisely than the corporate-government bond spread, we interpret the evidence as suggestive of a credit channel and “flight to quality” at work.     

Corporate Governance and Corporate Bond Liquidity

Using a unique dataset of corporate bond trading information and corporate governance evaluation scores, this study examines the determinants of corporate bond market liquidity in Korea. In particular, this study explores whether corporate governance performance of a company influences liquidity of bonds issued by the company. The paper reports three important findings. First, the issue size and age of bond are important determinants of bond liquidity. Second, liquidity of corporate bonds is influenced by changes in macroeconomic conditions. Third, and most importantly, better corporate governance increases liquidity of corporate bonds. This result suggests that corporate governance is an important determinant of bond liquidity, as it lowers transaction costs by improving transparency and reducing asymmetry of information. This paper contributes to the literature by providing new evidence that corporate governance performance is an important determinant of liquidity in corporate bond markets.     

Forecasting Risk in Earnings

Conventional measures of risk in earnings based on historical standard deviation require long time‐series data and are inadequate when the distribution of earnings deviates from normality. We introduce a methodology based on current fundamentals and quantile regression to forecast risk reflected in the shape of the distribution of future earnings. We derive measures of dispersion, asymmetry, and tail risk in future earnings using quantile forecasts as inputs. Our analysis shows that a parsimonious model based on accruals, cash flows, special items, and a loss indicator can predict the shape of the distribution of earnings with reasonable power. We provide evidence that out‐of‐sample quantile‐based risk forecasts explain incrementally analysts' equity and credit risk ratings, future return volatility, corporate bond spreads, and analyst‐based measures of future earnings uncertainty. Our study provides insights into the relations between earnings components and risk in future earnings. It also introduces risk measures that will be useful for participants in both the equity and credit markets.     

信息不对称与债券担保——基于中国债券市场的检验

担保是解决债券市场上信息不对称的有效机制。逆向选择理论强调担保能够缓解事前信息不对称;道德风险理论则强调担保有助于解决事后信息不对称。两种理论对于债务人风险程度与采取担保的可能性、担保与债务利率之间的关系给出不同的预测。文章以2008-2015年间中国债券市场的实际数据为样本对以上两类理论进行实证检验。在解决可能存在的内生性问题后,研究发现,债券发行人风险越高,越有可能采取担保;在控制其它因素的情况下,相较于同一债券信用评级的无担保债券,担保债券具有较高的发行利差。研究结果表明道德风险理论能够很好地解释我国债券发行人的担保行为。     

Green policy and corporate social responsibility: Empirical analysis of the Green Credit Guidelines in China

In the past four decades, several countries have imposed environmental regulations to enforce green policy and corporate reduction of industrial emissions and waste. Unlike other environmental regulations, China's Green Credit Guidelines internalize firms' environmental risks into a loan channel; firms with high environmental credit risks encounter high barriers to obtaining loans. To investigate whether, and to what extent, this approach promotes corporate social responsibility, we introduce a Modified Environmental, Social, Governance (MESG) index that uses disaggregated firm-level data to measure the level of engagement in corporate social responsibility. We find that, after the promulgation of the Green Credit Guidelines, there was a significant increase in social responsibility in firms restricted by the Guidelines relative to firms not restricted by the Guidelines.     

Local guarantees and SOE bond pricing in China

We study the changing landscape of credit market guarantees by examining the risk-pricing of the Chinese state-owned enterprise (SOE) bonds, which have experienced rising defaults across provinces from a zero record. Using primary market bond issuance data, we identify a province premium that captures the perceived local government support for local SOEs. We find that on average the perceived local government support is on the decline, while the subnational debt market has become more segmented since 2018. This evidence is found to be closely related to the divergence in local government’s fiscal space and the occurrence of SOE default incidents in the area, highlighting the adverse linkage between public debt and corporate financing costs.     

投资者异质信念下的信用债违约风险量化研究——基于我国信用债市场的应用

信用债违约不完全依赖于企业资产负债结构,投资者无从得知企业兑付意愿,且我国市场信息披露与违约追偿机制尚不完全,市场价格与外部评级反应延迟,投资者信息认知不同,因此对违约判断存在异质信念。针对提出了适用于我国市场的信用债违约风险模型,将Giesecke（2006）中关于企业违约阈值预期的均匀分布假设拓展到一般的Beta分布,通过Beta分布的方差刻画投资者异质信念的强度,并给出条件违约概率和信用价差的一般解析表达式。数值分析指出,投资者异质信念对短中期信用债影响较大,异质信念越高,信用利差越大;在接近违约时,异质信念会造成违约风险预期的低估。通过我国市场真实信用案例的实证检验,模型可以较早预警信用事件,且精度优于已有信用风险量化模型。     

Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market

In the turmoil of 2007–2009, troubles in a small segment of the US mortgage market escalated into a crisis of global proportions. A striking feature of the crisis is the contagion that hit Asia. In a region where direct exposures to problem mortgages were minimal, credit spreads for major borrowers widened even more than they did in Europe and the United States. We argue that the contagion was part of an amplification mechanism driven by valuation losses caused by the bursting of a global credit bubble. The valuation losses stemmed not so much from a reassessment of credit risks as from a global repricing of these risks. It was this repricing that was the main channel for contagion into Asian credit (and equity) markets. For empirical evidence, we analyze fluctuations in credit default swap (CDS) spreads and expected default frequencies (EDFs) for major Asian borrowers. We find that valuation losses on CDS contracts for these Asian borrowers arose in part from movements in global and region-specific risk pricing factors as well as from revisions to expected losses from defaults.     

公司债定价：首中时模型的蒙特卡罗实现

论文借鉴信用风险度量的首中时结构模型,通过该模型的蒙特卡罗模拟对我国公司债进行定价,同时探讨了拟合公司债价值最佳的违约回复率设定和动态波动率的模型选择问题。研究表明首中时模型用于公司债定价是可行的,且不同的债券确实存在不同的回复率,并且对同一公司的不同债券使用同样的回复率也是不准确的,另外论文也进一步肯定了GARCH（1,1）模型在估计波动率方面的适用性。     

地方政府债券信用评级研究综述

文章对体制不同的发达经济体——美国、日本的地方政府债券的评级思路与方法进行了简要评析,对我国现实中的地方政府债券的评级状况进行了简要介绍,对符合我国国情的科学的地方政府债券信用评级思路和方法提出了建议。     

基于二元Logistic模型的国内上市企业信用评级展望的影响因素研究

企业信用评级的迅速发展引起人们越来越关注企业信用评级展望的影响因素。本文通过选取84家样本企业和12个指标,使用二元Logistic模型对国内上市企业信用评级展望的影响因素进行实证研究。结果发现股价的β值和应收账款周转率是国内上市企业信用评级展望的影响因素,其中β值是主要因素。上述结果启示我们,国内上市企业可以通过降低营运风险和应收账款周转率来提高企业信用评级。     

发行绿色债券与企业ESG 表现：来自中国的机制与实证发现

本文以绿色债券为切入点,研究其发行与企业ESG 得分之间的相互关系,解释企业ESG 目标实现的多个触发因素和努力动机。本文从CSMAR 国泰安等数据库中收集并筛选了5737 个观测样本,利用双重差分等计量经济学模型,发现绿色债券发行与企业ESG 评分的提升存在较强的相关性,且这种效应在国有企业、高环境规制地区和低人均工业GDP 地区更显著。机制研究发现,环境信息披露的改善、管理者短视的减少和分析师关注均为正向中介变量。最后,绿色债券发行对企业的财务状况具有积极影响。     

Synergies and competition: Export survival in Africa and Latin America

Using firm-level export data from six African (Burkina Faso and Senegal) and Latin American (Guatemala, Mexico, Peru, and Uruguay) countries, we examine factors that determine the survival of export flows. We explore the effects on export survival of changes in the number of home-country exporters serving the same destination, firm-level export diversification, and country-level factors. Unlike previous studies, we find that export survival rates decrease with the number of co-exporters selling the same product to the same country. We also find that the relationship between firm-level product diversification and export flow survival is hump-shaped: firms that do not diversify or are highly diversified have lower survival of product-destination flows. Our findings are robust to various alternative specifications. The main findings hold across both regions and all countries. However, the number of co-exporters negatively affects survival in Africa more than in Latin America.     

微观治理、地区环境与控股股东的掏空行为

本文讨论了区域环境影响下的企业微观层面的治理对控股股东侵占行为的制约作用。研究发现：企业微观层面的治理和区域环境都能够制约控股股东的侵占行为,但是企业微观治理的制约效应在环境较差的地区显著变弱。本文的建议是,要提高上市公司质量,保护中小投资者,必须首先完善上市公司面临的环境。