金融周期、全要素生产率与债券违约

基于宏微观结合的视角,本文首先从理论上阐释了金融周期和全要素生产率影响债券违约的机制,并基于我国A股非金融类上市公司发行的债券,进而实证检验了金融周期和全要素生产率对债券违约的影响。研究发现,金融周期和全要素生产率显著影响了债券违约发生概率,在金融周期顶部区域债券违约概率显著增加,全要素生产率越高的企业发生债券违约的概率越小。进一步的异质性分析表明,金融周期对周期性行业企业和非国有企业债券违约具有更高的平均边际影响。本文的政策启示为:要平衡好稳增长和防风险之间的关系,避免采取过度的经济刺激政策,在金融周期顶部期要采取以时间换空间的稳杠杆政策;要确保减税降费政策措施落地生根,加大对科技研发特别是基础研究平台的支持力度,促进企业提高全要素生产率。

Financial Cycle,Total Factor Productivity,and Corporate Bond Default

Since China introduced the first corporate bond in 1983,China's bond market has experienced considerable development,and bond financing has gradually become one of the leading financing methods for Chinese enterprises.However,with the continuous development of China's bond market,substantive defaults have hit record highs.The increasing credit default events indicate that the bond market's redemption risk is expanding,and it also brings huge economic losses to bond investors,affects the stability of the financial chain of the entire financial market,and even trigger a tight financing environment.In turn,it hurts the operation of the entire economy.This study takes the bonds issued by non-financial listed companies in China that expired and defaulted in 2011-2018 as the research object and uses the Logit model to study how financial cycle and productivity affect bond default.The conclusions of the study indicate that:(1)The financial cycle is significantly positively correlated with bond defaults,indicating that bond defaults are more likely to occur at the top of the financial cycle,and the probability of bonds defaulting at the top of the financial cycle is 0.87 percentage points higher than other periods.(2)There is a significant negative correlation between corporate productivity and bond defaults,indicating that the higher the probability of a bond default,the smaller the probability that a bond default will decrease by about one percentage point.(3)The heterogeneity analysis shows that the financial cycle has a higher average marginal effect on the default of cyclical industry and non-state-owned enterprise bonds.The robustness test results show that the above conclusions are still valid after replacing vital explanatory variables,considering time and industry fixed effects and changing the samples.Based on the results of empirical research and theoretical mechanism analysis,the policy implications of this study are as follows:First,government departments should not over-stimulate economic growth and pursue economic growth rates that exceed potential growth rates.When there had already stimulated the economy excessively,when the financial cycle reaches the top region,it is necessary to adopt a“stable leverage”economic policy and adopt a“time for space”strategy to reduce the leverage ratio gradually over a long period of time,to pass the top of the financial cycle smoothly and prevent financial risks.Second,continue to implement large-scale tax and fee reduction policies.The tax and fee reduction policy should focus on reducing the tax burden of the enterprise,and reducing the financing,logistics,and social security costs of the enterprise,encourage the enterprise to increase research and development investment for innovation.Third,support for basic scientific research platforms and promote the integrated development of production,teaching,and research.The participation of government departments in the investment of basic scientific research platforms can lay not only a solid foundation for enterprise innovation but also reduce the uncertainty caused by enterprises' investment in basic scientific research.The main contributions of this study are as follows:First,from the perspective of combining macroeconomics and microeconomics,this article puts forward the theoretical hypothesis that financial cycle and productivity could affect the probability of bond default and analyzes the theoretical hypothesis on the theoretical mechanism and empirical research.This paper systematically explores the impact of financial factors and corporate productivity factors on bond defaults and discusses the current macroeconomic factors,especially the impact of financial factors on micro-enterprises.Second,the conclusions of this paper indicate that bonds have easily defaulted at the top of the financial cycle,the probability of a bond default has been reduced by approximately 1.5%for each percentage point increase in productivity of a company.The above conclusions give quantitative results of the financial cycle and productivity affecting the probability of bond default and provide scientific support for overall planning and prevention of financial risks.