摘要
债券市场是企业直接融资的重要渠道。伴随着近年来债券刚性兑付的打破,债券市场风险凸显。本文运用复杂网络方法,通过建立债券市场的网络,探究了债券市场抵御风险冲击的能力,以及这种能力与市场参与者的行为和市场特征的关系。结果发现,市场参与者所面临的杠杆率限制与收益率压力会交叉影响,形成正反馈机制,从而降低债券市场抵御风险的能力,而市场参与者的某些主动策略可能会较大的影响上述能力。投资者面临的杠杆率限制越严格,收益率压力越大,市场流动性越差,债券市场抵御风险的能力越弱。完全分散化的投资者暴露于更多的风险来源中,反而降低了债券市场抵御风险的能力。政府在防止债券市场系统风险爆发时,应当注意市场中正反馈机制的形成,政策的实施要迅速。异质化的投资者群体有利于降低债券市场发生系统风险的可能,政府应当继续深化债券市场的改革,培养多元化的投资者类型。
The bond market is an important channel for enterprises financing. As more and more default events occur,the risk of the bond market rises. Through the establishment of the bond market network,this paper applies the network analysis to explore the resilience of the bond market, and the relation between the resilience,the behavior of the market participants and the characteristics of the market. The cross influence from leverage restriction and performance pressure which market participants are faced with form feedback mechanism,and reduce the ability of the bond market against risks. Some active strategy of participants may greatly affect this ability. In general,the more stringent leverage restrictions are,the greater the performance pressure will be;and the worse the market liquidity is,the weaker of the resilience of bond market will be. Fully diversified investors are exposed to more risks,hence the ability of market to resist risks is reduced. The government should pay particular attention to the formation of the feedback mechanism to prevent the outbreak of the systemic risk in the bond market,at which there should be quick implementation of policy. Heterogeneous investor groups can reduce the probability of the outbreak of systemic risk. The government should deepen the reform on the bond market and cultivate diverse investor types.
作者
牛晓健
梁晓明
NIU Xiaojian LIANG Xiaoming(School of Economics, Fudan University, Shanghai 200433, Chin)
出处
《广西财经学院学报》
2017年第4期15-33,共19页
Journal of Guangxi University of Finance and Economics
基金
国家自然科学基金面上项目(71573051
71273064)
上海市哲学社会科学规划课题(2011BJB005)
上海市"曙光计划"项目(11SG09)
上海高等学校创新能力提升计划竞争性引导项目"上海国际型大都市建设的综合改革方案设计"
复旦大学中央高校基本科研业务费支持
