摘要
本文基于中国债券市场数据,采用面板回归模型、短事件窗口等方法,考察了影子银行对债券信用利差的影响。实证结果表明:影子银行规模的增加能显著降低债券的信用利差;而且影子银行扩张对债券信用利差的影响程度在不同产权性质、不同信用评级的债券样本之间存在明显差别:与国有企业债券相比,影子银行扩张对民企债券信用利差的降低效果更加明显;债券信用评级越低,影子银行扩张对债券信用利差的降低程度越大。另外,短事件窗口分析结果表明影子银行的监管政策抬升了债券交易利差,而且对于民企债和低信用评级债券的影响更大。本文的研究结论对于合理引导影子银行发展、缓解企业融资约束问题具有一定的借鉴意义。
Based on the data of Chinese bond market,this paper investigates the influence of shadow banking on bond spread by using panel regression model and short event window.The empirical results show that the increase of the scale of shadow banking can significantly reduce the credit spread of bonds.Moreover,the impact of shadow banking expansion on bond credit spread is significantly different among bond samples with different property rights and credit ratings.Compared with the bonds of stateowned enterprises,shadow banking expansion has more effect on the credit spread of private enterprises.The lower the bond's credit rating,the more the shadow banking expansion reduces the bond spread.The conclusion of this paper can be used for reference to guide the development of shadow banking and alleviate the financing constraint of enterprises.
作者
张雪莹
刘茵伟
Zhang Xueying;Liu Yinwei
出处
《投资研究》
CSSCI
北大核心
2020年第8期25-38,共14页
Review of Investment Studies
基金
国家自然科学基金项目“政府债务对货币政策的影响-基于利率传导渠道的研究”(71573155)
国家社科基金重点项目“我国银行业政府或有债务风险及其财政成本研究”(17AJY024)。
关键词
影子银行
信用利差
产权性质
信用评级
Shadow banking
Credit spread
Property right
Credit rating
