摘要
信用利差作为发行主体信用风险的体现以及增量债券融资成本的直接衡量被广泛关注。展期风险反映企业短期内的再融资压力,高展期风险会引致企业违约风险的上升进而影响信用利差。利用2010—2020年债券市场数据,实证检验了企业展期风险与债券信用利差之间的作用机制。研究发现:(1)展期风险与信用利差之间呈显著正相关关系;(2)展期风险会促使企业信用评级恶化,进而在债券市场面临更高的信用利差;(3)企业财务流动性不足、债券市场流动性缺乏以及信贷市场流动性紧缩均会加剧展期风险对信用利差的正向扩大效应;(4)在非国有、无担保、发行长期债券较多的企业以及融资约束高、间接融资占比高的企业中,展期风险对于信用利差的扩大效应更强。从短期再融资压力视角研究企业展期风险对债券信用利差的影响,有助于提升债券信用风险防范措施的精准性,拓展企业降低债券融资成本的思路,提升债券市场的融资功能。
Credit spreads are widely concerned as an embodiment of the issuer’s credit risk and a direct measure of incremental bond financing costs.Rollover risk reflects the refinancing pressure of enterprises in the short term.High rollover risk will lead to an increase in the default risk of enterprises and then affect credit spreads.Using the bond market data from 2010 to 2020,this paper empirically tests the mechanism between the corporate rollover risk and the bond credit spreads.The results show that:(1)there is a significant positive correlation between rollover risk and credit spreads;(2)rollover risk will worsen the credit rating of enterprises,and then face higher credit spreads in the bond market.;(3)insufficient corporate financial liquidity,lack of liquidity in the bond market,and tight liquidity in the credit market will exacerbate the positive expansion effect of rollover risk on credit spreads;(4)among the non-state-owned,unsecured and enterprises issuing more long-term bonds,as well as enterprises with high financing constraints and high proportion of indirect financing,the rollover risk has a stronger effect on the expansion of credit spreads.From the perspective of short-term refinancing pressure,studying the impact of corporate rollover risk on bond credit spreads will help to improve the accuracy of bond credit risk prevention measures,expand the ideas of enterprises to reduce bond financing costs,and improve the financing function of the bond market.
作者
康晶
陈守东
KANG Jing;CHEN Shoudong(School of Business and Management,Jilin University,Changchun 130012,China;Center for Quantitative Economics,Jilin University,Changchun 130012,China)
出处
《西安交通大学学报（社会科学版）》
CSSCI
北大核心
2022年第6期49-63,共15页
Journal of Xi'an Jiaotong University：Social Sciences
基金
教育部哲学社会科学研究重大课题攻关项目(17JZD016)
吉林省科技发展计划项目(20210601089FG)
吉林省教育科学“十三五”规划一般规划课题(GH20025)。
关键词
信用利差
展期风险
信用评级
债券融资
流动性
credit spreads
rollover risk
credit rating
bond financing
liquidity
