摘要
在风险从微观个体风险向系统性风险演变的过程中,区域性风险是过渡阶段。信用债风险存在以点带面的省内积聚现象,容易形成区域性金融风险。本文基于交易所信用债二级市场信用利差的逐笔数据,实证考察信用债风险的地区传导效应。研究发现,违约事件发生将推高省内债券二级市场的风险溢价,随着省内违约金额的提高,省内债券二级市场的风险溢价进一步加大,西部地区与低评级债券传染效应更强。分析表明,融资约束加强、流动性紧缩、地区金融水平低下是其可能的传导机制。进一步分析表明,信用债风险的地区传导效应在劳动密集型行业、国有企业中更为显著。据此,本文提出完善风险预警机制、增加多元化融资渠道、优化产业结构、建立区域间风险协调机制等优化路径。
In the process of risk evolution from microl risk to systemic risk,regional risk is the transition stage.Effective prevention has become the focus of maintaining the stability of the capital market and the confidence in building a financial power.With the rapid development of bond market,credit default events occurred frequently in bond market,and credit risks as“grey rhinoceros”were accumulated in the province.Based on transactions in the secondary market,this paper empirically investigated the intra-provincial contagion effect of credit bond risk.It is found that the occurrence of default would increase the risk premium of the secondary bond market within the province.With the increase of the default Amount,the risk premium of the secondary bond market within the province would be further increased,and the contagion effect of the western region and the low-grade bonds could be stronger.Mechanism analysis shows that the possible mechanisms are the strengthening of financing constraints liquidity contraction and low financial development.Further analysis shows that the regional transmission effect of credit bond risk is more significant in labor-intensive industries and state-owned enterprises.Based on this,relevant policy recommendations are proposed:Improve the risk early warning mechanism,increase diversified financing channels,optimize the industrial structure,and establish an inter-regional risk coordination mechanism.
出处
《财经科学》
北大核心
2024年第3期45-59,共15页
Finance & Economics
基金
国家自然科学基金青年项目“财政和金融绿色政策协同与企业绿色发展研究”(72303196)
福建省社科基金项目“微观企业视角下地方绿色金融与财政政策协调影响研究”(FJ2022C037)的资助。
关键词
债券违约
风险积聚
信用债
Bond Default
Risk Contagion
Credit Debt
