城门失火殃及池鱼吗？来自债券违约的分析

Does the Fire at the City Gate Affect the Fish in the Pond? Analysis From Bond Defaults

中文关键词:  债券违约  溢出效应  评级行业  承销商  事件研究法  AAA评级

英文关键词:bond default  spillover effect  rating industry  underwriter  event study method  AAA rating

中文摘要:

      近年来,我国债券违约事件频发,对债券市场的平稳运行造成威胁。以2020年11月永煤债券违约为外部冲击,从地区、行业、评级机构与承销商四个层面,基于2020年债券市场日度数据,利用事件研究法与双重差分模型分析了AAA级国有企业债券违约对债券市场影响的溢出效应。研究发现,永煤债券违约事件导致债券一级市场发行规模缩小与发行成本提升,并显著提高了二级债券市场存续债券的回报。从短期市场反应来看,违约事件造成的负面溢出效应(异常回报提升)同时存在于地区、行业、评级机构与承销商层面；从长期影响来看,违约事件导致的存续债券收益率提升的负面冲击仅在地区和行业间存在。异质性分析表明,违约事件对低承付能力地区、低市场竞争程度行业、由内资背景机构评级以及低声誉机构承销的债券负面影响更加显著。进一步检验发现,上述短期负面溢出效应在高等级(AAA)债券组中更加显著,并且评级机构的评价标准并没有受到该违约事件的影响,说明信用评级膨胀问题仍然严重。因此,监管部门应加强对债券市场的引导,从债券市场信息中介(评级机构与承销商等)角度采取措施来防范与降低债券违约风险。

英文摘要:

      In recent years, bond defaults have occurred frequently, which threatens the smooth operation of the bond market. Using Yongmei's bond default in November 2020 as an external shock, this study analyzes the spillover effect of bond defaults of AAA-rated state-owned enterprises on the bond market at four levels:regions, industries, rating agencies and underwriters. The analysis is conducted by utilizing daily data from the bond market in 2020 and employing the event study method and difference-in-differences model. The research findings indicate that:Firstly, Yongmei's bond default has led to a reduction in the issuance scale and an increase in issuance costs in the primary bond market, as well as a significant increase in the returns of existing bonds in the secondary bond market. Secondly, from the short-term market reaction, Yongmei's bond default exerts negative spillover effects (increased abnormal returns) at the levels of regions, industries, rating agencies and underwriters, but from the long-term impact, the negative spillover effects only persist at the levels of regions and industries and are more significant on bonds issued by regions with low solvency and industries with low market competition, and those rated by domestic-funded rating agencies and underwritten by low-reputation underwriters. Thirdly, it is further found that the negative spillover effects are also significant in the high-grade (AAA) bond group, and the evaluation criteria of rating agencies are not affected by the default event, which shows that the credit rating inflation is still serious. Therefore, regulatory authorities should strengthen guidance on the bond market and take measures from the perspective of bond market information intermediaries (rating agencies and underwriters) to effectively prevent and mitigate default risks. 