推进我国高收益债券市场建设——基于国内高收益债券的实证分析

Promoting the Development of China's High-Y ield Bond Market——An Empirical Analysis Based on Domestic High-Yield Bonds

发展高收益债券市场是支持中小企业融资、缓和优质资产稀缺现状、优化我国金融市场风险层次结构不可或缺的策略路径。我国的高收益债券市场发展起步较晚,但近年在违约的常态化趋势下,伴随着国内高收益债券市场法规政策与基础设施的持续完善,正展现出稳步向前的发展态势。本文首先系统性回顾了成熟市场中高收益债券的定义与界定标准,厘清贴合我国实际的高收益债券定义方法;其次,系统梳理全球高收益债券市场演变历程,剖析发展我国高收益债券市场的必要性及紧迫性;而后,从技术角度出发,聚焦违约风险与回收价值这两大核心要素,利用分位数回归构建了一套高效的违约预警模型,探索并提出了适合我国高收益债的回收率评估方法;最后,基于我国高收益债券发展现状和最新监管趋势,结合海外成熟市场经验,提出了系列政策建议,为推进我国高收益债券市场高质量发展提供参考。

Developing the high-yield bond market is an indispensable strategic path for supporting SME fi-nancing,alleviating the scarcity of high-quality assets,and optimizing the risk hierarchy in China's financial mar-ket.Although China's high-yield bond market started late,in recent years,under the trend of normalized defaults,accompanied by continuous improvement in regulations,policies,and infrastructure,it has demonstrated a steady development momentum.This paper first systematically reviews the definition and criteria of high-yield bonds in mature markets,and clarifies the definition method of high-yield bonds that is suitable for China's reality.Second-ly,this paper systematically combs through the evolution of the global high-yield bond market and analyzes the ne-cessity and urgency of developing China's high-yield bond market.Then,from a technical perspective,this paper focuses on the two core elements of default risk and recovery value,and constructs a set of highly efficient default early warning models using quantile regression,and explores and puts forward a recovery assessment method suit-able for China's high-yield bonds.Finally,based on the current development situation and the latest regulatory trends of China's high-yield bonds,and combined with the experience of overseas mature markets,it puts forward a series of policy recommendations to promote the high quality development of China's high yield bond market.