货币政策、债券评级与企业债定价

Monetary Policy,Credit Rating and Corporate Bond Pricing

债券信用评级在债券定价中发挥着极为关键的作用。在不同的货币政策背景下,这种影响机制是否是确定不变的呢?基于我国企业债发行的历史数据,本文对这一问题进行了实证检验。我们的主要发现有:第一,债券评级与债券利差显著负相关,但在2014年破除债券市场刚性兑付预期后,债券评级对债券发行定价的影响力变小;第二,货币政策在债券定价中扮演了重要角色,当货币政策比较宽松时,债券评级对债券定价的影响相对较弱,但在货币政策紧缩时这种影响会显著增强,意味着不同货币政策下信用评级的定价影响机制是时变的。本文的分析结果有助于更好地理解信用评级对债券定价的影响机制。

The bond credit rating plays a crucial role in the bond market and has an important impact on bond pricing.But in different monetary policy contexts,is the mechanism of influence fixed?Based on the history data of corporate debt issuance,this paper analyzes this issue.The empirical analysis reveals the following two main findings.First,there is a significant negative correlation between bond ratings and bond spreads.However,after breaking the bond market investors’rigid expectation of redemption,investors are more cautious in using rating results and the impact of bond ratings on bond issuance pricing becomes smaller;Second,monetary policy plays an important role in bond pricing.When monetary policy is loose,bond rating has relatively weaker influence on bond pricing,but under the condition of monetary policy tightening,this effect will increase significantly,implying that the pricing mechanism of credit rating under different monetary policies is time-varying.Our findings help to understand the mechanism of how credit rating influences bond pricing.