央行担保品框架、债券信用利差与企业融资成本

Central Bank Collateral Framework,Bond Credit Spreads and Corporate Financing Costs

央行担保品管理框架作为现代中央银行制度的重要组成部分,关系着合格担保品范围内的资产价格与相关企业融资成本。本文基于2013年央行担保品管理框架设立这一准自然实验,运用双重差分模型分析被纳入合格担保品范围债券的信用利差所受的影响。结果表明:第一,央行担保品管理框架会显著促进被纳入合格担保品范围债券信用利差的下降,起到降低企业融资成本的作用。第二,央行担保品管理框架对不同所有制企业债券的影响具有异质性,对民企债券信用利差的降低作用更大,其次是中央国有企业,最后是地方国有企业,原因在于央行对民营企业的增信作用较强。第三,当央行实施宽松的货币政策或当债券市场中合格担保品比例较高时,担保品管理框架对信用利差的作用效果会减弱。因此,为支持经济的重点领域与薄弱环节,央行可以将相关债券或信贷资产纳入合格担保品范围,引导其融资成本下降,缓解民营企业"融资难融资贵"。同时,应将货币政策与债券市场环境纳入考虑,让担保品管理框架更好地发挥作用。

To regulate liquidity more effectively and accurately and improve the mechanism of monetary base release,since 2013,the People’s Bank of China has made innovative attempts on monetary policy tools,including standing lending facility,medium-term lending facility and pledged supplemental lending.Different from traditional monetary policy tools,new monetary policy tools provide banks with liquidity by way of guarantee instead of credit,which can prevent the moral hazard of financial institutions and ensure the security of central bank’s creditor rights.Therefore,the People’s Bank of China has constructed the central bank collateral framework,and has expanded and improved it in practice since then.As an important part of modern central bank system,the central bank collateral framework is related to the asset price within the scope of eligible collaterals and the financing cost of related enterprises.Since the implementation of the central bank collateral framework,AAA-rated credit bonds have been in the scope of eligible collaterals.Before 2013,the collaterals accepted by the central bank in the interbank market were mainly treasury bonds,central bank bonds and policy financial bonds,excluding corporate credit bonds.Therefore,based on the quasi-natural experiment established by the central bank collateral framework in 2013,this paper selected corporate bonds and medium-term notes issued in the interbank market as the research objects,and explored the impacts of the collateral framework and its micro mechanism.Firstly,this paper adopted the difference-in-differences model to analyze the influence of the central bank collateral framework on credit spreads of bonds included in eligible collaterals.Secondly,this paper studied the heterogeneous impact of the collateral framework on bond credit spreads of enterprises with different ownerships.Thirdly,this paper discussed the moderating effects of monetary policy and bond market conditions on the central bank collateral framework.The sample interval is from January 2007 to December 2017.Bond and macro data are from Wind and CEIC databases.The results show that,firstly,due to the existence of scarce channels and credit enhancement channels,the central bank collateral framework significantly promotes the reduction of credit spreads of bonds included in eligible collaterals,which reduces corporate financing costs.Secondly,the impact of the central bank’s collateral framework on the bonds of enterprises with different ownerships is heterogeneous.It has a greater impact on bonds of private enterprises,followed by central state-owned enterprises,and finally local state-owned enterprises,because the central bank has a strong role in enhancing credits of private enterprises.Thirdly,when the central bank implements loose monetary policy or when the proportion of eligible collaterals in the bond market is high,the effect of the central bank collateral framework on bond credit spreads will be weakened due to the reduction of scarcity premium.In sum,this paper makes several contributions.Firstly,it examined the impact of the central bank collateral framework on bond credit spreads,which provides a new basis for the central bank to implement the collateral framework so as to regulate bond credit spreads and corporate financing costs.Secondly,this paper complemented the research on the mechanism of the central bank collateral framework,and found its heterogeneity effects on enterprises with different ownerships.Finally,this paper improved the research on the effects of the central bank collateral framework from the perspectives of monetary policy and bond market environment.For the improvement of important and weak areas in the economy,the central bank can adjust its collateral framework to relevant incorporate bonds or credit assets,so that the financing costs of these sectors will be reduced,and the financing difficulty of private enterprises will be alleviated.Furthermore,in the process of implementing the collateral framework,monetary policy environment and bond market environment should be taken into account,so as to make the central bank collateral framework work better.