政府隐性担保风险定价：基于我国债券交易市场的探讨

Pricing the Risk of Implicit Government Guarantee:Evidence from Chinese Corporate Bond Market

近年来,中国债券市场的违约现象呈增加趋势,如何合理估计债券价格,有效度量政府隐性担保,保障投资者权益成为市场中的重要问题。本文在可违约债券CIR仿射定价模型基础上引入政府隐性担保作用,并运用卡尔曼滤波法对该隐性担保作用进行了实证考察。结果表明:(1)自2011年地方国有企业债、中央国有企业债和民营企业债开始频繁交易以来,政府隐性担保长期显著存在于我国债券市场中;(2)市场对于隐性担保预期理性,具体表现为不同信用评级、不同债券种类间隐性担保水平有明显区别:AA评级中央企业债和地方国有企业债的定价中,分别隐含着对应政府以39.9%和6.7%概率进行的隐性担保,而类似隐性担保在AA+评级中央企业债和国有企业债定价中分别为33.9%和1.2%。

Though ＂implicit＂ and not included in the debt covenants, government guarantee has long been present and has a strong effect on the pricing of corporate bonds in Chinese market. This study is to make implicit government guarantee explicit, and we extend square-root diffusion model and use a Kalman filter approach to estimate government effect with the finding that AA rated bonds issued by central and local government owned enterprises have predicted bailout possibility of 39. 7% and 6.7% respectively, while those AA ＋ rated have 33.9% and 1.2%.