外部冲击、内部治理与公司债券违约:基于美国的实证检验

External Shocks,Internal Governance and the Corporate Bond Defaults: Based on The Empirical Test of United States

连续的债券违约事件打破了我国债券市场刚性兑付的历史纪录,但违约现象在发达债券市场却也是常态。公司债券违约既是宏观经济波动的一种表现,又是公司内部治理绩效的最终结果。本文以美国公司债券市场为研究对象,选择公司债券违约率为被解释变量,经济增长率、通货膨胀率、基准利率和企业利润率、托宾Q值波动率分布为宏观和微观解释变量,利用1961—2014年的时间序列数据进行逐步回归检验,发现五个解释变量与公司债券违约率呈负相关变化,它们每提高1%,会分别使公司债券违约率降低0.13%、0.26%、0.44%、0.02%和0.17%。为此,提出了从加强立法建设、实施逆周期监管、完善信用评级、建立分担机制四个方面提高国内债券信用风险管理的水平。

The continuous bond defaults break the history of rigid redemption in our bond market. But the bond default is a normalized phenomenon in the developed market. The article will be the United States as the research object, select the default rate of corporate bonds as explained variable, select the economic growth rate,inflation rate,the benchmark interest rate, profit margins, volatility of tobin Q as explanatory variables, using the time series data from 1961 to 2014 to do multiple regression test. The empirical results found that five explanatory variables are negatively correlated with corporate bond default rate. An in-crease 1% of them will lower the default rate respectively 0. 13% ,0.26% ,0.44% ,0.26% and 0. 4 4 % . For this,we put forward to strengthen legislation construction, from the implement counter - cyclical su-pervision, perfect the credit rating,to set up the risk sharing mechanism. That can improve the level of do-mestic bond credit risk management.