担保对信用债流动性的影响研究

The Effect of Guarantee on Credit Bond Liquidity

以2010~2017年10月交易所和银行间上市的公司债和企业债为样本,基于六种流动性指标,从交易规模、交易成本、交易频率和价格冲击四个维度,考察显性担保和隐性担保对债券流动性的影响。研究发现,显性担保对流动性的影响因流动性度量维度的不同而存在差异。显性担保对债券交易规模没有显著影响,但能够降低交易所和银行间债券的交易成本、提高交易所债券交易频率;在交易所债券市场上,显性担保能够减小单位成交量对价格的冲击,但在银行间债券市场上的影响方向相反。无论是在银行间市场还是交易所市场上,政府隐性担保均不能够为中央和地方国企债的流动性带来明显的优势。

Based on the sample of corporate bonds and enterprise bonds in exchange and inter-bank market during 2010~2017, this paper employs six liquidity measures to investigate the impact of explicit and implicit guarantee on bond liquidity. The results suggest that the impacts that explicit guarantee has on liquidity depend on different aspects of liquidity measures. Firstly, explicit guarantee has no significant impact on transaction volume. Secondly, explicit guarantee improves liquidity by reducing transaction cost for both corporate bonds and enterprise bonds and promoting transaction frequency for corporate bonds. Thirdly, explicit guarantee improves liquidity from the aspect of price impact for corporate bonds while decreases liquidity for enterprise bonds. Finally, regardless of corporate bonds and enterprise bonds, implicit guarantee cannot exert a positive impact on the liquidity of central and local state-owned enterprise bonds.