产能利用率与债券信用利差——基于随机前沿函数的分析

Capacity Utilization and Bond Credit Spreads:Based on Stochastic Frontier Analysis

以2008-2017年沪深上市公司债券数据为研究样本,考察我国债券市场对企业产能利用情况的信息传递效率。结果发现:产能利用率与企业债券信用利差负相关,产能过剩的企业债券信用利差更高,但存在不对称的提前和延迟反应效果。进一步研究表明,与民营企业相比,国有企业债券识别产能过剩风险的能力被削弱;经济政策不确定性提升了债券市场对产能利用信息反应的敏感性;担保人的存在强化了债券定价的信号传递效率,但当产能严重过剩时,担保人的存在反而不利于信用风险的及时暴露;"去产能"宏观政策对债券市场传递微观企业产能利用信息也有显著的调节效应。实证检验显示,我国债券市场能够传递产能过剩背后的风险,对产能利用率低的企业具有治理作用。研究结论为金融服务实体经济提供了债券市场的证据,对当前改善产能过剩和提高企业经营效率具有重要的启示意义。

Based on the 2008-2017 Shanghai and Shenzhen listed company bond data,this paper examines the information transfer efficiency of China′s bond market to overcapacity.The results show that the capacity utilization rate is negatively correlated with the credit spread of corporate bonds,and the bond credit spread of overcapacity enterprises is higher,but this relationship has asymmetric early and delayed response effects.Compared with private enterprises,the ability of state-owned enterprise bonds to identify risks of overcapacity is weakened.Economic policy uncertainty can significantly enhance the bond market′s response to capacity utilization.If bonds have guarantors,the relationship between capacity utilization and credit spreads will be enhanced. However,when there is a serious excess capacity in company,the existence of the guarantor is not conductive to the timely exposure of credit risk. The "de-capacity" macro policy in 2015 reinforces the bond market′s response to capacity utilization information.The research conclusions show that China′s bond market can transmit the risks brought by overcapacity and have a governance role for enterprises with low capacity utilization.The article provides empirical evidence from the bond market for the financial resources service real economy,which has important implications for the improvement of overcapacity in China and the improvement of business efficiency.