我国公司债市场监管效果度量与制度完善

The Measurement of the Supervision Effectiveness of China’s Corporate Bond Market

我国公司债市场正处于快速发展阶段,这一阶段易产生信用违约风险。公司债市场累积的信用违约风险可能触发系统性金融风险。于我国而言,研究公司债市场的监管成因及效果对于防范系统性金融风险具有重要意义。本文基于实证分析,分别运用马尔科夫状态转换向量自回归模型以及脉冲响应函数模型,对我国公司债市场在不同监管周期下的监管效果问题进行了分析。结果显示,中国公司债市场存在显著的监管效果周期,而周期转换机制受到来自监管政策、公司债发行规模、社会融资规模等多种因素的动态相互影响。据此,本文提出以下建议:公司债市场监管应建立以统一监管为基础的制度改革方向与路径;公司债监管系统应在金融稳定委员会的组织下,尽快进行以功能监管为目标的制度改革,以实现市场准入条件、信息披露标准、资信评级要求、投资者适当性管理和投资者保护五个方面的统一。

With the rapidly development of China's corporate bond market,its credit default risk has been exposed.And the risk has been accumulating in the corporate bond market,which may trigger the systemic risk.As China's corporate bond market is growing continuously,the regulatory effect is closely related to various factors,such as the regulatory system.Therefore,it is necessary to study the regulatory effect of the corporate bond market and the underlying institutional reasons.Using the Wind database,this paper analyzes the regulatory effect of China's corporate bond market under different supervision cycles with a MS-VAR model and its impulse response projections.The empirical results show that the regulatory effect of the corporate bond market has undergone a leap-forward structural transformation.Moreover,the mechanism of the transition has been influenced by various factors such as regulatory policies,corporate bond issuance scale,and the social financing scale.Finally,this paper proposes the direction and path for the reform of the supervision system in China's corporate bond market.