经济政策不确定性、风险承担与公司债信用价差

Economic Policy Uncertainty,Risk Taking,and Credit Spread of Corporate Bonds

以2007~2018年公司债为样本探讨经济政策不确定性对公司债信用价差的影响以及具体的传导机制,研究发现:经济政策不确定性的增加会显著提高公司债的发行价差,但这种影响会因为发行人的产权性质与信息质量而产生显著的非对称效应;同时发行人的风险承担水平在经济政策不确定性与公司债信用价差之间发挥了中介作用,经济政策不确定性越高,发行人的风险承担水平就越高,导致投资者会要求获得更高的风险溢价而提高信用价差。

Using the corporate bonds of 2007 to 2018 as a sample,this study discusses the impact of economic policy uncertainty on the credit spreads of corporate bonds,as well as its transmission mechanism.The findings of this study are summarized as follows:1)A rise in economic policy uncertainty will significantly increase the issue price spreads of corporate bonds,but such impact presents a significant asymmetric effect,depending on the nature of issuers’ownership and quality of information;2)The risk-taking ability of issuers has a mediating effect between economic policy uncertainty and credit spreads of corporate bonds.The higher the economic policy uncertainty,the higher the risk-taking ability of issuers;in this case,investors want to obtain higher risk premiums,thus increasing credit spreads.