公司债券违约与金融脆弱性的关系研究

Research on the Relationship between Corporate Bond Default and Financial Fragility

文章选取2014-2020年月度指标数据运用主成分分析法构建金融脆弱性指数,结合公司债违约数据,运用计数模型、VAR模型探究金融脆弱性与公司债违约之间的关系,并利用马尔可夫区制转换模型和门限模型进行区制划分,得到不同区制下二者的关系。结果表明:金融脆弱性指数呈波动上升趋势,金融脆弱性与公司债违约的关系是互相促进的;在“低脆弱性”状态下,债券违约金额和违约数量对金融脆弱性的影响不显著,而在“高脆弱性”状态下,则有显著促进作用;债券发行规模也会促进违约率提高和金融脆弱性增加,在债券发行规模较大区间,债券违约对金融脆弱性的促进作用更大。因此,应该控制债券发行规模,规范债券发行机制,降低违约率。

The authors select the monthly index data from 2014 to 2020, and use the principal component analysis method to construct the financial fragility index. Combined with the corporate bond default data, the authors use the counting model and VAR model to explore the relationship between financial vulnerability and corporate bond default, and use the Markov regime conversion model and threshold model to divide the regimes, so as to obtain the relationship between the two under different regimes. The results show that the financial fragility index fluctuates and rises, and the relationship between financial fragility and corporate bond default promotes each other. In the "low fragility" state, the number of bond default and default amount have no significant impact on the financial fragility;However, in the "high fragility" state, they promote the financial fragility significantly. The scale of bond issuance will also promote the increase of default rate and financial fragility.In the range of large scale of bond issuance, bond default plays a greater role in promoting financial fragility. Therefore, we should control the scale of bond issuance, standardize the bond issuance mechanism and reduce the default rate.