经济政策不确定性、展期风险与债券利差

Economic Policy Uncertainty, Rollover Risk and Corporate Credit Spreads

债券市场高质量发展是优化金融结构、实现产业升级的内在要求。本文利用2010—2020年我国上市公司发行的信用类债券交易数据,研究经济政策不确定性与债券信用利差之间的关系。研究发现:二者之间显著正相关,在考虑内生性问题后结论依然稳健;将债券信用利差分解为违约利差与流动性利差,发现经济政策不确定性对两者均有显著影响。进一步检验显示,经济政策不确定性通过债务展期渠道影响信用利差,企业展期风险加剧了经济政策不确定性对债券违约利差的正向效应。本文实证结果表明,降低经济政策不确定性,对降低企业债务成本和信用风险至关重要。

China′s economic development is experiencing the transformation from rapid growth to structure improvement and industrial upgrading. During this process, firms are facing increasing economic policy uncertainty(EPU) in their financing and investment activities. Existing literature has demonstrated that EPU has a significant effect on the pricing of credit default swaps, firm′s borrowing cost, and the lending behavior of commercial banks. However, research on the impact of China′s EPU on corporate borrowing cost is quite limited. This paper examines how EPU may affect Chinese firms′ bond credit spreads,and the role played by rollover risk, namely the risk from debt refinancing. The paper uses the transaction data of credit bonds issued by Chinese listed companies during 2010-2020 to estimate bond credit spreads, and follows Davis et al.(2019) to use their EPU Index which is constructed based on information from China′s two mainstream newspapers—People′s Daily and Guang Ming Daily. Firstly, this paper finds that finding is that bond credit spreads increase when EPU is greater after controlling for endogeneity. This positive impact is stronger for private firms than for state-owned enterprises, for bonds closer to maturity, and for bonds with lower credit ratings. Secondly, the paper decomposes bond credit spreads into default spreads and liquidity spreads, finding that EPU has significant impacts on both components, which is the first to study the impact of EPU on the two parts of credit spreads. Further analyses show that EPU affects credit spreads through the rollover risk channel. The impact of EPU on credit spreads is significantly stronger for firms with higher rollover risk. Finally, we demonstrate that rollover risk intensifies the positive effect of EPU on bond default spreads. This study shows that reducing EPU is important to lower the cost of corporate debt, especially for firms with higher rollover risk.