权益市场的不确定性是否推高了公司的债券利差?——来自风险与模糊不确定性的经验证据

Does the Uncertainty of Equity Market Promote the Bond Spread?——Evidence from Risk and Ambiguity Uncertainties

近年来我国债券市场频繁出现高信用评级债券违约的现象,聚集性违约与股债两市风险“互溢”和“互补”频繁更迭是否存在关联引起了广泛的关注.论文从公司权益风险与风险的模糊不确定性视角,讨论了权益价格的两种不确定性对债券利差的影响.使用权益的波动率之波动来度量公司权益风险的模糊不确定性,利用2009–2021年我国A股的日内高频数据与匹配的公司债和企业债数据进行实证研究发现,公司权益价格的两种不确定性对债券利差呈完全相反的影响.权益的模糊不确定性与债券利差呈显著的“异向震荡”和“互补”关系,波动率之波动每增加1单位标准差,将引起债券年利差平均下降3个基点.而权益的风险不确定性对债券利差呈显著的“同向联动”和风险“互溢”关系,权益波动率风险每增加1个单位标准差,将引起债券年利差平均上升8个基点.进一步的实证发现,权益风险和风险的模糊不确定性与债券利差的异向影响,在民营企业发行的债券、低信用评级和长期债券中表现尤为突出.机制分析表明,债券的违约距离、公司的预防性储蓄和投资者的模糊性偏好异质性是权益风险的模糊不确定性对债券利差产生影响的可能渠道.论文的结果对股债两市的风险监管和公司信息披露要求提出了有价值的政策建议.

Recently, there are frequent defaults of bonds with high credit ratings in China’s bond market. It attracts wide attention to whether there is any correlation between the phenomenon of clustered defaults and the frequent turnover of risk“spillovers” and “complementarities” in both equity and bond markets. This paper discusses the impact of risk and ambiguity uncertainties on bond spreads. Using the volatility of equity volatility to measure the ambiguity of equity risk, this paper adopts high frequency data of A-share market and matching it with corporate bonds between 2009–2021 to do empirical analysis, which finds that the two types of uncertainty in corporate equity prices have opposite effects on bond spreads. There is a significant“anisotropic oscillation” and “complementary” relationship between ambiguous uncertainty of equity and bond spreads. When the volatility of equity volatility increases one standard deviation, the annual bond spreads will decrease three basis point on average. However, the risk uncertainty of equity has a significant “isotropic” and “reciprocal” relationship with bond spreads. When the risk of equity volatility increases one standard deviation, the annual bond spreads will increase eight basis point on average. Further empirical evidence reveals that the heterogeneous effect of equity risk and ambiguous uncertainty of risk on bond spreads is particularly pronounced for bonds issued by private companies, low credit-rated and long-term bonds. The analysis also suggests that the default distance of bonds, precautionary savings of firms and heterogeneity of investors’ ambiguity preferences are possible mechanisms by which ambiguous uncertainty of equity risk acts on bond spreads. The results of the paper provide valuable policy recommendations for risk regulation and corporate disclosure requirements in both equity and bond markets.