中国产业债风险传导网络及影响因素研究

Research on the Risk Transmission Network and Influencing Factors of Industrial Bonds in China

采用复杂网络方法,以2011年11月至2021年11月发行的全部一年期及以上产业债为研究对象,以产业债平均风险利差量化债券风险,利用弹性网络回归方法构造了发债主体间和主体行业间风险传导网络模型,剖析了产业债市场静态和动态风险传导效应,并在此基础上研究了产业债市场风险传导效应的影响因素。研究发现,中国产业债市场上易出现风险利差同升降的情况;通过产业债风险传导网络的度分布,可有效识别系统性风险较高的发债公司及行业;近十年间系统性风险最高的前十大公司分布较为分散,行业相对集中,主要为公用事业、技术硬件与设备等;从风险传导效应的影响因素来看,控制杠杆率和提高盈利能力可有效降低产业债发行主体的风险溢出效应。

Using the Complex network method,taking all one-year and above industrial bonds issued from November 2011 to November 2021 as the research object,quantifying the bond risk with the average risk spread of industrial bonds,using the elastic network regression method,this paper constructs a risk transmission network model between bond issuers and between main industries,and analyzes the static and dynamic risk transmission effects of the industrial bond market.And based on this,the influencing factors of the risk transmission effect in the industrial bond market were studied.Research has found that there is a tendency for risk spreads to rise and fall in the Chinese industrial bond market.Through the degree distribution of the industrial bond risk transmission network,it can effectively identify the bond issuing companies and industries with high systematic risk.The top ten companies with the highest systematic risk in the past decade are relatively dispersed and the industry is relatively concentrated,mainly including utilities,technical hardware and equipment.From the perspective of the influencing factors of risk transmission effect,controlling leverage ratio and improving profitability can effectively reduce the risk spillover effect of industrial bond issuers.