池鱼之殃:债券型基金“踩雷”的传染效应研究

Hurting the Innocent:The Role of Bond Mutual Funds in Propagating Idiosyncratic Bond Defaults

债券违约可能影响机构投资者行为,进而影响公司债券市场,加速金融风险的扩散。为深入探究这一问题,本文基于债券型基金“踩雷”这一情境,使用PSM-DID方法评估基金“踩雷”对公司债券市场的影响。研究结果表明,基金“踩雷”后经历了更严重的净值下跌和投资者赎回,导致其被迫低价抛售持有的其他非违约债券,使得这些债券的二级市场信用利差提高约9.26%。本文还发现与“踩雷”基金持有相同债券的基金也会放大这一传染效应,进而对债券型基金行业和公司债券市场产生更大的负面冲击。本文的研究对于完善非银行金融机构监管、防范化解重大金融风险具有重要启示意义。

Could idiosyncratic bond defaults trigger a systematic financial crisis?Using mutual funds’bond holding data,this paper studies how idiosyncratic bond defaults are propagated by bond mutual funds’behavior,causing potential systematic risks.Bond mutual funds invest in illiquid assets while providing liquid claims to shareholders.Therefore,when a portfolio bond defaults,bond mutual funds experience significant redemptions and liquidity needs and,as a result,they have to sell their holdings of non-defaulted corporate bonds.Selling pressure leads to a 9.26%increase in credit spreads on these non-defaulted bonds.On the other hand,it is found that funds with the same bond holdings can further amplify this direct contagion effect,which has negative impacts on the entire bond fund industry and the corporate bond market.These findings suggest that bond mutual funds with high liquidity needs may act as a transmission mechanism that explains idiosyncratic risk contagion that may ultimately become systematic.