资管新规的防风险和促实体效应:风险分担视角

The Effects of the New Asset Management Regulation on Risk Prevention and Promoting Real Economy:The Perspective of Risk Sharing

健全资本市场功能是金融支持实体经济高质量发展的必然要求。利用资管新规这一准自然实验,本文考察了风险分担这一资本市场重要功能的完善在防范系统性金融风险和支持实体经济融资两方面所产生的影响。研究发现,在金融部门风险防范上,资管新规带来的风险承担者切换让资产管理部门更加迎合终端投资者的需求并增加抛售高风险债券,从而大大缓释了金融部门承担的风险。而在实体部门的融资效应上,资管新规后民营企业的债券融资显著减少,这导致其动用现金储备来维持投资的稳定,综合融资成本增加,经营业绩则显著下降。这些发现表明,投资者风险分担程度的上升在防风险和促实体两个方面具有异质性影响,如何兼顾防风险和促实体是未来金融政策要着力解决的关键问题。

As an essential feature of direct financing and an important function of the financial market,risk sharing can,on the one hand,better satisfy the needs of different investors and enhance the completeness and diversity of the financial system so as to support the real economy,and,on the other hand,avoid the excessive concentration of risks within the financial system,thus helping to prevent systemic financial risks.However,for a long time,China has witnessed rapid growth in the size of the capital market and at the same time the concentration of financial risk in the banking sector.Behind this seemingly contradictory phenomenon is the fact that the financial sector(mainly commercial banks)has assumed risks on the liability side that should have been borne by end investors.In April 2018,the People's Bank of China,the China Banking and Insurance Regulatory Commission,the China Securities Regulatory Commission,and the State Administration of Foreign Exchange jointly introduced the Guiding Opinions on Regulating the Asset Management Business of Financial Institutions(New Asset Management Regulation for short),the core of which is to break down the rigidity of payment on the liability side of the financial sector,reshape the form of the contract between the financial sector and end investors(shifting from a debt contract to an equity one),and improve the function of the capital market through wider risk sharing.Against the backdrop of the improving risk⁃sharing function of the financial market,an important question is:what effect will the wider risk sharing,brought about by the New Asset Management Regulation,have on the financial and corporate sectors?On the one hand,will it affect the investment behavior of financial institutions(especially the asset management sector),thereby moderating the risk borne by the financial sector?On the other hand,will it be transmitted to the liability side of the corporate sector,thus affecting the effective support of finance to the real economy?Using the exogenous shock from the introduction of the New Asset Management Regulation,this paper examines the effect of risk sharing on financial risk and corporate financing from both the financing and investment sides of the financial sector.On the investment side,the affected asset management products increase the sale of private firms'bonds to meet end investor's demand for safe cash flow.On the financing side,this paper finds that the corporate bond financing of private enterprises declined significantly after the introduction of the New Asset Management Regulation,and those firms failed to resort to bank credit as a perfect substitute.Moreover,we find that after the deterioration of the access to corporate bond market financing,private firms began to use liquidity reserves to keep their investments stable,with a significant increase in their costs of debt and a substantial decline in operating performance.The contribution of our study is threefold.First,this paper complements the literature related to the New Asset Management Regulation by providing micro evidence on both the prevention of financial sector risks and the reduction of bond financing for private enterprises.The existing literature theoretically demonstrates the necessity of the New Asset Management Regulation in preventing systemic financial risks and suggests the possible economic costs of the New Asset Management Regulation from a macro perspective.This paper finds the positive effects of the New Asset Management Regulation on the prevention of systemic risks and the negative effects on the reduction of private enterprise financing on the asset side of the financial sector and the financing side of the corporate sector,respectively,which provide micro evidence to support both of the literature described above.Second,the paper explores the allocation efficiency of financial resources from the perspective of risk sharing between financial institutions and end investors.The vast majority of the literature explores the allocation of bank credit among firms with different ownership,but this paper examines the heterogenous support for state⁃owned and private firms in the corporate bond market.Third,this paper examines the important effect of risk sharing on firm's debt(bond)financing for private enterprises,which also complements the relevant research on the bond market.