汇率风险暴露会影响公司债的定价吗?

Does exchange rate exposure affect the pricing of corporate bonds?

本文以中国2006–2019年发行的全部上市公司债券为研究对象,探讨了汇率风险暴露对公司债风险溢价的影响及潜在的作用机制.研究结论表明,公司更高的汇率风险暴露将增加公司债风险溢价和预期违约概率.其中,公司汇率风险暴露每增加1个标准差,公司债的风险溢价增加5个基点.更高质量的信息披露会削弱汇率风险暴露和公司债风险溢价间的正相关关系.更多的实证证据表明汇率风险暴露会使公司在债务违约事件中承担更多的价值损失.公司的汇率风险暴露将激化股东和债权人的利益冲突,导致更多的低效率投资.在融资约束更严重的公司中,汇率风险暴露将更显著地增加公司债的风险溢价.我们还借助“811汇改”,识别了汇率风险暴露和公司债风险溢价的因果关系.本研究为汇率风险暴露对公司债券融资行为的影响提供了新的证据,同时也基于不确定性和信息不对称视角解释了汇率风险暴露影响公司债风险溢价的内在逻辑.

This paper examines the impact and potential mechanisms of exchange rate exposure on corporate bond risk premiums using all listed company bonds issued in China from 2006 to 2019.The research findings indicate that higher exchange rate exposure of a company increases its bond risk premiums and expected default probability.Specifically,for one standard deviation increase in a company’s exchange rate exposure,its bond risk premium increases by 5 basis points.Higher quality of information disclosure is expected to attenuate the positive correlation between exchange rate exposure and corporate bond risk premiums.More empirical evidence shows that exchange rate exposure increases the value loss that a company incurs in debt default events.A company’s exchange rate exposure intensifies the conflict of interests between shareholders and bondholders,leading to more inefficient investments.In companies with stricter financing constraints,exchange rate exposure significantly increases the risk premium of their bonds.By leveraging the“811 Exchange Rate Reform”,we identify the causal relationship between exchange rate exposure and corporate bond risk premiums.This study provides new evidence on the impact of exchange rate exposure on corporate bond financing behavior and explains the inherent logic of how exchange rate exposure affects bond risk premiums from the perspective of uncertainty and information asymmetry.