货币政策支持对公司债信用利差的影响

The Impact of Monetary Policy Support on Corporate Bond Credit Spreads

使用我国沪深上市公司2019—2022年债券发行月度数据,利用双重差分法探讨货币政策支持对公司债信用利差的影响。结果表明:政策实施显著收窄了债券信用利差,且实施效果在不同资产规模、发债规模、劳动密集度、资本密集度下具有一定异质性;将信用利差分解为流动性利差与违约利差后,发现其主要通过降低违约利差来收窄信用利差。进一步对观测期内具体货币政策工具操作进行短期事件研究发现,下调中期借贷便利利率与常备借贷便利利率对信用利差的收窄作用呈现国有企业与高信用评级“偏好”,而下调金融机构存款准备金率引起的收窄作用并未有明显差异。为更好地发挥货币政策对直接融资市场调控的功能,应着力完善货币政策对债券市场信用利差结构的影响框架,加快构筑市场风险协同监测机制。

Using monthly data from 2019-2022 on bonds issued by listed companies in China's Shanghai and Shenzhen,we use the double-difference method to explore the impact of monetary policy support on credit spreads in the corporate bond market.The results show that the policy implementation significantly narrows bond credit spreads,and the implementation effect is somewhat heterogeneous under different asset sizes,debt issuance sizes,labor intensities,and capital intensities;after decomposing credit spreads into liquidity spreads and default spreads,it is found that it narrows the credit spreads mainly by reducing default spreads.A further short-term event study of specific monetary policy instrument operations during the observation period found that the narrowing effect of the reduction of the medium-term lending facility rate and the standing lending facility rate on credit spreads showed a"preference"for state-owned enterprises and high credit ratings,while the narrowing effect caused by the reduction of the reserve requirement ratio for financial institutions was not significantly different.In order to better utilize the function of monetary policy in regulating the direct financing market,efforts should be made to improve the framework for the impact of monetary policy on the structure of credit spreads in the bond market,and to accelerate the construction of a coordinated monitoring mechanism for market risks.