国企债券违约、隐性担保预期与唤醒效应——来自永煤违约事件的证据

SOE Bond Defaults,Implicit Guarantee Expectation,and Wake-up Call:Evidence from Yongmei’s Default Event

“唤醒效应”是指危机事件可能会产生一种外部刺激,“唤醒”投资者获取之前忽视的信息,并重新评估相似的风险因子,从而导致个别事件引发金融市场的风险传染。文章利用国企债券永煤违约事件,验证了我国信用债市场的风险会通过“唤醒效应”这一渠道进行传染,并考察了风险传染引发国企债券隐性担保预期下降的程度、表现形式和影响渠道。研究发现,此次违约事件“唤醒”并降低了AAA主体评级的国企债券隐性担保预期。除了传统信用分析维度外,在ESG维度上,“唤醒效应”还显著降低了同为非ESG类型的国企债券隐性担保预期。机制检验表明,“唤醒效应”降低国企债券隐性担保预期的作用与地方财政负担和地方信用状况密切相关。文章基于国企债券隐性担保预期的视角,检验了债券违约的“唤醒效应”传染理论,这扩展了“唤醒效应”的应用领域和隐性担保的研究框架。文章的研究对于防范化解系统性金融风险具有参考价值。

The bond market has become an important direct financing channel to support the development of China’s real economy.Compared with private enterprises,an important feature of state-owned enterprise(SOE)bonds is that there is an implicit guarantee.The implicit guarantee of SOEs causes the distortion of risk pricing in China’s bond market and reduces the efficiency of resource allocation in the real economy.In order to change this disadvantage,since 2014,the rigid payment has been broken,and bond defaults have become normal.With the continuous occurrence of SOE bond defaults,we need to understand and analyze the market changes and impact ways brought by new defaults.Therefore,this paper intends to explore the issues through the“wake-up call”theory.“Wake-up call”means that a crisis may form an external stimulus,and“wake up”investors to acquire information about the previously ignored information and reassess similar risk factors,thus leading to individual events triggering risk contagion in the financial market.Using the unexpected AAA-rated Yongmei’s default event as an exogenous shock,this paper adopts the DID method to verify that the risk of China’s bond market can be transmitted through the channel of“wake-up call”,and studies the degree,manifestation form,and influence channel concerning the reduced expectation of implicit guarantees caused by“wake-up call”contagion.It is found that the default event“wakes up”and significantly reduces the implicit guarantee expectation of AAA-rated SOE bonds.In addition to the traditional credit analysis dimension,on the ESG dimension,“wake-up call”also significantly reduces the implicit guarantee expectation of non-ESG SOE bonds.Further mechanism testing indicates that“wake-up call”has a negative correlation with the reduction of the implicit guarantee expectation of SOE bonds,which is closely related to local finance and local credit.The main contributions of this paper are as follows:First,it uses the unexpected Yongmei’s default event as an exogenous impact to identify a new channel of risk contagion in China’s bond market,namely,“wakeup call”contagion,expanding the research framework of implicit guarantees.Second,it finds out the degree,characteristics,and mechanisms of the reduced expectation of implicit guarantees in the bond market after“wake-up call”contagion,deepening the research on implicit guarantees.Third,existing literature on the“wake-up call”theory mainly focuses on the cross-border contagion driven by a crisis,while this paper explores the effect of investor expectations on credit risk contagion in China’s bond market,expanding the application field of the“wake-up call”theory.