我国跨境债券发行规模影响因素及流动性风险度量

Cross-border Bonds in China:A Study on the Factors Affecting Issuance Scale and Liquidity Risk Measurement

跨境发行多币种债券正在逐渐成为我国双向开放进程下重要的融资渠道,也面临防范化解跨境金融风险的突出问题。一级市场的汇率风险和二级市场的流动性风险最为普遍,汇率风险极大影响了跨境债券发行,跨境债券交易的流动性风险测度也亟待解决。本文使用2008年1月以来我国跨境债券市场融资相关数据,系统分析了主要跨境债券发行规模和流动性风险的来源及影响因素,建立了考虑人民币即期汇率、汇率预期、股票价格、全球风险厌恶程度及中国经济政策不确定性等影响因素的跨境债券发行规模的多元回归模型;同时,提出了债券交易的流动性风险度量方法。研究结果表明:债券发行规模受人民币即期汇率、股票价格的正向显著影响和人民币汇率预期、全球风险厌恶程度及中国经济政策不确定性的负向显著影响;债券交易流动性风险主要来源于价格波动、交易量,而且投资级、全部、高收益不同等级的中资美元债流动性风险由高到低,但当市场处于剧烈动荡时期,高收益中资美元债流动性风险显著高于另外两种等级债券。最后,提出了防范化解跨境债券市场金融风险的对策建议。

Cross-border issuance of multi-currency bonds is gradually becoming an important financing channel in the process of China's two-way opening-up.However,it also faces prominent challenges in preventing and resolving cross-border financial risks.Exchange rate risk in the primary market and liquidity risk in the secondary market are the most common concerns.Exchange rate risk greatly affects the issuance of cross-border bonds,and the measurement of liquidity risk in cross-border bond transactions needs to be addressed.In this study,we analyze the data related to China's cross-border bond market financing since January 2008.We systematically examine the sources and influencing factors of the main issuance scale and liquidity risk of cross-border bonds.We establish a multiple regression model for the issuance scale of cross-border bonds,considering factors such as the Renminbi spot exchange rate,Renminbi exchange rate expectations,stock prices,global risk aversion,and uncertainty in China's economic policies.Additionally,we propose a method for measuring liquidity risk in bond transactions.The research findings indicate that the issuance scale of bonds is significantly influenced by the spot exchange rate and stock prices in a positive manner,while it is negatively affected by Renminbi exchange rate expectations,global risk aversion,and uncertainty in China's economic policies.The liquidity risk in bond transactions mainly stems from price fluctuations and trading volume.Moreover,the liquidity risk of Chinese offshore dollar bonds of different grades,including investment-grade,all-grade,and high-yield,varies from high to low.However,during periods of severe market turbulence,the liquidity risk of high-yield Chinese offshore dollar bonds is significantly higher than the other two grades of bonds.Finally,we propose recommendations for preventing and resolving financial risks in the cross-border bond market.