理解中国不断演变的信用风险迷宫

Ronald W. Anderson
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摘要

本文分析了中国非金融企业债券市场信用风险的影响因素。通过研究单个公司和企业债券的月度观察数据集,可以看到市场的一些重要结构特征可以解释收益率息差的横截面和时间序列变化。该分析揭示了政府隐性担保的问题。结果表明,中国当局为重组地方公共财政而采取的措施,正将此类担保集中在少数领域,并将更严格的财务纪律引入市场的其他领域。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Understanding China’s Evolving Credit Risk Maze
This paper analyses factors that account for credit risk in the Chinese market for bonds issued by non-financial enterprises. By exploring a data set of covering monthly observations of individual corporate and enterprise bonds a number of important structural features of the market are seen to account for cross sectional and time series variations of yield spreads. The analysis sheds light on the issue of implicit government guarantees. The results suggest that steps taken by Chinese authorities to restructure local public finance are concentrating such guarantees to a few segments and are bringing greater financial discipline to other segments of the market.
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