信用風(fēng)險緩釋憑證改善了債券發(fā)行利差嗎？

——來自債券層面的證據(jù)

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鍵詞：信用風(fēng)險緩釋憑證；信用衍生品市場；銀行間信用債；債券發(fā)行定價；保險效應(yīng)中圖分類號：F832.51 文獻(xiàn)標(biāo)識碼：A 文章編號：1007-5097（2025）03-0116-13

Does Credit Risk Mitigation Warrant Improve Bond Issuance Spreads？ EvidencefromBondLevel

CHEN Dongjun， SONG Futie

（School of Business，East China University ofScience and Technology，Shanghai 2Oo237，China）

Abstract：Promoting financial services to support thereal economyandasisting enterprises inovercoming financing obstaclesare pivotal undertakings in thedevelopment ofa financial powerhouse.Theessy examines whetherand how creditrisk mitigation warrant （CRMW）afects theissuance spreadsoftheunderlying bonds，usingdatafrom（super）shortterm commercial papers and medium-term notes publicly issed inthe interbank market fromOctober 2018 to December 2023.Research findings： CRMW significantly elevates the financing costs of theunderlyingbonds，aconclusion that remainsvalid after various endogeneityandrobustnesstests.Mechanism testsreveal that，due to the limitations of an immature market，CRMW hasyet to fullachieve its intended insurance efect.While CRMWcontributes to mitigating marketdisagreements，itconcurrently leadstoasignificant increase inboththeminimumand maximumsubscription rates for investors.Theescalation in interest rates atributable to CRMW is particularly pronouncedamong issuers with highcredit level.CRMW iscapable of providing financing supportand substantiallyreducing the issance spreadof underlying bonds only whenthecredit market experiences undersupply and the bond market'scredit risk premium is relativelyelevated.The research findings provideempirical evidence fromemerging marketson the impactof credit derivatives on thebond market.Theseinsights holdsignificant implicationsforthefurtherdevelopmentandimprovement of the credit derivatives market，as wellasforbolstering thebond market's capacity to facilitatecorporate financing.

Key Words：creditrisk mitigation warrant; credit derivatives market; interbank credit bonds;bond isuance pricing; insurance effect

一、引言

2023年中央金融工作會議強(qiáng)調(diào)，要著力打造現(xiàn)代金融機(jī)構(gòu)和市場體系，疏通資金進(jìn)入實(shí)體經(jīng)濟(jì)的渠道。（剩余19958字）