【摘要】 本文基于2014—2019年间信用债违约事件探讨地区内的风险传染。研究发现，债券违约造成投资者从当地民企债中逃离而流入城投债，二级市场上城投债利差表现为避险效应，民企债利差表现为溢出效应。信用风险从二级市场向一级市场的传导存在时滞，一级市场在中长期也发生信用配给，即城投债发行额增加，而非城投债的发行面临更高的评级门槛。本文从隐性担保预期的角度解释这一发现：第一，地方政府较强的担保能力或意愿增强担保预期，进而增强避险效应；第二，相较于建立在投资者预期上的信用事件，国企债违约、发行主体首次违约等预期外事件对隐性担保预期造成更强的冲击，加剧风险溢出，而避险效应则在重复博弈中渐强；第三，投资者的本地偏好会强化隐性担保预期所引致的本地迁徙，地区市场化程度的提高则削弱避险动机。债券违约在地区层面的风险传染在因果识别策略中依然稳健。研究发现有助于理解信用风险的定价与传导，对预警地方性债务风险及防范系统性金融风险具有现实意义。更多还原

【Abstract】 While there is extensive literature on how a local enterprise’s bankruptcy/credit defaults affects local economy, less attention has been paid to its impact on the financing cost of local enterprises and local government financing vehicles(LGFVs). In particular, the externality of corporate defaults in terms of bond pricing has been barely studied outside of the developed capital markets like the US. This paper aims to fill this gap by using an extensive collection of credit events in China’s bond market spanning from 2014 to 2019.Unlike credit markets in developed countries, China’s bond market features the deep-rooted belief that investors in municipal corporate bonds(MCBs) will always be bailed out by local governments. Moreover, institutional investors in this market exhibit a marked local bias. The expectation of implicit government guarantees and geographic segmentation jointly implies that a corporate default might induce investors’ flight-to-safety to MCBs issued by LGFVs. Indeed, we find evidence of significant flows out of bonds issued by local private enterprises and into local MCBs subsequent to a credit event. This does not only alter the debt financing costs of local enterprises and LGFVs, but also leads to a reallocation of financial resources.In the secondary market, we document significant pricing effects of flight-to-safety to local MCBs and contagion in the sector of private enterprise bonds. In other words, bond defaults trigger a significant decrease(increase) in the credit spread of local MCBs(private enterprise bonds) over the following month. More importantly, the credit risk carries over in the primary market, albeit with a time lag. Relative to non-MCBs, the financing costs of MCBs decrease after local bond defaults along with a boom in MCB issuance, while the issuance of local private enterprise bonds is likely subject to a higher threshold of credit rating. Taken together, these findings point to a unique channel for the externalities of corporate defaults, which is distinct from relevant studies on the developed bond markets. To identify the causal effect of bond defaults on the intra-regional risk spillover, we employ staggered difference-in-differences regressions. To be more specific, we use the nearest neighbor method to match each city where bond defaults occur to another observably similar city based on the macroeconomic conditions as the counterfactual city. On the premise of verifying the parallel trend hypothesis, we find that bond defaults show marginal explanatory power to the pricing of other bonds in the region. For example, within three months after the announcement of corporate default, there is an upward trend in the credit spread for private enterprise bonds of cities in the treatment group, but there is no obvious change in the credit spread for private enterprise bonds of cities in the control group.Finally, we explore how these intra-regional externalities work through investors’ expectation of bailout likelihood. First, we find that local governments’ high fiscal deficit weakens the flight-to-safety to MCBs due to limited government bailout capacity. However, increments in total debts of LGFVs beyond the contemporaneous government bailout capacity signal a greater tendency of local governments to provide implicit guarantees, which leads to a strengthened flight-to-safety. Second, investors’ belief in implicit government guarantees become shakable following unexpected credit defaults, such as state-owned enterprise defaults and the first default of any bond issuer, as these events lead to a more pronounced contagion effect. Moreover, when bond defaults become increasingly prevalent, expectations of implicit government guarantees for MCBs tend to be reinforced in repeated games, resulting in a strengthened flight-to-safety. Third, the presence of representative investors with local bias in bond portfolios tends to amplify the flight-to-safety to local MCBs. Meanwhile, higher level of marketization could mitigate local bias for bond investments and thus the intra-regional flight-to-safety effect. Overall, this paper uncovers a distinctive channel through which the spillover of credit default risk affects the financial markets. Our findings suggest the importance to incorporate implicit local government debts into the overall regulatory system to prevent systemic financial risks. On the premise of ensuring the stability of the financial market, we should use market-oriented means to mitigate credit risks, reshape market discipline, and gradually break expectations of implicit government guarantees.更多还原