【摘要】 本文基于民营企业(超)短期融资券数据和信用风险缓释凭证(CRMW)微观数据，实证探究信用衍生品发行对我国民营企业融资成本的影响。研究表明，信用衍生品发行仅在政策出台初期发挥了降低民营企业债券融资成本的“保险增信”效应；2020年后，其作用转变为提高民营企业债券融资成本的“包装信号”效应，且该效应在发债企业信息不透明、CRMW保险质量较差情况下更显著。为解释这一现象，本文建立了一个包含噪声的信号传递模型，在信息不对称的理论框架下同时刻画了信用衍生品“保险增信”与“包装信号”两种对企业融资成本完全相反的作用；同时，基于投资者风险偏好变化视角回答了两种效应转换背后可能的机制，并通过实证数据进行定量验证。本研究丰富了现有文献对信用衍生工具创设与企业融资成本决定的认识，为进一步发展信用衍生品市场，畅通民营企业融资增信渠道提供了实证证据与决策借鉴。更多还原

【Abstract】 This paper examines the effect of credit derivatives on the financing costs of private enterprises in China using micro-level data on Credit Risk Mitigation Warrants(CRMWs). Motivated by the policy goal of alleviating private firms’ financing constraints following the 2018 credit crunch, the Chinese government reintroduced credit derivatives as a credit enhancement instrument. We find that in the initial stage of policy implementation before 2020, CRMW issuance significantly reduced bond spreads for private firms, consistent with an insurance effect. However, this effect reversed after 2020, as CRMW issuance began to be interpreted as a negative signal of firm quality, thereby increasing financing costs—a phenomenon we refer to as the signaling effect.To account for this shift, we develop a noisy signaling model embedded in an information asymmetry framework. The model captures the coexistence of two contrasting market equilibria: one in which high-quality firms use CRMWs to credibly signal their creditworthiness and reduce financing costs, and another where low-quality firms strategically adopt CRMWs to improve the likelihood of issuance and increase investor acceptance, causing investors to interpret CRMWs issuance as a signal of weaker credit quality and thereby increasing financing costs. Based on the theoretical model, we further find that the transition between these equilibria is plausibly driven by increased investor risk aversion under high levels of signal noise.Empirically, we construct a matched sample of 1,171 private enterprise short-term and super short-term commercial papers issued between 2017 and 2023, combined with data of CRMWs. We then estimate a panel regression controlling for industry and time fixed effects. Our baseline results confirm the insurance effect before 2020 and the signaling effect after 2020. Further heterogeneity analyses reveal that the signaling effect is more pronounced among firms with lower financial transparency and when the insurance contract provided by CRMW is less credible. We provide additional empirical evidence that investor risk aversion plays a key role in the observed effect reversal. By interacting CRMW issuance with both macroeconomic and bond market indicators of risk preference, we find that heightened risk aversion amplifies the signaling effect. When investor sentiment is optimistic, CRMWs help reduce financing costs; under pessimistic conditions, CRMWs might be perceived as signals of hightened default risk and lose its intended effect.We further examine the manifestation of the insurance and the signaling effects across broader issuer types and financing contexts. While the ability of credit derivatives to lower financing costs has diminished in certain periods, they still significantly boost investor demand and improve issuance success rates, thus easing financing constraints for private firms. Moreover, post-2020 pricing inversion associated with CRMW issuance is also observed among state-owned enterprises and longer-term bonds, suggesting the existence of a broader pricing pattern for external credit enhancements in China’s bond market.This study contributes to the literature on credit derivatives and firm financing in three main ways. First, it provides micro-evidence of the time-varying roles of CRMWs in China’s bond market. Second, by analyzing CRMW as a distinct external credit enhancement tool, it enriches the literature on the pricing of guarantees and insurance contracts in China’s credit market, offering new evidence for risk assessment and bond pricing of private firms. Third, it advances signaling theory by incorporating both positive and negative effect of credit guarantees into a single framework. By introducing signal noise into a classic model, we explain the dual role of CRMWs under asymmetric information and identify an equilibrium shift driven by changes in investor risk preference.These findings offer several policy implications. Regulators should improve market transparency and guide the proper interpretation of credit derivatives. Encouraging the participation of high-quality financial institutions in CRMW issuance may also mitigate negative signaling effects. Finally, developing a secondary market for credit derivatives and improving pricing mechanisms would facilitate better risk pricing and reinforce the role of credit derivatives in supporting private sector financing.更多还原