公司对外担保违约风险传递机理和影响效应研究——基于上市公司债券利差数据的实证分析

›› 2015, Vol. 27 ›› Issue (7): 3-14.

• 金融与金融管理 • 下一篇

公司对外担保违约风险传递机理和影响效应研究——基于上市公司债券利差数据的实证分析

冷奥琳¹, 张俊瑞¹, 邢光远²

1. 西安交通大学管理学院, 西安 710049;
2. 西安交通大学经济与金融学院, 西安 710061

收稿日期:2014-03-28 出版日期:2015-07-30 发布日期:2015-07-31
作者简介:冷奥琳,西安交通大学管理学院博士研究生;张俊瑞,西安交通大学管理学院教授,博士生导师,博士;邢光远,西安交通大学经济与金融学院博士研究生.
基金资助:
国家社科基金重大项目(12&zD071);国家自然科学基金项目(71172186,71472148);教育部新世纪人才支持计划项目(NCET-07-0309).

The Mechanism of Risk Transfer by Loan Guarantees ——An Empirical Study of Chinese Bond Market

Leng Aolin¹, Zhang Junrui¹, Xing Guangyuan²

1. School of Management, Xi'an Jiaotong University, Xi'an 710049;
2. School of Economics and Finance, Xi'an Jiaotong University, Xi'an 710061

Received:2014-03-28 Online:2015-07-30 Published:2015-07-31

摘要/Abstract

摘要：

截止2011年12月30日我国上市公司提供的担保余额超过7千亿元人民币,2007-2011年超过半数的上市公司提供或存在担保业务.目前研究关注担保对提供担保公司价值的影响,却忽视了违约风险在担保公司与被担保人间的风险转移是影响企业价值的根本原因.本文基于我国发行债券上市公司2007-2011年财务数据、对外担保情况以及公司债交易数据,测算对外担保对上市公司债券利差(公司债券与国债间到期收益率的差异)的影响因素和作用效果,揭示了提供担保业务对公司违约风险的影响.结果表明,在风险防范措施完备的情境下公司提供担保业务并不会增加公司的违约风险;当公司最终控制人为国家时,存在对外担保风险管理不足或者利益输送问题从而增加了提供担保公司的违约风险.

关键词: 对外担保, 担保人, 违约风险, 利差

Abstract:

By 30^th December 2011, the total amount of loan guarantees provided by the listed companies in Chinese stock market has passed 700 billion yuan. During the period from 2007 to 2011, more than half of the listed companies issued loan guarantees. Many studies have discussed the impact from guarantee on guarantors' value. However, the risk transfer from the guarantees to the guarantor has not been studied. In this paper, we choose data from China's listed companies which issued bonds, and analyze the impact from loan guarantees on companies' bonds credit spreads. The empirical results show that if the risk of loan guarantees is fully managed, providing loan guarantees will not affect guarantors' default risk. However, when the firm is controlled by the government, providing guarantees will increase guarantors' default risk.

Key words: loan guarantee, guarantor, default risk, credit spread

冷奥琳, 张俊瑞, 邢光远. 公司对外担保违约风险传递机理和影响效应研究——基于上市公司债券利差数据的实证分析[J]. , 2015, 27(7): 3-14.

Leng Aolin, Zhang Junrui, Xing Guangyuan. The Mechanism of Risk Transfer by Loan Guarantees ——An Empirical Study of Chinese Bond Market[J]. , 2015, 27(7): 3-14.

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公司对外担保违约风险传递机理和影响效应研究——基于上市公司债券利差数据的实证分析

The Mechanism of Risk Transfer by Loan Guarantees ——An Empirical Study of Chinese Bond Market

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