我国债券市场近年来发展迅速，债券品种不断丰富，融资规模扩大，违约率和信用风险也逐渐上升，作为债券融资成本的信用利差受到广泛关注。但是与国外相关研究相比较，国内的相关研究还处于起步阶段。国内对债券信用利差和债务成本的研究多聚焦于传统的定价因素，而对于政府控股这一重要变量鲜有研究。少有的研究政府控股与信用利差关系的文献则大多仅进行实证分析，并未区分政府控股行为对信用利差正反两个方面的影响，也没有考虑到经济环境带来的影响。本文首先梳理了政府控股行为通过6种途径对企业经营与偿债行为的正反2个方面的影响，并通过KMV模型梳理了政府控股直接影响信用利差的途径。本文认为政府控股通过两个层面影响信用利差：一是政府控股行为会改变公司债券的期望违约概率EDF（带来违约概率的降低及削弱违约时点的周期性）；二是政府控股会提高违约债券的回收率。通过2007年至2018年沪深交易所上市公司发行的公司债数据，采用Borisova（2015）回归方法实证检验发现，无论经济环境如何，我国政府控股企业信用利差均低于民营企业，而在经济下行时，政府控股带来的隐含偿债保证价值更高，使得国企信用利差上升幅度小于民营企业。本文结论与Borisova（2015）在全球市场得出的政府控股公司在非危机时期信用利差高于非政府控股公司的结论不一致。中国国企由于历史地位和社会责任不同，与其他国家国企的力量及定位均有所区别，这或许是中国政府控股对债券信用利差的影响呈现与其他国家不同的现象的原因。进一步检验国家信用和地方信用发现，中央政府控股与地方政府控股对上市公司债券的信用利差存在不同的影响，国家信用降低信用利差的能力更强。基于此，本文建议，债券投资者应当在投资公司债券时充分考虑到经济环境和政府控股的影响，可以在经济环境下行的时期，投资具有更大偿债保证的政府控股的债券以降低投资风险。而对于政府控股的上市公司，在经济下行时可以通过发行公司债券的方式，获得低于其他公司的债务融资成本，同时拓宽融资渠道。
China's bond market has developed rapidly in recent years, the credit spread as the cost of bond financing has received widespread attention. However, domestic researches on bond credit spreads mostly focused on traditional pricing factors, rather than the important variable of government holdings. The few literatures only conduct empirical analysis, and do not distinguish the positive and negative effects of government holdings on credit spreads, nor do they consider the impact of the economic environment. This article believes that government holdings affect credit spreads through two aspects: First, government holdings will change the company’s expected debt default probability (By reducing the probability of default and weakens the periodicity of default); second, the government holding Increase the recovery rate of default bonds. Using Borisova et al (2015) regression method, we find that the credit spread of government-controlled enterprises in China are lower than private enterprises, and when the economy goes down, The implied debt service guarantee value brought by government holdings is higher, making the credit spread of state-owned enterprises rise less than that of private enterprises. These conclusions are inconsistent with Borisova et al (2015)'s conclusions because of Chinese government has different historical status and social responsibilities. Further examination of national credit and local credit illustrate that government-owned shares and local government shares have different effects on the credit spread of listed company bonds, and national credit has a stronger ability to reduce credit spreads. This article suggests that bond investors should fully consider the impact of the economic environment and government holdings when investing in corporate bonds. For government-controlled listed companies, when the economy is down, they can issue corporate bonds to obtain lower financing costs, while expanding financing channels.
