擔保對中國債券的信用評級與收益率差之影響

Effects of Guarantees on the Relationship Between Credit Rating and Bond Yield Spread

本文以2007年至2015年間，獲得中國本土信評機構所發布評級的非金融信用債為研究對象，實證結果發現：第一，擔保在中國的債券市場扮演重要信用增強的效果；第二，雖然中國的債券市場被批評存在評級膨脹的現象，但中國的債項評級仍可以解釋收益率差；第三，投資人對因為獲得擔保而使債項評級提升的債券，要求較高的風險溢酬，且當擔保人為地方國有企業或專業的擔保機構時，此結論尤其獲得支持；第四，除了考慮債項評級以外，投資人也會考量擔保人的信用評級，擔保人的信用評級愈差，投資人要求的風險溢酬也愈高。

This study uses non-financial bonds to investigate how the guarantees affect bond credit ratings and yield spreads in China. With our sample spanning from 2007 to 2015, the results are as follows. First, the guarantees enhance the effect of credit ratings. Second, credit ratings still explain bond yield spreads even though the rating inflation phenomenon is popular in China. Third, investors demand higher risk premiums for bonds with guarantees versus similar bonds without guarantees. This evidence is more pronounced when the guarantors are local state-owned enterprises (SOEs) or specialized guarantee corporations than other types of firms. Fourth, investors also consider the credit rating of the guarantor with the risk premium being higher for guarantors with lower credit ratings.