新型货币政策视角下的债券违约风险防范与化解：基于信用利差分解的研究

在十九大“守住不发生系统性金融风险的底线”的背景下，本项目将围绕债券违约风险防范与化解这一重大现实问题，以违约风险的测度与分解为铺垫，从微观层面分析发行人与担保机构重要特征对债券违约风险的影响，在此基础之上，从宏观政策层面探讨新型货币政策通过市场主体防范化解违约风险的作用。主要任务包括：①估计债券的违约距离，并拓展信用利差分解法，从而测度债券的违约溢价与违约损失溢价，反映不同维度的违约风险。②注重以往被忽视的发行人债务结构，分析不同融资方式的作用机理，探讨债务结构对不同维度债券违约风险的影响。③着重探讨不同类型担保机构的动机与意图，研究不同担保机构对债券违约风险的作用及其机制，为担保有效性的讨论提供新视角。④结合违约风险测度以及市场主体的研究，基于新型货币政策视角，分别探讨中期借贷便利与担保品管理框架对债券违约风险的影响，并对其传导渠道进行分析，丰富“现代中央银行制度”理论。

Under the background of "hold the bottom line of no systemic financial risks" in the 19th National Congress of the CPC, this project focuses on the prevention and resolution of bond default risk. Based on the measurement and decomposition of default risk, this project analyzes the impact of the important characteristics of issuers and guarantee institutions on the bond default risk from the micro level. On this basis, this project discusses the role of unconventional monetary policy in preventing and defusing default risk through market entities from the macro policy level. In detail, we have the following research targets: ①By estimating the default distance of bonds and expanding the credit spread decomposition method, the default premium and default loss premium of bonds can be measured to reflect the default risk of different dimensions. ②This project focuses on the debt structure of issuers, which has been neglected in the past, analyzes the mechanism of different financing channels, and discusses the influence of debt structure on the default risk of bonds of different dimensions. ③This project focuses on the motivation and intention of different types of guarantee institutions, and studies the role and mechanism of different guarantee institutions on bond default risk, so as to provide a new perspective for the discussion of guarantee effectiveness. ④Combined with the research of default risk measurement and market entities, based on the perspective of unconventional monetary policy, this project discusses the impact of medium-term lending facilities and collateral framework on bond default risk, and analyzes its transmission channels, enriching the theory of "modern central banking system".