银行发行或有可转债能降低系统性风险吗？

Preventing systemic financial risk is the top one of the three tasks that China has to accomplish in order to establish a well-off society by 2020. As one of the crucial task, the risk emergency disposal mechanism needs to be greatly improved. Banks' issuance of contingent convertiable bonds (CoCo bonds) is a recent financial innovation. Such hybrid financial debt can be counted as bank capital; meanwhile, it can be automatically written off or converted to equity when the bank is in crisis. Thus far, major countries in the world have started to issue CoCo bonds, and China has been the largest CoCo bond issuance country. Although many banks have issued large amount of CoCo bonds, most academic studies are theoretical work. Empirical studies are rather scarce. In this project, we will collect CoCo bond issuance data for banks around the globe. Guided by theoretical analysis, we will build up a determinants model that explains the motive of banks to issuance CoCo bonds. Furthermore, we will conduct empirical analysis to investigate and quantify the effects of CoCo bond issuance on the systemic financial risk. These studies would greatly help us understand the usage of hybrid securities by financial institutions. They are also of great importance for developing corporate finance and bank risk management theories. Finally, this project will deepen our understanding of the global financial markets and the cross-country synergy and externality effects.

防范系统性金融风险是中国2020年全面建成小康社会的三大攻坚战之首。建立有效的风险应急处置机制是核心任务。银行或有可转债是完善风险应急处置机制的最近创新。这种新型混合债券一方面可以填充银行资本，另一方面当银行陷入危机时可以自动减计或者转化成为股权。迄今为止，全球的主要国家都发行了银行或有可转债。尤其值得关注的是，中国的发行量居世界首位，远超美国。然而，尽管银行或有可转债市场已大规模发展，学术研究尚停留在理论层面，对或有可转债的实证分析目前只是凤毛麟角。本项目研究团队将全面收集银行发行或有可转债的数据，在理论的引领下，建立银行发行或有可转债动因模型，并进行严格的实证检验，推导并量化银行发行或有可转债对系统性金融风险的影响。本课题对于理解和发展金融机构混合型融资工具的运用，公司融资理论和银行风险管理理论具有重要的科学意义，极大提高对全世界金融市场以及跨境的协同或外部溢出效应的理解。

尽管银行或有可转债市场、混合型资本工具以及信用衍生品等已大规模发展，学术研究尚停留在理论层面，对或有可转债及其他混合资本债券的实证分析目前仍是凤毛麟角。本项目组收集了超过全球30个主要国家330家银行的债券发行和财务数据，建立了影响或有可转债发行动因模型。本项目聚焦于银行混合资本债券、金融衍生品和金融风险的研究。课题组发表标注本项目的论文3篇，包括《Review of Finance》1篇，国际一流学术期刊1篇，国内知名学术期刊1篇。本项目的研究结论对于理解和发展金融机构资本金监管，银行风险管理和公司融资理论具有重要的科学意义，对银行运用资本工具规避监管和监管套利等关键问题进行了深入分析，对全世界金融市场以及跨境的协同或外部溢出效应的提供了新颖的视角，为银行管理者、监管者、投资者进行决策提供参考价值，并有助于政府及时进行宏观调控，力求避免系统性金融风险乃至金融危机的发生。