分类号密级
U D C 编号
硕士学位论文
学位论文题目：房企隐性负债对债券违约风险影响的实证
分析
姓名赖星翰
学号2021211574
学院管理科学与工程学院
学位类别：学术硕士□专业硕士□同等学力
学科专业房地产经济与管理
指导教师李文斌教授
第二导师
提交论文日期：2023年5月6日
房企隐性负债对债券违约风险影响的实证分析
Empirical analysis of the impact of housing enterprises'
hidden liabilities on bond default risk
赖星翰
Lai Xinghan
摘要
近期，中国的房地产开发企业频频陷入债务危机，影响国计民生。为控制房
企债务风险，住建部和中国人民银行其实早在2020年8月就出台了“三道红线”
的监管规定，引导房企表内债务指标持续优化，但最终仍然出现了房企的违约潮，
其中不乏所谓的“绿档”房企，一个重要原因是各种隐性负债未被重视。
因此，拟找到合适的方法来衡量房企的隐性负债，并通过实证分析来验证其
对债券违约风险的影响，以及探究这种影响在不同时间和个体上的差异。具体做
法包括：首先，以发债房企的少数股东潜在负债率、对外担保率为解释变量，来
体现明股实债、表外负债这两种隐性负债，以房企的债券隐含违约率为被解释变
量，加入其他可能影响违约风险的控制变量，通过固定效应模型进行基准回归；
其次，加入商品房销售价格同比增速作为调节变量，以验证房地产市场对隐性负
债影响的调节效应；再次，将样本分为国有企业和非国有企业进行异质性分析；
最后，通过调整解释变量或滞后被解释变量再次回归，来完成稳健性检验。
研究发现，房企的明股实债或表外负债这两种隐性负债均会提高债券违约风
险，而房价同比增速对这种影响存在抑制效应，其中明股实债的影响在国企和非
国企间存在异质性。据此提出政策建议：首先，应优化监管政策，将房企的隐性
负债指标也纳入监管中；其次，应加强逆周期调节，在房地产市场下行期加大对
隐性负债暴雷的关注，确保房地产融资平稳有序；最后，对待隐性负债堵不如疏，
使融资渠道保持畅通才可以从根本上避免形成不易监管的隐性负债。
本研究在解释变量和被解释变量上都有所创新。一方面，目前对于企业隐性
负债的研究还较少，其界限范围、计量方式都尚无统一标准，而对于债券违约风
险的研究也尚未关注到这一问题，因此研究创新性地选取了隐性负债作为解释变
量，明确了其定义并尝试进行计量分析；另一方面，以往的研究大多采取信用利
差来衡量债券违约风险，但该方法忽略了流动性溢价等因素，因此本研究使用中
证指数公司编制的债券隐含违约率来作为被解释变量，该指数在计算时剔除了流
动性因素，能更好地体现债券的信用风险。
关键词：房地产开发企业隐性负债债券违约风险
I
Abstract
Recently,China's real estate development enterprises frequently fall into debt
crisis,affecting the national economy and people's livelihood.In order to control the
debt risk of real estate enterprises,the Ministry of Housing and Urban Rural
Development and the People's Bank of China actually introduced the "three red lines"
regulatory regulations as early as August 2020,guiding the continuous optimization of
on balance sheet debt indicators of real estate enterprises.However,in the end,there
was still a wave of defaults by real estate enterprises,including so-called "green"real
estate enterprises.One important reason is that various hidden liabilities were not
taken seriously.
Therefore,it is intended to find an appropriate method to measure the hidden
liabilities of real estate enterprises,and verify its impact on bond default risk through
empirical analysis,as well as explore the differences of such impact at different times
and individuals.The specific methods include:first,taking the potential debt ratio of
minority shareholders and the external guarantee rate as explanatory variables to
reflect the two hidden liabilities of open shares,real debts and off-balance sheet
liabilities,taking the implied default rate of bonds of housing enterprises as explained
variables,adding other control variables that may affect the default risk,and
conducting benchmark regression through fixed effect model;Secondly,the
year-on-year growth rate of commercial housing sales price is added as a moderating
variable to verify the moderating effect of the real estate market on the impact of
implicit liabilities.Thirdly,the samples are divided into state-owned enterprises and
non-state-owned enterprises for heterogeneity analysis.Finally,the robustness test is
completed by adjusting the explanatory variable or lagging the explained variable.
It is found that the hidden liabilities of real equity or off-balance sheet liabilities
of real estate enterprises will increase the bond default risk,and the year-on-year
growth of housing price has a restraining effect on this effect,among which the
impact of real equity is heterogeneous between state-owned enterprises and
II
non-state-owned enterprises.Accordingly,policy recommendations are put forward:
Firstly,we should optimize the supervision policy and bring the hidden debt index of
real estate enterprises into the supervision.Secondly,we should strengthen
counter-cyclical regulation,and pay more attention to the exposure of hidden
liabilities during the downtrend of the real estate market,ensure that real estate
financing is smooth and orderly.Finally,it is better to thin hidden liabilities than to
block,so that financing channels can be kept open to fundamentally avoid the
formation of hidden liabilities that are not easy to supervise.
This study is innovative in both explanatory and explained variables.On the one
hand,at present,there are few studies on corporate hidden liabilities,and there is no
unified standard for its limit range and measurement method.Moreover,researches on
bond default risk have not paid attention to this problem.Therefore,the research
innovatively selects hidden liabilities as explanatory variable,clarates its definition
and tries to carry out quantitative analysis.On the other hand,most previous studies
used credit spread to measure bond default risk,but this method ignored liquidity
premium and other factors.Therefore,this study uses the implied default rate of
bonds compiled by China Securities Index Company as the explained variable.The
liquidity factor is excluded in the calculation of this index,which can better reflect the
credit risk of bonds.
Key words:real estate development enterprises；hidden debt；bond default risk
III