“以数治税”能否揭露企业信用风险?——来自债券市场的证据

Will “Data-driven Tax Governance” Reveal Corporate Credit Risks? Evidence from the Bond Market

王晨圣,杨乐,张悦

2026 第 48 卷 第 08 期 页码 39-58

DOI: 10.16538/j.cnki.fem.20260317.203

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摘要

在信息不对称条件下,传统税收征管模式使企业潜在信用风险得以延迟暴露。随着“以数治税”的推进,税收征管数字化通过强化信息透明度和数据穿透能力,以重塑企业信用风险在资本市场中的定价方式。本文以2021年12月启动的全面数字化电子发票试点(金税四期)作为制度冲击,基于2020年1月至2024年12月企业债券二级市场月度信用利差数据,采用双重差分方法检验税收征管数字化对信用风险显性化的影响。研究发现,“以数治税”显著推高了试点地区企业债券信用利差,表明企业既有信用风险在市场定价中加速显性化;该效应主要通过风险信号、风险兑现和风险联动三条机制实现,并在现金流状况较弱、内部控制水平较低以及避税动机和避税行为更为突出的企业中表现得更为显著。研究表明,税收征管数字化不仅提升了征管效能,也通过强化资本市场的风险识别功能,对金融稳定与治理现代化产生重要影响。

Under conditions of information asymmetry, traditional tax administration systems allow firms’ latent credit risks to remain partially concealed and delayed in market disclosure. With the advancement of “data-driven tax governance”, tax administration has strengthened information transparency and data penetration, potentially reshaping how corporate credit risks are priced in capital markets. Taking the nationwide pilot of fully digitalized electronic invoices (Golden Tax Phase IV), launched in December 2021, as an exogenous institutional shock, this paper uses monthly credit spread data from the secondary bond market spanning January 2020 to December 2024 and employs a DID design to examine whether tax administration digitalization accelerates the market revelation of corporate credit risks. The results show that “data-driven tax governance” significantly increases corporate bond credit spreads in pilot regions, indicating a heightened degree of credit risk revelation in market pricing. This effect operates primarily through three channels: risk signaling, risk realization, and risk linkage; and it is more pronounced among firms with weaker operating cash flows, less effective internal control systems, and stronger tax avoidance incentives and behaviors. The study suggests that tax administration digitalization not only improves tax enforcement efficiency but also enhances the risk-identification function of capital markets, with important implications for financial stability and the modernization of economic governance.

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