基于KMV模型的我国地方政府债券信用风险研究

发布时间：2018-05-23 10:49

本文选题：地方政府债券 + 信用风险　；参考：《华东师范大学》2017年硕士论文

【摘要】：2015年1月1日实施的新《预算法》允许我国所有省份和个别计划单列市自发自还地方政府债券,这有力地刺激了地方政府债券的发行。2014年地方政府债券的发行额为4000亿元,而2016年其发行规模总计已达60458亿元,在短短两年内地方政府债券的发行规模急速扩大,其面临的信用风险不容小觑。本文首先对国内外地方政府债券的相关文献进行梳理,并从公共财政理论、财政联邦理论和金融生态理论阐述了我国地方政府债券的发行依据、发行偏好及相关影响。开篇的文献梳理及理论研究为地方债券信用风险来源的分析奠定了坚实基础。紧接着,本文将地方政府债券与"城投债"进行比较分析,进而明确了本文研究的地方政府债券的含义。之后又对我国地方政府债券的发展历史进行了归纳,并从发行规模、发行机制、监管机制这三个角度对地方政府债券的现状进行分析。在上述文献理论归纳和历史现状分析的基础上,本文研究发现我国地方政府债券的信用风险主要来源于宏观政治体制环境、地方政府债券的发行结构及信息披露等,并选定KMV模型作为地方政府债券信用风险研究的实证分析模型。在实证分析部分,本文利用全国30省(市)政府财政收入数据、财政支出数据、地方政府债券实际发行额,通过KMV模型对地方政府债券的信用风险进行了研究。结果显示30省(市)中有9个省份在可接受的0.4%的违约概率下存在信用风险,其中2个属于东北省份、5个属于西部省份、其余分别自东部和中部省份。地方政府债券信用风险伴随着债券发行规模的扩大而提高,且信用风险省份主要集中在经济发展水平落后的西部地区和近年来经济增长水平迅速下滑的东北地区。不同省份在确定地区政府债券发行规模时不但要参考财政收入的绝对规模,还需要参考本地区财政收入的增长、波动情况。结合实证分析结果,本文提出了加强规模控制、健全地方债券信息披露制度、提高债券信用评级质量、建立地方政府债券保险制度四条建议。
[Abstract]:The new Budget Law, which came into effect on January 1, 2015, allows all provinces and municipalities in China to voluntarily repay their own local government bonds, which has given a powerful boost to the issuance of local government bonds. The amount of local government bonds issued in 2014 was 400 billion yuan. In 2016, the total size of its issuance has reached 6.0458 trillion yuan, in just two years, the size of local government bond issuance has expanded rapidly, its credit risk is not to be underestimated. This paper firstly combs the relevant literature of local government bonds at home and abroad, and expounds the basis, preference and influence of local government bonds issuance in China from the public finance theory, fiscal federal theory and financial ecology theory. The literature combing and theoretical research at the beginning lay a solid foundation for the analysis of the sources of local bond credit risk. Then, this paper makes a comparative analysis of the local government bonds and the city investment bonds, and then clarifies the meaning of the local government bonds studied in this paper. Then the development history of local government bonds in China is summarized, and the present situation of local government bonds is analyzed from the perspectives of issuing scale, issuing mechanism and supervision mechanism. On the basis of the above literature theory and the analysis of the historical situation, this paper finds that the credit risk of the local government bonds mainly comes from the macro political system environment, the issuing structure of the local government bonds and the information disclosure, etc. KMV model is chosen as the empirical analysis model of local government bond credit risk research. In the part of empirical analysis, this paper studies the credit risk of local government bonds by using the data of government revenue, fiscal expenditure and the actual issuance amount of local government bonds in 30 provinces (cities). The results show that 9 provinces in 30 provinces (cities) have credit risk under acceptable default probability of 0.4%, 2 of them belong to northeast province, 5 belong to western province, and the rest are from eastern and central provinces, respectively. The credit risk of local government bond increases with the expansion of bond issuance scale, and the credit risk provinces mainly focus on the western region with backward economic development level and the northeast region where the economic growth level is declining rapidly in recent years. Different provinces should not only refer to the absolute scale of fiscal revenue, but also refer to the growth and fluctuation of local fiscal revenue when determining the issuing scale of regional government bonds. Based on the results of empirical analysis, this paper puts forward four suggestions on strengthening scale control, perfecting local bond information disclosure system, improving the quality of bond credit rating, and establishing local government bond insurance system.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F812.5

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