政府隐性担保与降低债券风险溢价——基于我国城投债的实证研究

发布时间：2018-06-13 16:13

本文选题：隐性担保 + 城投债　；参考：《宏观经济研究》2017年11期

【摘要】：本文利用票面利率与相同期限国债收益率之差和当月最后一天的到期收益率与相同期限国债收益率之差,分别构造风险溢价模型,并研究其与是否存在显性担保虚拟变量、城投债发行地区人均财政收入规模和地方政府制度质量等构造的地方政府隐性担保变量间的关系。研究发现:城投债是否存在显性担保对其风险溢价无显著影响,城投债发债地区的人均财政收入规模对其风险溢价无显著影响,但是城投债发债地区的地方政府制度质量对其风险溢价存在显著负相关,从而提出城投债市场化运营以发挥显性担保的作用、地方财政对城投债隐性担保的长效机制和建立地方政府担保城投债的约束性机制等有效建议。
[Abstract]:In this paper, a risk premium model is constructed by using the difference between the coupon rate and the yield rate of the same maturity national debt and the difference between the maturity yield of the month and the yield of the same term national debt, and the existence of explicit guaranteed virtual variables is studied. The relationship between the implicit guarantee variables of local government, such as the scale of per capita revenue and the quality of local government system. It is found that the existence of explicit guarantee has no significant effect on the risk premium, and the per capita financial income of the bond issuing area has no significant effect on the risk premium. However, the quality of local government system has a significant negative correlation with the risk premium in the bond issuing areas, so it is suggested that the market operation of city investment bonds can play the role of explicit guarantee. Some effective suggestions are put forward, such as the long-term mechanism of implicit guarantee by local finance to the city investment debt and the establishment of binding mechanism for local government to guarantee the city investment debt.
【作者单位】：天津大学管理与经济学部;河北省国富农业投资集团有限公司;
【分类号】：F812.5

【相似文献】