我国城投债信用风险问题的研究

发布时间：2017-12-31 12:36

本文关键词：我国城投债信用风险问题的研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：城投债是我国地方政府规避法律法规应运而生的一种融资手段,它是我国地方政府为推动经济发展、加快城市基础设施及公益性项目建设通过政府融资平台发行的一种隐性市政债券。1993年4月上海市城市建设投资开发总公司发行的为期两年、金额五亿的城市建设债券标志着我国城投债的产生。城投债作为地方基础设施建设中的一种创新性融资方式,具有融资计划灵活、外部约束少等的优点,通过分担地方政府的财政支出,缓解地方政府的财政困境,与税收、财政支出和政府预算等其他财政政策相配合,通过发行或偿还债务、选择投资方向和规模、发行不同的债券等,共同影响财政政策的扩张或收缩效应,调节社会总需求、优化产业结构,稳定经济波动,促进区域经济的健康、稳定和协调发展。城投债作为一种隐性的中国式市政债券,它以地方政府的税收收入或者项目收益作为担保,其信用评级比仅次于国债,又比一般企业债券高,被认为是中国的“银边债券”。然而,由于当前地方政府信用缺失、债务信息不透明、城投债定价机制不完善、相关法律法规的缺失、城投公司治理结构不完善以及城投债与发债主体的增信方式单一等的诸多问题,2010年起发生了一系列的城投债风波。其中2011年4月云南省公路开发投资有限公司向其贷款银行发函称“即日起,只付息不还本”事件和2011年6月底,上海申虹投资发展有限公司由于违反银监会的相关规定将大量的流动资金贷款用于项目建设,致使偿债资金流断链,宣布自本月起停止向银行偿还流动贷款并要求延长还款期,以及转化成以资产抵押的固定贷款,这两起城投债风波的发生更加激起了社会各界对城投债信用风险的关注。城投债的发行主体--城投公司隶属于各地方政府,地方政府为城投债的发行提供了隐性担保,由于城投债筹集的资金大多用于城市基础设施建设和一些公益性的项目,期限长、盈利性不足是大多数城投公司经营的项目的一个特点,地方政府的财政收入成了城投公司的主要利润来源,也是城投债还本付息的最后一层保障,因此,地方政府财政实力在各地城投债的发行规模及城投债信用风险发生的可能性方面起了决定作用。然而自1994年我国实行分税制度改革后,地方政府在事权和财权上不匹配,地方政府以越来越少的财政收入比例上承担了越来越多的事项,地方政府的财政收入所占比例由1993年的77.98%到2010年的48.9%,而地方政府的财政支出所占的比例由1993年的69.71%到2010年的82.2%,财政收支的不对等造成了地方政府资金缺口越来越大。另一方面,随着中国经济的发展和城市化建设的推进,地方政府对城市基础设施建设的需求越来越大,同时,由于城市基础设施具备公共品的特性决定了城市基础设施建设投资具有投资数额巨大、投资回收周期长及投资收益低的特点决定城市基础设施建设的投资主体只能是地方政府。各地方政为解决资金需求和供给上的矛盾,通过设立隶属于地方政府的融资平台向银行贷款或不断增加发行城投债筹集建设所需资金。特别是2008年金融风暴之后,我国实行了积极的财政政策和适度宽松的货币政策,推出4万亿元的投资计划,中央政府承担其中的1.2万亿,地方政府承担剩余的2.8亿元。地方政府为筹措巨额资金更是加快发行城投债,相比2008年的25期412亿金额的城投债,2009年我国各地城投公司共发行城投债88期1562.7亿金额,期数增长了252%,发行金额增长了279%,2009年至2011年年底,我国城投公司共发行了320期城投债,发行金额总计4864.2亿元人民币,其中包括284期企业债,27只中期票据及9期短期融资券。城投债喷井式增加的发行规模带来了巨大的信用风险,也引发了众多学者对城投债合理的发行规模的研究。本文首先从城投债近年来发生的多起信用风波及城投债超速增长的发行规模介绍开始,引出了对城投债信用风险及发行规模研究的重要性。然后,通过对城投债相关理论的介绍后,文本重点归纳分析了城投债发行现状,从城投债的发行规模、信用评级、担保状况及城投债发行主体的信用评级等方面的变化总结了近年来我国城投债的新变化趋势：我国城投债在发行的期数和发行的总金额都在不断的攀升的同时,无担保的城投债发行期数也在增加,城投债的信用级别及其发行主体的信用评级却在下降,城投债这种恶性发行趋势给投资者带来了巨大的信用风险。论文的第三部分深入分析了城投债信用风险的种类及产生的原因。由于我国目前尚无针对城投债的专门的法律法规,城投债的发行审批、发行规模及定价过程都遵循一般的公司(企业)债券的法律法规,这使得带有地方政府色彩的城投债除了包含一般企业(公司)所具有的宏观经济风险、行业风险和政策性风险等风险之外,还包含了城投债特有的风险种类,其中最主要的便是地方政府信用缺失,财政信息的不透明及城投债资金用处监管不严等问题带来的地方政府的财政风险与地方政府信用缺失的制度性风险,其次就是城投公司自身的经营风险与制度风险,这些风险都是导致投资者面临城投债发生信用违约的诱因。论文的第四部分在对比分析了目前广为使用的几种信用风险度量模型后,构建了城投债的信用风险度量模型：引入Knight不确定因子λ改进后的KMV模型。将KMV模型运用于城投债信用风险度量的主要思想是：将地方政府看成是一个公司经济体,地方政府为了筹集资金通过城投公司发行城投债,相当于将地方政府的部分税收权或各项目的收益权出售给了城投债的购买者,政府通过定期付息、到期还本的方式逐步赎回税收权或项目的收益权。如果在债券到期时,地方政府可用于偿还债务的财政收入不足以偿还债务总额时,地方政府存在违约的可能性,如果到期地方政府可用于偿还债务的财政收入大于债务总额的话,地方政府就能顺利还清债务,收回税收权或项目的收益权。地方政府的财政收入有一部分是地方政府必需性支出,扣除这些必要性支出后剩余部分地方政府才能用来给城投公司的项目担保,用于偿还债务的利息和本金。此外,由于金融市场上存在着千变万化的不确定因素,投资者不可能对未来金融市场的变化有确定的评估,导致了不同投资者对金融市场的变化有着悲观、理性及乐观的态度。所以论文引入了Knight不确定因子λ对KMV模型加以改进,通过λ的不同取值反映出投资者对未来金融市场变化所持有的不同态度对城投债期望违约率和违约距离的影响,得出了不同市场情绪下的城投债的发债规模和风险选择区间。论文的第五部分是实证部分,论文根据前面构建出来的城投债信用风险的KMv度量模型,将浙江省看成一个经济体,利用ARIMA模型预测了浙江省2012年的地方财政收入,乘以可担保系数后得出浙江省可用于城投债发行担保的地方财政收入；其次,论文假设投资者是完全理性的,即不确定因子λ＝0,根据KMV模型中的公式计算出浙江省不同债务规模下城投债期望违约距离和违约率的值；最后,考虑到市场上存在各种不确定因素,投资者并非完全理性的,即投资者对未来金融市场上的不确定性持有悲观、理性及乐观的情绪,这种情绪可以通过不确定因子值的变化表现出来。论文通过对不确定因子取不同的值,计算出浙江省在不同债务规模下发行城投债的期望违约距离和违约率,证明了不确定因子值变化对城投债期望违约距离和违约率的区间影响十分明显。最后,针对我国城投债的信用风险,论文提出了从地方政府举债规模的控制、地方政府债务风险的防范及加强对城投债及城投公司的监管三个方面的对策。
[Abstract]:City investment bonds are a means of financing of our local government laws and regulations came into being, it is our local government to promote economic development, a kind of recessive municipal bonds.1993 speeding up the city infrastructure and public welfare projects issued by the government financing platform in April Shanghai City Construction Investment Development Corporation issued for a period of two years the amount of five hundred million, the city construction bonds marked our city investment bond is produced. The city voted debt as an innovative financing local infrastructure construction, has the advantages of flexible financing plan, less external constraints, through the sharing of local government expenditure, alleviate the financial difficulties, the local government and tax that combination of government spending and the budget and other fiscal policy, or through the issuance of debt, investment direction and scale, the issuance of different bonds, the common effect of fiscal policy The expansion or contraction effect can adjust the total social demand, optimize the industrial structure, stabilize the economic fluctuation, and promote the healthy, stable and coordinated development of the regional economy.
The city voted debt as an implicit China municipal bond. It takes the local government tax revenue or project revenue as collateral, the credit rating than Treasury bonds, and bonds than the general business, is considered to be the "Chinese silver bond". However, due to the lack of local government credit, debt information opaque the City voted debt pricing mechanism is not perfect, the lack of relevant laws and regulations, the city investment company governance structure is not perfect and the city voted bonds and bonds the main way to increase trust in single issues, since 2010 there has been a series of investment and debt storm. In April 2011 the Yunnan province highway development investment limited to the lending bank letter said from now on, not only the principal interest "event and the end of June 2011, Shanghai Shen Hong investment development limited company due to violation of the relevant provisions of the CBRC will be a large number of working capital loans for project The construction, resulting in debt flows of funds broken chain, announced this month to repay the loan to the bank and stop the flow required to extend the repayment period, and transformed to the fixed assets mortgage loans, the two city voted debt crisis more aroused the credit risk of the city investment bond's concern.
The city voted debt issuers -- the city investment company belonging to the local government, the local government for the city investment bonds issued to provide implicit guarantees, because the city voted bonds to raise funds mostly for city infrastructure and public welfare projects, long term profitability, lack is a feature of most of city investment company the project, local government revenue has become a major source of profit for the city investment company, is the city of the last layer of security, investment and debt servicing therefore played a decisive role in the possibility of financial strength of local government investment bonds in the issue size and city around the city voted debt credit risk.
However, since 1994 China's implementation of the tax system reform, the local government, in the financial and administrative power, local government with fewer fiscal revenue ratio of undertaking matters more and more, the local government revenue proportion from 77.98% in 1993 to 48.9% in 2010, while the local government fiscal expenditure the ratio from 69.71% in 1993 to 82.2% in 2010, the financial revenue and expenditure not caused by the local government funding gap is growing. On the other hand, with the development of economy and Chinese city construction, the local government demand for infrastructure construction in the city more and more, at the same time, because of the characteristics of city infrastructure have public goods determines the city infrastructure investment has a huge amount of investment, long payback period and the characteristics of low income on investment decision of city infrastructure construction investment subject To the local government. The local government to solve the contradiction between the supply and demand of funds, through the establishment of belonging to the local government financing platform loans to banks or increasing the city voted bonds issued to raise construction funds needed. Especially in 2008 after the financial crisis, China adopted a proactive fiscal policy and moderately loose monetary policy, launched 4 trillion yuan investment plan, the central government to bear 1 trillion and 200 billion of the local government bear the remaining 280 million yuan. The local government to raise huge amounts of funds is to accelerate the city voted bonds issued in 2008 compared to 25, 41 billion 200 million of the amount of the city voted bonds, in 2009 the city of our country investment company issued a total of 88 156 billion 270 million city investment bonds the amount of growth in the number of stage 252%, issue amount increased by 279%, from 2009 to the end of 2011, China city investment company issued a total of 320 city investment bonds issued a total of 486 billion 420 million yuan, which includes 284 Corporate bonds, 27 medium-term notes and 9 short-term financing bills. The increase of issuing scale of urban investment debt has brought huge credit risks, and has also aroused many scholars' research on the reasonable issuing scale of city investment bonds.
This paper begins with the introduction of the credit crisis and the issuance scale of urban investment and debt growth in recent years, and points out the importance of the research on credit risk and issuing scale of urban investment bonds.
Then, the city voted debt related theory is introduced, the text analyzes the key status of the city voted debt issuance, the city voted debt issuance scale, credit rating, security status and the city voted debt issuance the main credit rating and other aspects of the summary of the new trends in China in recent years, the city voted bonds: China city investment bonds in the total amount of the issue number and issue are rising at the same time, no guarantees of the city voted bonds issue number also increased in the credit rating of the city voted bonds and issuer credit rating is on the decline, the city voted bonds issued this vicious trend to investors. The huge credit risk.
The third part analyzed the types of credit risk of the city investment bond and reason. Because at present there is no specific laws and regulations for the city to vote bonds, the city voted debt issuance approval, issuance and pricing process will follow the general laws and regulations company (enterprise) bonds, which makes a place the color of the city voted bonds in addition to include general enterprise (company) macroeconomic risk is, outside the industry risk and policy risk, also includes risk types of the city voted debt characteristic, in which the most important is the lack of local government credit, institutional risk and financial information opaque city investment problems the use of debt capital regulation is not strictly the local government's fiscal risk and local government credit, the second is the business risk and system risk of the city investment company itself, these risks are the result of investors face The cause of a credit default in Lincheng's investment debt.
The fourth part of the paper compares and analyzes several widely used credit risk measurement models, and constructs a credit risk measurement model of urban investment bonds: the KMV model with Knight uncertainty factor is introduced.
The main idea of applying the KMV model to measure the credit risk of the city investment bond is: the local government as a company is the economy, local governments to raise funds through the city investment company issued the city voted bonds, equivalent to the local government or the right part of the tax right to return items sold to the city voted debt buyers the government, through regular service, maturity way gradually redemption or project usufruct right of tax. If the maturity of the bonds, the local government can be used to repay the debt revenue is not sufficient to repay the total debt default, the possibility of the existence of the local government, if the local government can be used to repay the debt due to fiscal revenue is greater than the total amount of debt then, the local government will be able to successfully recover the tax debts, right or the right to return items. Local government revenue is part of the local government must deduct the expenses, Part of the local government to give the city investment company project guarantee remaining some necessary expenditures, repay debt interest and principal. In addition, due to the financial market there are uncertain factors in the myriads of changes, investors are unlikely to change in the future financial market has certain evaluation, leading to different investors change on financial markets have a pessimistic, optimistic attitude and rational. So the paper introduced the Knight uncertainty factor lambda to the improvement of the KMV model, with different values of lambda reflecting different attitudes held by investors in the future changes in the financial market of the city voted debt default rate and expected default distance effect, the issue size and risk selection the different range of market sentiment under the city voted debt.
The fifth part is the empirical part, based on the above constructed out of the city to vote bonds credit risk measure model of KMv, Zhejiang Province as an economy forecast in Zhejiang Province in 2012 local fiscal revenue can be secured by using the ARIMA model, multiplied by the coefficient of Zhejiang province that can be used in the city voted debt issuance of local finance guarantee secondly, the income; if investors are completely rational, i.e. the uncertainty factor lambda = 0, according to the KMV model in the calculation of different debt scale of Zhejiang Province under the city voted debt expected default distance and default rate value; finally, taking into account the market there are various uncertainties, investors are not completely rational. The investors in the future financial market uncertainty and the reason to hold a pessimistic, optimistic mood, this mood can change the uncertain factor values shown. Based on Uncertainty Taking different factors, we calculate the expected default distance and default rate of Zhejiang city's issuing bonds under different debt scale, and prove that the influence of uncertain factors on the expected default distance and default rate of urban investment bonds is very obvious.
Finally, aiming at the credit risk of China's urban investment bonds, the paper puts forward three countermeasures, including the control of the scale of the local government's debt scale, the prevention of local government debt risk and the supervision of the urban debt and city investment companies.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F812.5;F224;F283

【参考文献】