中国地方债到期收益率的影响因素分析

发布时间：2018-12-31 19:15

【摘要】：2010年以来，随着投资者对于中国各级地方政府偿债能力担忧的逐步升温，，地方债和城投债已经成为了大众津津乐道的话题。国内的相关研究往往采用定性的方法，探讨地方债和城投债的发行机制、隐含风险以及风险防范措施。定量的研究却少之甚少。这主要是因为截至目前，国内还没有现成的数据库来提供中国各级地方政府的财政信息。因此，本文直接从中国各级地方政府网站获取有关地方政府的历年财政信息以弥补学术界在此方面的空白，并运用多变量回归模型来分析地方债和城投债到期收益率的影响因素。就地方债而言，本文从地方的经济发展水平、地方政府的财政状况以及地方债的发行规模等方面来探讨地方债到期收益率的影响因素。本文发现无论是地方的经济发展水平还是地方政府的财政状况都未对地方债到期收益率产生显著性的影响。这说明目前地方债本质上是准国债。然而，地方债的发行规模对其到期收益率产生显著性的影响。由此可见，投资者更加关注的是地方债的流动性优劣。就城投债而言，本文从发债人的财务状况、地方的经济发展水平、地方政府的财政状况、城投债的信用评级以及城投债的发行规模等方面衡量了城投债到期收益率的影响因素。尽管发债人的杠杆率对城投债到期收益率有显著性的影响，但回归系数显示杠杆率越高的发债人，相应的地方债到期收益率会越低。这显然与经济学理论相悖。地方人均GDP、人均财政收入和政府等级（即省级、省会城市和一般城市）对城投债到期收益率也产生显著性的影响，这说明投资者在选择城投债时所关注的是地方政府的经济、财政、政治影响等综合实力。城投债的信用评级对城投债到期收益率同样产生显著性影响。我们进一步发现发债人的总资产规模、地方的经济发展水平和地方政府的财政状况都是信用评级机构评级时考量的因素。综上，本文建议相关金融机构及时调整地方债的发行机制以能够反映出不同地方政府的财政风险。同时，考虑到债券市场的信用评级对投资者的影响重大，中国的信用评级机构也应得到更加严格的监管，在债券评级时能够做到客观公正，以引导投资者选择适合自身风险承受能力的债券。
[Abstract]:Since 2010, as investors' concerns about the ability of China's local governments to pay their debts have risen, local debt and city debt have become popular talk. Domestic related studies often adopt qualitative methods to discuss the issuing mechanism, implied risk and risk prevention measures of local debt and city investment debt. Quantitative research is rare. This is mainly because so far, there is no ready-made database to provide financial information for local governments at all levels in China. Therefore, this paper obtains financial information about local governments directly from the websites of local governments at all levels in China in order to make up for the gaps in academic circles in this respect. The multivariate regression model is used to analyze the factors influencing the maturity rate of local debt and city bond. As far as local debt is concerned, this paper discusses the influencing factors of the maturity rate of local debt from the aspects of local economic development level, local government financial situation and local debt issuance scale. This paper finds that neither the level of local economic development nor the financial situation of local governments have a significant impact on the maturity rate of local debt. This shows that the current local debt is essentially a quasi-national debt. However, the size of local bond issuance has a significant impact on its maturity rate of return. Thus, investors are more concerned about the liquidity of local bonds. As far as the city bond is concerned, this paper measures the influencing factors of the maturity rate of the city bond from the financial situation of the issuer, the level of local economic development, the financial situation of the local government, the credit rating of the city investment bond and the issuing scale of the city investment bond. Although the leverage ratio of the issuer has a significant impact on the maturity yield of the city bond, the regression coefficient shows that the higher the leverage ratio, the lower the maturity yield of the local bond. This is clearly contrary to economic theory. The per capita GDP, per capita fiscal revenue and government grade (that is, provincial, provincial and ordinary cities) also have a significant impact on the maturity rate of urban bond investment, which indicates that investors are concerned about the local government economy when they choose to invest debt in the city. Financial, political influence and other comprehensive strength. The credit rating of the city investment bond also has a significant impact on the maturity rate of the city investment bond. We further found that the total asset size of the issuer, the level of local economic development and the fiscal position of the local government were all factors taken into account in the rating of credit rating agencies. In summary, this paper suggests that relevant financial institutions adjust the issuing mechanism of local debt in time to reflect the financial risks of different local governments. At the same time, considering that the credit rating of the bond market has a great impact on investors, China's credit rating agencies should also be subject to more stringent supervision and be able to be objective and impartial in their bond ratings. To guide investors to choose their own risk tolerance of bonds.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F812.5

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