地方政府债务风险溢价研究

发布时间：2018-04-20 17:44

本文选题：城投债 + 风险溢价　；参考：《财政研究》2017年01期

【摘要】：本文研究地方政府城投债风险溢价问题。实证结果显示:(1)随着时间的推移,金融市场并非认同中央政府对地方政府债务负有无限责任的看法。虽然2009-2015年中国城投债整体风险溢价未表现出明显上升,但不同地方政府的城投债风险溢价逐步发生了差异化。(2)在城投债风险溢价的影响因素中,地方债务率越高、财政收入增长率越低、基础设施投资占比越高、房地产开发投资占比和房价越低,城投债风险溢价越高。GDP增长率上升会提高省级城投债风险溢价,但是会降低市级城投债风险溢价。这些因素的影响到2012年以后才逐步体现出来,而在之前的年份没有影响风险溢价。(3)城投债风险溢价与城投公司流动性负相关,说明城投公司本质上并非单纯市场意义下的公司,而体现了其背后地方政府的信用和债务风险。
[Abstract]:This paper studies the risk premium of local government city investment debt. Empirical results show that over time, financial markets do not agree with the central government's view of unlimited responsibility for local government debt. Although the overall risk premium of Chinatown bond investment did not show a significant increase in 2009-2015, but the risk premium of different local governments gradually changed. (2) among the factors affecting the risk premium of urban investment debt, the higher the local debt rate, the higher the local debt rate. The lower the growth rate of fiscal revenue, the higher the proportion of infrastructure investment, the lower the investment in real estate development and the lower the housing price, the higher the risk premium of city investment and debt. The higher the growth rate of GDP is, the higher the risk premium of investment in debt in provincial cities will be. But it will reduce the risk premium on city debt. The impact of these factors was gradually reflected after 2012, but in the previous year, there was no risk premium.) the risk premium of city investment debt was negatively correlated with the liquidity of the city investment company, indicating that the city investment company is not essentially a company in the sense of market. It reflects the credit and debt risk of the local government.
【作者单位】：清华大学公共管理学院;
【分类号】：F812.5

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