我国主权部门债务风险评估及预警分析——基于资产风险市场价值的视角

发布时间：2018-01-01 18:16

本文关键词：我国主权部门债务风险评估及预警分析——基于资产风险市场价值的视角　出处：《国际金融研究》2017年10期 　论文类型：期刊论文

【摘要】：国家主权部门的债务是我国国家整体债务的主体并在逐年增加,国家主权部门资产的风险市场价值能否有效覆盖其债务是判断我国国家债务风险的核心所在。本文采用金融估值中的现金流折现法对我国主权部门资产的风险市场价值进行评估,并依据不同的市场风险溢价进行了估值的敏感度分析,并在此框架下分析我国主权部门的预期债务风险。研究发现,2011—2014年,在假定的中等风险参数的敏感度测试中,我国主权部门的资产风险市场价值已逼近对应年份主权部门总负债的水平,且此种逼近程度在逐年上升;而在设定的高风险极端情况的压力测试中,我国主权部门则会陷入资产风险市场价值低于负债的困境。
[Abstract]:The debt of the national sovereign department is the main part of the whole national debt of our country and is increasing year by year. Whether the risk market value of national sovereign sector assets can effectively cover its debt is the core of judging the risk of China's national debt. This paper applies the discounted cash flow method in financial valuation to the risk market of sovereign sector assets in China. To evaluate the value of the field. According to the different market risk premium, this paper analyzes the sensitivity of the valuation, and analyzes the expected debt risk of China's sovereign sector under this framework. In the sensitivity test of the assumed medium risk parameters, the market value of asset risk in China's sovereign sector has approached the level of the total liabilities of the sovereign sector in the corresponding year, and the degree of this approximation has been increasing year by year. In the stress test of high risk extreme situation, the sovereign department of our country will fall into the dilemma that the market value of asset risk is lower than that of liability.
【作者单位】：南京大学经济学院;南京高科股份有限公司;
【分类号】：F832.51
【正文快照】： 引言我国主权部门包括中央政府、地方政府、事业单位、国有企业(金融企业及非金融企业)、中央银行等,其范围与联合国等机构制定的《国民经济核算体系2008》中界定的公共部门类似。主权部门拥有国家资产的同时也承担国家债务,并承担国家债务风险。在我国,国家不仅控股了大型金

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