地方政府债务治理与政府隐性担保效果——基于债券市场数据的分析  

Local Government Debt Management and the Effect of Government Implicit Guarantee-analysis Based on Bond Market Data

作　　者：张雪莹[1] 王玉琳[1] 

机构地区：[1]山东财经大学金融学院,山东济南250014

出　　处：《证券市场导报》2019年第1期28-36,46,共10页Securities Market Herald

基　　金：国家自然科学基金项目"政府债务对货币政策的影响--基于利率传导渠道的研究"(71573155);国家社科基金重点项目"我国银行业政府或有债务风险及其财政成本研究"(17AJY024)

摘　　要：以城投债信用利差与民营企业债信用利差数据为样本,本文采用短时窗事件研究法及面板回归模型,考察地方政府债务治理政策出台背景下,政府隐性担保对债券信用利差影响效果的变化。结果显示:政府隐性担保能够显著降低城投类债券的信用利差;而且债券主体信用评级越低,城投债信用利差低于民营债信用利差的程度越大,政府隐性担保对于债券信用利差的降低效果越明显。在地方政府债务治理政策颁布的初期,市场对于"城投债具有政府隐性担保性质"的信仰预期并未出现明显的弱化,隐性担保对城投债信用利差的降低程度甚至有扩大的迹象。但随着地方政府债务治理政策的逐步推进和落实,政策叠加效应开始显现,政府隐性担保对城投债信用利差的降低效果减弱。Based on the data of urban investment bonds and private enterprise bonds, this paper uses short-term window event research method and panel regression model to investigate the variation of effects of government implicit guarantee on the credit spread in the context of local government debt governance policy.The results show that the government implicit guarantee can significantly reduce the credit spread of urban investment bonds;the lower the credit rating of bonds, the greater the difference between the credit spread of urban investment bonds and private enterprise bonds, which means the effect of government implicit guarantee on reducing the credit spread is more obvious. At the beginning of the promulgation of the local government debt governance policy, the market’s belief that "urban investment bonds have been backed by government implicit guarantees"has not been significantly weakened. The degree of reduction of the credit spreads of urban investment bonds by implicit guarantees has even expanded. However, with the gradual promotion and implementation of local government debt governance policies, the policy superposition effect began to appear, and the effect of implicit government guarantee on the reduction of the credit spread of urban investment bonds weakened.

关 键 词：地方政府债务 债务治理 政府隐形担保 城投债 信用利差 

分 类 号：F812[经济管理—财政学]