不确定性与政企债券融资成本差异——信息摩擦视角的新证据  

Uncertainty and Financing Cost Difference between Enterprise and Government:New Evidence from the Perspective of Information Frictions

作　　者：朱传奇[1] 包夏睿 ZHU Chuan-qi;BAO Xia-rui

机构地区：[1]中山大学岭南学院

出　　处：《中央财经大学学报》2021年第11期85-94,共10页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金青年项目“预期驱动、不确定性和房地产价格波动——基于非线性DSGE模型的研究”(项目编号:71603294);广东省自然科学基金青年项目“预期驱动、房地产价格和货币政策选择”(项目编号:2016A030310192)。

摘　　要：近年来,中国经济的发展面临着下行风险和外部环境挑战增大的双重压力。在此不确定性加剧的背景下,地方政府以及企业的债务问题引起了政府监管者的重视,也成为学术界研究的重要课题。本文首先通过典型事实和VAR模型发现在不确定性上升时,地方政府债券发行利率会下降,而一般企业的债券发行利率却随之上升。为此,从信息摩擦的视角出发,本文构建基于信息搜集和监督成本的债券市场局部均衡模型来解释政企融资成本差异。我们的模型识别出不确定性影响债券融资成本的两种渠道:信息渠道和风险补偿渠道。当信息渠道主导风险补偿渠道时,债券的发行利率在不确定性增强时反而下降。本文研究结论为在不确定性环境下如何更好地控制地方政府债务风险和解决企业"融资难,融资贵"的问题提供了一定的决策参考。In recent years,China's economic development has faced the dual pressure of downward risks and increased external environmental challenges.With increasing uncertainty,the debt problems of local governments and enterprises have attracted to policymakers and academia.In this paper,through the study of typical facts and VAR model,we find that when uncertainty rises,the local government bond issuance interest rates fall,while the corporate bond interest rates increase accordingly.From the perspective of information friction,we then build a partial equilibrium model of bond market to explain financing cost differences.Our model identifies two channels in which uncertainty affects financing costs:information channel and risk compensation channel.When the information channel dominates the risk compensation channel,the bond issuance interest rate declines as uncertainty increases.Our conclusions can help on how to better control local government debt risk and solve the problem of“difficult financing and expensive financing”for enterprises in an uncertain environment.

关 键 词：不确定性冲击 地方政府债券 信息摩擦 

分 类 号：F832.5[经济管理—金融学]