地方政府债务扩张与银行风险承担:理论模拟与经验证据  

Local Government Debt Expansion and Bank Risk-taking:Theoretical Simulation and Empirical Evidence

作　　者：李双建 田国强 LI Shuangjian;TIAN Guoqiang(Institute for Advanced Research,Shanghai University of Finance and Economics;Institute for Advanced Studies in Finance and Economics,Hubei University of Economics)

机构地区：[1]上海财经大学高等研究院,200433 [2]湖北经济学院财经高等研究院

出　　处：《经济研究》2022年第5期34-50,共17页Economic Research Journal

基　　金：上海财经大学教育部数理经济学重点实验室;国家自然科学基金应急管理项目(71850002);国家自然科学基金专项项目(72141303);国家自然科学基金青年项目(72103123)的资助。

摘　　要：近年来,地方政府债务高企已然成为威胁中国金融稳定的“灰犀牛”,切断地方政府债务扩张演化为金融风险的传导途径,是防范化解系统性金融风险的重中之重。立足于中国财政金融体制特征和商业银行具体经营实践状况,本文将地方政府与银行间的关联关系纳入一个多部门动态随机一般均衡(DSGE)模型中,通过理论分析和数值模拟展示了地方政府债务扩张对银行风险承担的影响及作用机理。在此基础上,本文采用2007—2019年中国229家商业银行非平衡面板数据,对理论结论进行实证检验。经验结果显示:地方政府债务扩张会造成银行风险承担水平增加,且该结论在考虑内生性问题以及进行一系列稳健性检验后依然成立。进一步地,异质性分析表明,对于小规模银行、非上市银行、未引入境外战略投资者银行以及地方性银行而言,地方政府债务扩张对银行风险承担的影响更为明显。据此,本文认为在新冠肺炎疫情冲击和外部环境日趋复杂的背景下,理顺地方政府与银行间的关联关系,继续深入推进银行业市场化改革,才是筑牢地方财政与金融部门间“防火墙”的关键举措。Under the combined impact of the ongoing COVID-19 and the increasingly complex international situation,the expansion of debt financing has become an important means for local governments to cope with economic pressure.This will inevitably lead to a high level of local government debts.The local government debt expansion incurs risks that are very likely to spill over into the financial system.In China’s financial system dominated by commercial banks,the key to seeking a governance plan to curb local government debt expansion and guard against systemic financial risks lies in clarifying the impact and mechanism of local government debt expansion on banks’risk-taking.This is not only a practical problem that the policy authorities urgently need to address in regulating the macroeconomic operation,but also provides a stable financial environment support for the establishment of a double-thrust development dynamic with the domestic economy as the mainstay and international engagement as the support and the realization of high-quality economic growth.Based on the typical characteristics of China’s financial system and the specific operating practices of commercial banks,this paper incorporates the relationship between local governments and banks into a multi-sector dynamic stochastic general equilibrium(DSGE)model to show the impact and mechanism of local government debt expansion on bank risk-taking through theoretical analysis and numerical simulation.Then,this paper uses the unbalanced panel data of 229 Chinese commercial banks from 2007 to 2019 to empirically test the theoretical conclusions.Empirical results demonstrate that the expansion of local government debts will increase bank risk-taking,and this conclusion is still valid after addressing the endogeneity problems and a series of robustness tests.Furthermore,the heterogeneity study finds that the impact of local government debt expansion on bank risk-taking is particularly prominent in small-scale banks,unlisted banks,banks that do not introduce forei

关 键 词：地方政府债务 银行风险承担 系统性金融风险 DSGE模型 

分 类 号：F812.5[经济管理—财政学] F832.33F272.3