第三方担保对城投债增信作用的前后背离研究  

Study on the changing roles of third-party guarantees in credit enhancement towards urban investment bonds

作　　者：陈暮紫[1] 王美惠 杨晓光[2,3] CHEN Mu-zi;WANG Mei-hui;YANG Xiao-guang(School of Management Science and Engineering,Central University of Finance and Economics,Beijing 100081,China;Academy of Mathematics and Systems Science,CAS,Beijing 100190,China;University of Chinese Academy of Sciences,Beijing 100049,China)

机构地区：[1]中央财经大学管理科学与工程学院,北京100081 [2]中国科学院数学与系统科学研究院,北京100190 [3]中国科学院大学,北京100049

出　　处：《管理科学学报》2022年第11期85-108,共24页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71673315,71850008,72003110)。

摘　　要：2014年国务院43号文件旨在规范地方债务风险管理、削弱地方政府和城投债之间的隐性关联.本文以此事件为自然实验,考察政策变化前后第三方担保对城投债一级市场发行和二级市场交易的影响变化.结果表明,对于一级市场,隐性担保的强弱之差,使得政策颁布前第三方担保没有起到降低发行利差的效用,而政策颁布后方才起到作用,且区域财政状况更差时,政策颁布后第三方担保降低发行利差的作用更显著.对于二级市场,隐性担保之外附加的第三方担保变成一个资产质量差的信号,使得政策颁布前被担保债券的二级市场交易利差更高、流动性更低,而政策颁布后被担保债券的二级市场交易利差和流动性得到显著改善.研究表明第三方担保作为市场化的信用缓释工具,需要在市场化环境中才能起到应有的作用.The Circular No.43 of State Council in 2014 aims to standardize the risk management of local debt and weaken the implicit connection between local governments and urban investment bonds.This article takes this event as a natural experiment to examine the impacts of third-party guarantees on the primary and secondary markets of urban investment bonds before and after the policy.The results show that for the primary market,the implicit guarantee makes the effectiveness of third-party guarantees weaker before the policy is issued;while third-party guarantee shows its credit-enhancement effect after the policy is promulgated,due to the fading implicit guarantees.The worse the financial situation of a region,the more effective of third-party guarantees in reducing the issuance spread after the policy.The secondary market transaction spreads of secured bonds are higher and liquidity are lower before the policy,but are significantly improved after the policy.Research shows that third-party guarantee,as a market-oriented credit mitigation tool,can only play its due role in a market-oriented environment.

关 键 词：城投债 一级市场 二级市场 第三方担保 隐性担保 

分 类 号：F83[经济管理—金融学] C93[经济管理—管理学]