中国式影子银行对于地方融资平台债务的定价机制研究  

Chinese Shadow Banking's Debt Pricing for Local Government Financing Vehicles

作　　者：邵新建[1,2] 董丁丁 洪俊杰 SHAO Xinjian;DONG Dingding;HONG Junjie(School of International Trade and Economics,University of International Business and Economics;Center for Quantitative Economics/School of Business,Jilin University)

机构地区：[1]对外经济贸易大学国际经济贸易学院,北京100029 [2]吉林大学数量经济研究中心/商学院,吉林长春130012

出　　处：《金融研究》2023年第4期36-54,共19页Journal of Financial Research

基　　金：国家自然科学基金(71872044);北京市社科基金(16YJC060)项目的资助。

摘　　要：本文基于微观视角,深入剖析了中国式影子银行对地方融资平台债务的内在定价机制。我们收集整理了信托公司这一典型的影子银行机构在2010年至2017年为178个城市政府所辖的地方融资平台发行的政信合作类投资产品作为分析样本,实证表明:城市土地市场的景气运行和投资者的刚性兑付预期构成了影子银行定价的两个重要基石。具体发现包括:(1)城市土地交易价格(绝对价格、劳动力收入相对价格)越高,影子银行向地方融资平台收取的信用利差越低,而土地流拍事件会显著提高其融资成本。(2)如果地方政府的财政支出过度依赖土地出让金,则会恶化影子银行对地方融资平台还款能力的判断,进而要求提高风险溢价补偿。(3)影子银行机构自身的刚性兑付能力有助于降低其地方融资平台客户的融资成本,一方面,影子银行的资本充足率、杠杆率和受托管理的资产规模都能直接表征其兑付能力;另一方面,影子银行背后的国有产权会进一步强化投资者对其维持刚性兑付的预期,而新《预算法》的颁布执行则显著弱化了国有产权与刚性兑付预期之间的正向关系。(4)地方政府与信托公司的地理位置关联,可能通过缓解投融资双方的信息不对称进而降低投资者要求的风险补偿。Since the outbreak of the 2008 global financial crisis,Chinese local governments'debt and unique shadow banking practices have grown explosively.In contrast to the numerous studies that have explored the systematic macroeconomic risk introduced by these practices,this paper focuses on shadow banking pricing mechanisms for local government financing vehicles(LGFVs)from a micro perspective.Based on the detailed information about trust products issued by trust companies(i.e.,a typical shadow banking practice in China),which were used to raise money for the LGFVs controlled by 178 Chinese city governments from 2010 to 2017,this paper demonstrates that the booming land market and investors'rigid payment expectations are two important cornerstones of Chinese shadow banking pricing references.More specifically,the findings include the following.(1)Prices are higher for city land and the credit spread for LGFVs'debt is lower;however,land auction failures will increase the cities'LGFV debt costs.(2)If the local governments'expenditure depends heavily on their land leases,which signals a high default risk for LGFVs,then shadow banking tends to require that these LGFVs pay a higher risk premium.(3)The shadow banking institutions'capacity for maintaining rigid payments to investors can help to reduce the LGVFs'financing costs.The relevant proxies for this capacity include capital adequacy ratios,leverage,and the trust asset scale.Furthermore,the governments'ownership of shadow banking institutions,especially the central government's controlling rights,can reinforce the expected rigid payments to investors.However,the introduction of a new budget act in 2014 weakened the positive relationship between investors'rigid payment expectations and local governments'property rights significantly.(4)Local governments control about half of the trust companies in China;however,this affiliation does not seem to intensify the adverse selection and moral hazard problems experienced by shadow banking institutions when the LGFVs select these

关 键 词：影子银行 地方政府融资平台 城市土地市场 刚性兑付 

分 类 号：F812.5[经济管理—财政学] F832