政策脱钩与市场信念:来自隐债清零事件的证据  

Policy Decoupling and Market Belief:Evidence from the Event of Zeroing Hidden Debt

作　　者：李娜 冯美乐 刘蓉[1] LI Na;FENG Meile;LIU Rong(Southwestern University of Finance and Economics,611130)

机构地区：[1]西南财经大学财政税务学院,611130

出　　处：《财贸经济》2023年第10期22-39,共18页Finance & Trade Economics

基　　金：国家自然科学基金青年项目“基于政府债券质押的货币投放与财政政策联动机制研究”(72303188);教育部人文社会科学研究项目“减税降费和债务膨胀双重约束下财政资源配置效率测度及优化机制研究”(20YJA790046);2023年度西南财经大学“双一流”重大建设项目“财政与金融协同机制研究”。

摘　　要：地方政府与融资平台公司存在隐性担保关系,这种市场预期长期存在并成为一种市场信念,进而对政府隐性债务的有序化解造成一定程度的干扰。本文基于信号传递理论,运用非参数与参数相结合的事件研究法,考察隐债清零试点事件对城投债利差的影响。研究发现,市场对隐债清零试点事件所释放的脱钩与救助信号具有非对称性反应,选择性的更相信救助而非脱钩,导致隐性担保预期被强化,城投债利差不升反降。这种选择性相信心理具有异质性特征,在债务率高的地区表现得更为突出。进一步分析表明,支撑市场信念的重要原因在于地方政府基建投资对融资平台公司的融资依赖。本研究揭示出市场信念下政策信号的非对称效应,从市场心理视角为隐性担保预期的易增难减提供了新解释,对于加强市场预期引导、完善隐债治理长效机制具有重要启示。There is an implicit guarantee relationship between local governments and local government financing vehicle companies(LGFVs),which is considered to have been existent for a long time and become a market belief,thus causing some interference to the orderly resolution of government implicit debts.Based on the signal transmission theory,we adopted daily trading data of the secondary market of LGFV bonds,and used the event study method to investigate the market effects of"no-bailout"and"bailout"signals in the Zeroing Hidden Debt(ZHD)pilot event.Asthe policy name indicates,the policy clearly conveys the"no-bailout"signal,while the zeroing process relies on debt swaps that replace hidden debt with government bonds,which conveys a"bailout"signal not intended by the sender.The emission intensity of the two signals is different.The"no-bailout"signal was directly transmitted to the market through formal meetings and reports,while the"bailout"signal could only be received from interpretations of the documents disclosed by bond issuers.It can be seen that"no-bailout"is the ultimate goal of high-profile policy announcements to guide the expectation of the market,and the signal emission intensity is high,while the low-key bailout behavior is one of the means to achieve the goal,and the signal emission intensity is weak.The intensity of signal emission,however,only reflects the unilateral intention of the sender,and how the receiver interprets and then accepts it will affect the final signal effect.It is found that the market is more sensitive to the low-key"bailout"signal than the high-profile"no-bailout"signal,and shows a selective belief in"bailout,"reflecting the asymmetric effect of those two signals.The selective belief has obvious heterogeneity characteristics,which are more prominent in areas with higher debt,indicating that the demonstration effect of the ZHD pilot will weaken with the expansion of inter-provincial differences.Further analysis shows that selective belief exists because the market does not believe that

关 键 词：隐性担保预期 政策脱钩 选择性相信 隐债清零 

分 类 号：F812.7[经济管理—财政学]