政府隐性担保预期对城投债流动性的影响研究  

A Study on the Impact of Government Implicit Guarantee Expectations on Urban Investment Bond Liquidity

作　　者：刘珈言 郭丽虹[2] Liu Jiayan;Guo Lihong(School of Economics,Shanghai University of Finance and Economics,Shanghai 200433,China;School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学经济学院,上海200433 [2]上海财经大学金融学院,上海200433

出　　处：《上海财经大学学报（哲学社会科学版）》2024年第2期65-79,共15页Journal of Shanghai University of Finance and Economics

基　　金：国家自然科学基金面上项目(72073086)。

摘　　要：2022年末中央经济工作会议将防范化解地方政府债务风险与加强对融资平台公司的综合治理提升到了极为重要的高度。厘清政府隐性担保预期对城投债的影响,有利于在防范金融风险和防范地方债务风险之间取得平衡,促进金融与经济的高质量发展。基于外生政策冲击的视角,文章探究了政府隐性担保预期的下降对城投债流动性的影响。研究发现,在2014年打破刚兑政策出台后,政府隐性担保预期的下降导致城投债流动性显著恶化,而违约风险是政府隐性担保影响城投债流动性的重要渠道。研究还显示,打破刚兑政策带来的城投债流动性下降,显著提升了城投公司的债务融资成本以及城投债的二级市场信用利差。研究结论对于防控金融市场风险、逐步推进削弱政府隐性担保相关政策以稳定市场预期具有一定的参考价值。At the end of 2022,the Central Economic Work Conference elevated the prevention and resolution of local government debt risks and the strengthening of comprehensive governance of financing plaform companies to an extremely important level.Clarifying the impact of government implicit guarantee expectations on urban investment bonds is conducive to achieving a balance between preventing financial risks and local debt risks,and promoting highquality development of finance and economy.Based on the perspective of exogenous policy shocks,this paper explores the impact of the decline in government implicit guarantee expectations on the liquidity of urban investment bonds.The study finds that after the implementation of the"breaking the rigid exchange"policy in 2014,the decline in government implicit guarantee expectations led to a significant deterioration in the liquidity of urban investment bonds.Mechanism analysis shows that default risk is an important channel for government implicit guarantee to affect bond liquidity.The decrease in government implicit guarantee expectations can increase investors'expectations of default risk for urban investment bonds.The selling decisions taken by investors to avoid expected default losses will further reduce bond liquidity.Further analysis reveals that the"breaking the rigid exchange"policy leads to a decrease in bond liquidity,significantly increasing the debt financing costs of urban investment companies and the credit spread in the secondary market of urban investment bonds.Therefore,government departments should gradually promote policies related to weakening implicit guarantee expectations,strictly monitor the liquidity risk impact caused by the rising default risk of urban investment bonds,and especially focus on regulating the liquidity of some urban investment bonds that are sensitive to changes in implicit guarantee expectations.Urban investment companies should reduce their reliance on implicit government guarantees in the process of debt financing,focus on improving t

关 键 词：城投债 政府隐性担保 债券流动性 

分 类 号：F830[经济管理—金融学]