地方债发行是否有助于提高银行融资流动性?——来自银行投资主承销地方债限制变动的准自然实验证据  

Does local government bond issuance help improve bank funding liquidity?--Quasi-natural experimental evidence from changes in restrictions on bank investment in lead underwritten local government bonds

作　　者：曾海舰[1,2] 林灵 Zeng Haijian;Lin Ling(China-ASEAN School of Economics,Guangxi University;School of Business Administration,Guangxi University of Finance and Economics)

机构地区：[1]广西大学中国—东盟经济学院,广西南宁530004 [2]广西财经学院工商管理学院,广西南宁530007

出　　处：《金融研究》2024年第4期56-74,共19页Journal of Financial Research

基　　金：国家自然科学基金项目(72173035,72264003);广西哲学社会科学规划课题(21FYJ030);“广西高等学校千名中青年骨干教师培育计划”人文社会科学立项课题(2023QGRW043)的资助。

摘　　要：2015—2021年地方债发行量累计超过36万亿元,其中80%以上由商业银行持有。作为仅次于国债的优质担保品,地方债供给增加是否促进了银行的抵押融资交易?本文利用2018年取消地方债主承销银行20%投资比例限制为准自然实验,识别银行增持地方债对银行参与回购交易的影响。实证检验发现:20%限制取消后,银行主承销地方债增加1元可导致同期债券回购交易增加约0.12元,此结果具有较强经济显著性和统计显著性;当银行处于流动性困难程度较高、流动性创造程度较高、利息支出-利率敏感性较强、存款-利率敏感性较大的时期,增持地方债更有助于银行进行回购融资交易以缓解流动性紧张;经济发展增速较高地区的地方债被更多用于回购融资交易;银行增持地方债并未提高其回购融资成本,但提升了其未来的风险承担水平。本文研究表明,地方债发行经由抵押担保渠道显著提升了金融机构融资流动性,在处理地方债问题时,应从财政金融协调发展的整体视野出发,充分发挥地方债的担保品功能。Since Brunnermeier and Pederson(2009),it has been recognized that financial institutions'funding liquidity plays a key role in maintaining financial market stability.However,the majority of existing studies have focused on the interaction between financial asset market liquidity and financial institution funding liquidity(He and Krishnamurthy,2012;He and Xiong,2012a;He and Xiong,2012b).There has been a paucity of research exploring the financing function played by high-quality collaterals.China's large-scale local bond issuance commenced with the local government debt replacement initiative initiated in 2015.The cumulative volume of local debt issuance from 2015 to 2021 exceeds 36 trillion yuan.Commercial banks have been the primary underwriters of local debt issuance,purchasing more than 80%of local government bonds and holding them for an extended period.A further question arises:as a high-quality collateral security second only to treasury bonds,is the large-scale supply of local government bonds conducive to facilitating banks'collateralized financing transactions,thereby enhancing bank funding liquidity?This question has been somewhat overlooked by many researchers.This paper examines the impact of banks'holdings of local bonds on their participation in collateralized financing transactions and the liquidity effects of bank financing induced by local bond issuance.However,since the breakdown items of bank holdings are not publicly available,in order to overcome the difficulty of data availability,this paper innovatively utilizes the policy change of removing the 20%restriction on bank investment in lead underwritten local bonds issued by China Banking and Insurance Regulatory Commission in August 2018,and conducts a quasi-natural experiment to identify the impact of the change in the proportion of lead underwritten banks'holdings of local bonds on their repo financing transactions.The paper employs a difference-in-difference empirical strategy,utilizing the policy change of the 20%restriction removal.The bas

关 键 词：地方债发行 银行承销 银行融资流动性 准自然实验 

分 类 号：F832.51[经济管理—金融学] F832.3F830.42