非标违约与城投债发行定价  被引量:1

Non-standard Debt Contracts Default and the Pricing of Municipal Corporate Bonds

在线阅读下载全文

作  者:刘津宇 梁洛铭 毛捷[2] 柏金春 LIU Jin-yu;LIANG Luo-ming;MAO Jie;BAI Jin-chun(China School of Banking and Finance,University of International Business and Economics;School of International Trade and Economics,University of International Business and Economics)

机构地区:[1]对外经济贸易大学中国金融学院 [2]对外经济贸易大学国际经济贸易学院

出  处:《中国工业经济》2024年第10期43-61,共19页China Industrial Economics

基  金:国家自然科学基金面上项目“债券市场开放环境下债券定价效率、流动性与风险传染机制研究”(批准号72173022);国家自然科学基金面上项目“专项债的可持续性研究:数据构建、理论分析和效应检验”(批准号72473016);国家社会科学基金项目“中国地方政府债务治理研究:理论框架和政策路径”(批准号23VRC045)。

摘  要:本文基于2015—2022年地方融资平台公司城投债发行和非标资产违约数据,通过构建多时期双重差分模型,考察融资平台非标资产违约对城投债定价和平台市场化转型的影响。研究发现,地区首次发生非标资产违约后,属地融资平台的城投债发行利差显著提高,该效应在隐性担保预期高、房地产投资占比高的地区更显著。机制检验显示,非标违约揭示平台信用风险后,投资者对城投债的隐性担保预期下降,推动信用风险被有效纳入城投债的定价中,城投债长期以来的溢价发行现象得到有效平抑,意味着融资平台改革转型过程中,非标资产违约的触发一定程度上能够起到促进平台真实信用风险释放、激活市场定价机制的作用。长期看,非标资产违约产生的定价效应和市场化效应推动了融资平台降低经营风险和提高投资效率。进一步检验显示,地方政府的非市场化救助行为将强化投资者的“刚兑信仰”,导致城投债定价被进一步扭曲,这一发现为近年来制定和实施的一揽子市场化化债政策提供了重要的经验证据。本文为监管层和地方政府深入认识融资平台所面临的化债困境、防范化解重大金融风险及推进融资平台的市场化转型提供了新的视角。Promoting the market-oriented transformation of local government financing vehicles(LGFVs)is a crucial step in China’s efforts to mitigate and manage local implicit debt risks.Over the past decade,LGFVs have played a pivotal role in financing infrastructure development and social welfare projects through the issuance of municipal corporate bonds(MCBs)and non-standard debt instruments,which contribute to regional economic growth and social development.However,since LGFVs primarily invest in public welfare projects that generate limited and unstable cash flow,they struggle to manage debt independently.As a result,local governments have accumulated significant implicit debts,while crowding out of financial resources has driven up private sector financing costs,posing threats to China’s high-quality economic development.Although MCBs have not experienced any substantial defaults in recent years,frequent defaults on non-standard debt contracts of LGFVs have aroused wide attention.On one hand,such defaults severely destabilize financial markets.On the other hand,they shake investors’rigid payment expectations,leading to the re-pricing of LGFV formal debts,i.e.,MCBs.The non-standard debt default events promote the market-oriented transformation of LGFVs,accelerate the exposure of implicit debt burdens on local governments,and curb excessive local government borrowing.Based on data on MCB issuance and non-standard debt defaults by LGFVs from 2015 to 2022,this paper uses a multi-period difference-in-differences(DID)model to assess the impact of LGFV nonstandard debt defaults on MCB pricing and the market-oriented transformation of LGFVs in China.The findings reveal that after the first occurrence of non-standard default in a region,the issuance spread of MCBs by local LGFVs rises sharply.This effect is more pronounced in areas with strong implicit guarantee expectations and heavy reliance on real estate investment.The mechanism analyses indicate that non-standard defaults speed up the exposure of LGFVs’credit risk

关 键 词:非标资产违约 城投债 发行利差 溢价率 融资平台 

分 类 号:F123[经济管理—世界经济]

 

参考文献:

正在载入数据...

 

二级参考文献:

正在载入数据...

 

耦合文献:

正在载入数据...

 

引证文献:

正在载入数据...

 

二级引证文献:

正在载入数据...

 

同被引文献:

正在载入数据...

 

相关期刊文献:

正在载入数据...

相关的主题
相关的作者对象
相关的机构对象