融资平台整合与城投债风险溢价——基于融资平台整合模式的分析  

Reorganization of Local Government Financing Vehicles and Municipal Bond Credit Risk Premium: Analysis Based on the Reorganization Types

作　　者：郭晔[1,2] 黄梦琪 许达 GUO Ye;HUANG Mengqi;XU Da(School of Economics,Xiamen University;Accounting School,Capital University of Economics and Business;School of Economics and Management,Tsinghua University)

机构地区：[1]厦门大学经济学院,361005 [2]厦门大学大数据金融交叉实验室,361005 [3]首都经济贸易大学会计学院,100084 [4]清华大学经济管理学院,100084

出　　处：《经济研究》2024年第12期149-166,共18页Economic Research Journal

基　　金：国家社科基金重大项目(20&ZD106)的资助。

摘　　要：党的二十届三中全会提出,应加快地方融资平台改革转型。融资平台的整合是实现改革转型的关键方式之一。本文通过对近24万条融资平台债券公告/新闻的文本分析和手工筛选,整理出2011—2020年间融资平台整合的公开事件,系统检验融资平台整合对城投债风险溢价的影响。研究结果显示,融资平台整合显著降低了城投债风险溢价。在此基础上,进一步分析不同整合模式的效果,发现聚焦核心资源、合理优化治理结构以及推进市场化的整合模式更受债券市场认可。机制分析表明,融资平台通过整合提升自身盈利能力是化解风险的核心因素。本文研究结果不仅在政策层面为推动融资平台市场化改革和化解地方债务风险提供了经验证据,也弥补了现有文献对于融资平台整合研究的不足。Managing local government debt has become a pressing issue for China's economic stability. Local Government Financing Vehicles(LGFVs) debt accounts for a significant portion of local government debt. LGFVs have witnessed exponential growth in their bond issuance. To mitigate these risks, the reorganization of LGFVs has been implemented to transform them into self-sustaining and efficiently managed entities. Despite the widespread adoption of reorganization, its effectiveness remains under-researched. This study systematically examines LGFVs reorganization, evaluates its impact on reducing risk premiums for LGFVs bonds, and identifies the most effective reorganization models.Due to the absence of organized records on LGFVs reorganization events, we manually collect data from the RESSET database, identifying 526 reorganization events involving 12,848 bonds from 2011 to 2020. To assess the impact of LGFVs reorganization on debt risk, we employ two methods: an event study and panel regression analysis. The event study evaluates investor responses to reorganization in the month when it occurred, revealing that reorganization significantly reduces credit spreads by an average of 0.4 basis points at the 1% significance level. The panel regression analysis also shows a significantly negative coefficient for reorganization, indicating a reduction in credit risk. Specifically, the average monthly abnormal spread declines by 0.32 basis points for reorganized LGFVs, equivalent to 13% of the sample's standard deviation(2.52 basis points).We further analyze which reorganization models are most effective at reducing LGFVs debt risk by examining six types: asset injection, asset stripping, shareholder changes(to government or corporate), and changes in market orientation(increased or decreased). Our analysis indicates that asset stripping, shareholder changes, and enhanced market transparency are most beneficial to reducing debt risk. Notably, asset stripping leads to an average risk premium reduction of CNY 625,000, suggesting

关 键 词：融资平台 整合模式 风险溢价 盈利能力 

分 类 号：F83[经济管理—金融学]