基于隐性担保和显性担保比较的城投债定价研究  

Marketization of Urban Investment Bonds:A Comparative Study of Implicit and Explicit Guarantees

作　　者：欧阳远芬[1] 王秋实 OUYANG Yuanfen;WANG Qiushi(School of Innovation and Development,Central University of Finance and Economics)

机构地区：[1]中央财经大学创新发展学院,北京100081

出　　处：《金融研究》2024年第8期77-94,共18页Journal of Financial Research

基　　金：北京社科基金(23JJB013)的资助。

摘　　要：地方债务管理改革政策在减少政府隐性担保预期方面取得了显著进展,对增强债券市场透明度和提升风险定价效率具有重要意义。然而,随着地方经济压力加大和不确定性增加,市场对政府隐性担保的依赖再次上升。本文梳理了城投债由政府隐性担保向市场化显性担保过渡的过程,发现二者之间存在显著的替代关系。政府隐性担保意愿的上升削弱了市场化显性担保的效果,并加剧了正溢价问题;与此同时,隐性担保能力的增强也进一步制约了显性担保的有效性。进一步研究表明,民营企业和第三方提供的显性担保与政府隐性担保之间的替代效应更为显著。总体来看,削弱隐性担保并推动显性担保,对于提升债券市场定价合理性、降低融资平台风险、促进平台市场化转型具有重要意义。本文为评估地方债务管理改革成效及完善债券市场配套措施提供了新的视角。In recent years,the rapid expansion of local government debt has become a substantial threat to financial stability and economic growth.The financial strain induced by the COVID-19 pandemic has exacerbated these tendencies,further elevating the risks posed by implicit debt to China's financial system.In response to these challenges,the Ministry of Finance has implemented several debt management policies aimed at diminishing market expectations of government bailouts and controlling the disorderly expansion of financing platforms.This study examines the relationship between implicit government guarantees and credit enhancement mechanisms within the bond market,particularly under evolving bailout expectations.This paper explores how market-based credit enhancement mechanisms can serve as alternatives to implicit government guarantees,promoting greater transparency in bond pricing and reducing financing costs.The study further analyzes the distinct roles of implicit guarantees and credit enhancement at various stages,revealing the shift from reliance on implicit government support to market-driven credit enhancement strategies,and thoroughly discussing the substitutive dynamics between the two.This paper uses changes of local debt management policies and the COVID-19 pandemic as quasi-natural experiments to assess how policies influence the roles of implicit government guarantees and credit enhancement mechanisms in the bond market.By comparing bond issuance pricing before and after the implementation of these policies,the study reveals how implicit guarantees and credit enhancement mechanisms function as substitutes.Our dataset,spanning from January 1,2010,to May 31,2022,includes key characteristics of Urban Investment Bonds,such as guarantee terms,issuing entities,and debt sizes.The data is taken from the Wind and Resset databases,ensuring its completeness and reliability,providing a solid foundation for the empirical analysis.The findings reveal that the presence of implicit government guarantees has allowed Urba

关 键 词：政府兜底预期 债券担保增信 地方债务管理改革 城投债 

分 类 号：F83[经济管理—金融学]