信用混同与地方政府债券定价扭曲——兼议完善地方债务管理体制的路径  

Credit Confusion and Pricing Distortion of Local Government Bonds:The Way to Perfect Local Debt Management System

作　　者：马光荣[1] 宋浩兰 聂卓 MA Guang-rong;SONG Hao-lan;NIE Zhuo(China Financial Policy Research Center,Renmin University of China;School of Finance,Renmin University of China;School of International Economics and Trade,University of International Business and Economics)

机构地区：[1]中国人民大学中国财政金融政策研究中心 [2]中国人民大学财政金融学院 [3]对外经济贸易大学国际经济贸易学院

出　　处：《中国工业经济》2025年第2期5-22,共18页China Industrial Economics

基　　金：国家社会科学基金重大项目“现代财政一金融结合框架下的地方债务管理研究”(批准号21&ZD095)。

摘　　要：本文从地方政府债券发行定价的角度切入,研究地方政府显性债务管理制度中的信用混同问题。使用2015—2022年地方政府债券的发行与交易数据分析发现,地方政府债券的发行利差非常有限地反映省份层面和地级市层面违约风险。异质性分析显示,对中央转移支付依赖度较高的省份以及省内转移支付均等化力度较大的省份,由于各级政府之间的信用混同更为严重,地方政府债券定价对当地政府信用风险的包含水平更低。对比分析发现,同时期地方融资平台的城投债券发行利差对当地政府信用风险定价更有效。这些结果表明,地方债券管理体制当中“省级统一发行、转贷市县使用”和“自上而下严格限额管理”这两个特征尽管有助于严格限制表内债务规模,但是加重了不同层级政府间的信用混同,削弱了省以下政府作为债务资金实际使用者的风险主体地位,导致市场对各地区债务风险难以有效定价。本文研究表明,在建立防范化解地方债务风险长效机制过程中,需要通过制度设计消除地方政府债券背后不同层级政府的信用混同,发挥金融市场在揭示和防范风险中的积极作用,从而强化对地方政府举债的市场约束机制。In recent years,the scale of local government debt in China has been expanding,and how to prevent and defuse local government debt risks has become a common concern of all sectors of society.It is of great significance to study how to improve the government debt management system and better regulate the borrowing behavior of local governments through the combination of administrative constraints and market constraints to prevent local government debt risks.This paper studies credit confusion in the local government explicit debt management system from the perspective of local government bond issue pricing.Using the issuance and transaction data of local government bonds from 2015 to 2022,this paper finds that the issuance spreads of local government bonds reflect very limited default risk at both the provincial and prefecture-level city levels.Heterogeneity analysis shows that provincial-level regions with higher dependence on central transfer payments and those with greater equalization of intra-provincial transfer payments have lower inclusion levels of local government credit risk in local government bond pricing due to more serious credit confusion among governments at all levels.The comparative analysis shows that the spreads of urban investment bonds issued by local financing platforms are more effective in pricing local government credit risk.These results show that the two features of China's local bond management system,“unified issuance at the provincial level and use by cities and counties on loan”and“top-down strict limit management”,although they help strictly limit the scale of debts in the balance sheet,but aggravate the credit confusion among governments at different levels and weaken the risk subject status of governments below the provincial level as actual users of debt funds.As a result,it is difficult for the market to effectively price debt risks in various regions.Additionally,this paper finds that in the process of establishing a long-term mechanism for preventing and resolving loc

关 键 词：地方政府债券 信用混同 债券定价 违约风险 

分 类 号：F124[经济管理—世界经济]