财政预算绩效管理改革公告和城投债信用利差  

Fiscal Budget Performance Management Reform Announcements and Credit Spreads of Local Government Financing Vehicle Bonds

作　　者：阮睿 吴司锴 孙宇辰 Ruan Rui;Wu Sikai;Sun Yuchen

机构地区：[1]中央财经大学中国财政发展协同创新中心 [2]对外经济贸易大学中国金融学院

出　　处：《财政研究》2024年第12期38-52,共15页Public Finance Research

基　　金：国家自科基金青年科学基金项目“财政政策沟通、市场预期形成与宏观经济效应研究”(72303266);国家自科基金青年科学基金项目“中央银行沟通、宏观经济预期与微观企业行为”(72203037);国家自然科学基金面上项目“非常规财政政策的作用机理、效应评估、政策设计与模拟”(72273161);国家社会科学基金项目“基于行为和预期管理的财政政策研究”(23VRC044);教育部哲学社会科学创新团队(财政基础理论创新与财税改革研究团队);中央财经大学青年科研创新团队支持计划

摘　　要：本文使用城投债二级市场交易数据,基于双重差分方法,分析各省财政预算绩效管理改革公告发布对城投债信用利差的影响。研究结果表明,改革文件发布后,该省城投债信用利差显著下降,说明财政预算绩效管理改革公告有效提升了市场对地方政府融资平台的信心,这种利差降低主要来源于市场对债券违约风险预期的下降。机制分析显示,财政预算绩效管理改革公告效果在财政收支缺口较低、财政透明度较高、经济发展水平较高和政商关系较好的地区的城投债,以及信用评级为AA+的城投债上更为显著。本研究表明财政预算绩效管理改革存在“公告效应”,能够通过金融市场渠道在较短时间内缓解地方政府债务风险,研究结论对政策当局推行财税体制改革和化解地方政府债务风险等工作具有参考意义。This paper employs transaction data from the secondary market of local government financing vehicles(LGFV)bonds and uses a difference-in-differences approach to analyze the impact of provincial fiscal budget performance management reform announcements on the credit spreads of LGFV bonds.The findings reveal that following the release of reform documents,the credit spreads of LGFV bonds in the respective province significantly decreased,indicating that the fiscal budget performance management reform announcements effectively boosted market confidence in local government financing platforms.A channel analysis suggests that this decline in spreads mainly stems from a reduction in market expectations of bond default risk.Mechanism analysis shows that the impact of these announcements is more pronounced for LGFV bonds in regions with lower fiscal gaps,higher fiscal transparency,higher levels of economic development,and better governmentbusiness relations,as well as for bonds with a credit rating of AA+.This study demonstrates the presence of an“announcement effect”of fiscal budget performance management reforms,which can mitigate local government debt risks through financial market channels in a relatively short period.The findings offer insights for policymakers in advancing fiscal reforms and addressing local government debt risks.

关 键 词：预算绩效管理 公告效应 地方政府债务 城投债 信用利差 

分 类 号：F812[经济管理—财政学]