中国地方政府性债务风险与国债定价--基于城投债利差与国债收益率的分析

牛霖琳 (), 洪智武 () and 陈国进 ()
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牛霖琳: WISE
洪智武: WISE
陈国进: WISE

No 2016-10-19, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Abstract: 2008年全球金融危机后，中国政府的大规模财政刺激计划推助了地方政府债务融资的激增，地方债务风险不断暴露，对中国财政和金融系统性风险的影响受到关注。本文使用5年期城投债与国债的利差作为地方政府性债务风险的较为市场化的代表因子，采用无套利Nelson-Siegel利率期限结构扩展模型，对国债收益率曲线和城投债利差联合建模，在保证各期限国债收益率之间一致性定价的基础上，研究两者的联合动态与风险传导机制。实证结果表明，城投债风险通过两个渠道影响国债收益率：一是“避风港效应”，即国债作为国内债市最安全资产对城投债的替代作用，城投债风险上升时，国债价格被推升、中短期国债预期收益率下降；二是“补偿效应”，城投债风险可能引致系统性风险，国债收益率风险溢价随城投债风险增加而上升。样本期内城投债风险作用于国债市场的“避风港效应”强于“补偿效应”。本文的结构性建模与研究思路为即时有效的地方政府性债务风险预警和防范机制的建立提供了参考。

Keywords: 地方债务风险; 城投债利差; 国债收益率; 无套利Nelson-Siegel扩展模型 (search for similar items in EconPapers)
JEL-codes: C15 E43 G12 (search for similar items in EconPapers)
Date: 2016-10-19
New Economics Papers: this item is included in nep-mac
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