中国地方政府债信用违约风险评估研究

Research on Risk Assessment of Credit Default in Local Government Bond in China

中文关键词:  财政赤字  地方政府债  预算收入  信用违约  风险评估  区域差异

英文关键词:fiscal deficit  local government bond  budgetary revenue  credit default  risk assessment  regional difference

中文摘要:

      新修订的《中华人民共和国预算法》出台后,中国地方政府获得了自行发行地方债权利。由于多数省份地方政府财政赤字规模较大,地方债蕴含的信用违约风险不可忽视。基于各省份地方政府一般公共预算收入的历史数据,以及2015—2016年地方政府一般债券的发行规模,通过精确计算各省份财政担保比例,利用改进的信用风险评估KMV模型,评估了各省份地方债的预期违约率。实证研究结果表明:地方债的信用违约风险随时间推移将逐渐显性化。地方债的信用违约风险呈现区域差异化分布状态,中西部地区违约的省份数量会逐渐增多。地方债的预期违约率与其发行规模以及一般公共预算收入规模并不直接相关,与其财政担保比例高度相关；地方债的预期违约率与其期限关联性较强,与其发行利率相关性较弱。因此,监管部门应制定针对各省份债务情况的差异性地方债监管政策；应通过发行久期较长的地方债,对地方债违约风险进行分散化处理。

英文摘要:

      Since the new “Budget Law of the People's Republic of China” came out, the local governments in China have obtained the right to issue local bonds on their own. Due to the large scale of local government deficit in most provinces, the risk of credit default in local government bonds cannot be ignored. Based on the historical data of general public budget revenue of local governments in each province, and the scale to issue the local government general bonds during the period from 2015 to 2016, this paper accurately calculates the proportion of financial guarantee in each province and evaluates the probability of default expectation for local governments in the future with the use of the improved KMV model for credit risk assessment. The empirical research result shows that the credit default risk of local government bonds will gradually become dominant over time. The credit default risk of local debts is regionally differentiated, and the number of defaulting provinces will gradually increase in the central and western regions. The expected default rate of local debt is not directly related to the size of its issuance and the scale of general public budget revenue, which is only highly correlated with financial guarantee ratio. The expected default rate of local debt is strongly correlated with its maturity, and weakly correlated with interest rate. Therefore, the regulatory authority of local government bonds should formulate a differential regulatory policy for each province. The local government bonds with longer duration should be issued, by which the bond default risk can be decentralized.