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第 33 卷摇 第 5 期 吴摇 涛, 张摇 亮: 中国地方政府债信用违约风险评估研究

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Research on Risk Assessment of Credit Default in

Local Government Bond in China

1 2
WU Tao & ZHANG Liang
(1. School of Finance, Chongqing Technology and Business University, Chongqing 400067, China;
2. School of Economics, Sichuan University, Chengdu, Sichuan 400067, China)

Abstract: Since the new “Budget Law of the People蒺s Republic of China冶 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 lo鄄
cal 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 ex鄄
pectation 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 gen鄄
eral 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 gov鄄
ernment 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.
Key Words: fiscal deficit; local government bond; budgetary revenue; credit default; risk assessment; regional difference

(本文责编摇 王摇 轶)

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