救助预期、市场约束与地方政府债券风险溢价——基于月度滚动债务风险指标

Bailout Expectation,Market Discipline and Risk Premium of Local Government Bonds in China:Based on Monthly Rolling Debt Risk Index

本文利用2017年12月到2021年7月的地方政府债券月度交易数据,通过构建债务风险月度滚动指标,研究了救助预期和市场约束对债券利差的影响,并分析了一般债券和专项债券的异质性。地方债券救助预期仍然存在,但是市场约束在逐步强化;一般债券对不同发债主体和全国整体债务风险的溢价程度相对更高,专项债券风险在一定程度上被低估,随着债务规模的攀升和偿债压力的加大,风险状况不容乐观。最后提出了防范化解地方债券风险的政策建议。

Using monthly data of local government bonds from December 2017 to July 2021,this paper analyzes bailout expectation and market discipline in the pricing of bonds,discusses heterogeneity between general bonds and special bonds,with constructing monthly rolling indicators of debt risk.It shows that bailout expectation of local bond still exists,but market discipline is strengthening;the premium level of general bonds for different issuers and the overall national debt risk is relatively higher,while the risk of special bonds is accumulating.Finally,policy recommendations are put forward to prevent and resolve local debt risks.