债务指数、风险溢价与地方政府专项债券市场化定价

Debt Index, Risk Premium and Market-Oriented Pricing of Local Governments Special Bonds

地方政府专项债券的市场化定价是平衡稳增长和防风险双重目标的有效手段。文章通过构造地方政府债务风险指数以全面准确度量发债主体的债务风险,利用2015-2019年中国地方政府债券的发行数据,基于一般债券和专项债券的比照,从发行利差的风险溢价角度对专项债券的市场化定价进行研究。研究发现:从专项债券自身来看,其定价在一定程度上可以反映不同发债主体之间的债务风险差异;但专项债券与一般债券之间存在一定程度的发行利率扭曲,相对于一般债券,专项债券定价对债务风险的溢价程度明显偏低。上述结果表明,地方政府专项债券定价虽然具有一定的市场化水平,但并不充分也不到位。

The market-oriented pricing of local government special bonds is an effective means to balance stable growth and risk prevention. Based on the issuance data of China’s local bonds from 2015 to 2019, and the comparison between general bonds and special bonds, this paper studies the market-oriented pricing of special bonds from the perspective of risk premium of issuance spread by constructing the local debt risk index to comprehensively and accurately measure the debt risk of issuers. The empirical results show that pricing of special bond can reflect the difference of debt risk between different issuers from the perspective of special bond itself, however, there is interest rate distortion between special bonds and general bonds in a certain degree. Compared with general bonds, the risk premium of special bonds is significantly lower. On the whole, the local government special bond pricing is somewhat market-oriented, but not sufficient yet.