地方政府隐性债务的区域间效应:银行网络关联视角

Inter-regional Effects of Local Government Implicit Debt:An Interbank Network Approach

中国地方政府隐性债务的空间分布不平衡,存在因局部债务风险跨区域外溢而引发系统性风险的可能。因此,厘清隐性债务风险跨区域传导渠道并量化风险外溢程度,对于防范化解系统性风险具有重要意义。本文从实证和理论两方面分析了地方政府隐性债务风险的外溢渠道和宏观影响。基于网络模型和SVAR模型的实证分析发现区域地方政府隐性债务风险存在外溢效应,且银行间市场是风险传导的重要渠道。基于实证证据,本文构建了一个包含中央和地方政府、地方政府融资平台以及银行间市场的两区域动态随机一般均衡模型。数值模拟显示高风险区域的地方政府隐性债务风险会影响当地银行资产负债表状况,并通过银行间市场中的资金拆借形成风险扩散,造成其他区域银行融资条件恶化,最终导致其他区域政府隐性债务风险上升。政策模拟发现补充银行间市场流动性和地方银行资本均有助于缓解区域债务风险的外溢程度,但从福利效应来看针对地方银行的政策更优,且政策应同时盯住不同区域的风险水平。本文强调了区域地方政府隐性债务的系统性风险并提供了银行网络关联的研究视角。

In recent years,local government debt risk,in particular local government implicit debt risk is the key focus of China’s economic development.By the end of 2020,the budgeted local government debt is CNY 25.7 trillion,but the size of implicit government debt reaches CNY 42 trillion in 2019 according to IMF estimates.The implicit debt is mostly issued by local government financing vehicles,which are not directly associated with local governments,but implicitly backed by local governments.The pile of implicit local government debt is a crucial source of systemic risk,which significantly threatens the stability of the financial system and the aggregate economy.Therefore,a comprehensive understanding of the risk characteristics of local government implicit debt and its potential contagion path has important policy implications.China’s local government debt has three prominent features.First,the risk of local government implicit debt is higher than that of the budgeted debt.Second,although the risk of overall local government debt is controllable,local governments’debt in some regions may have immediate default risk without support from governments of higher levels.Third,the majority of local government implicit debt is held by commercial banks.Against the above background,this paper focuses on whether regional government debt risk spills over to other regions and whether interbank market is an important transmission channel for the spillover of local government implicit debt risk.Most literature on government debt risk focuses on the aggregate level,but little considers regional debt risk and its spillover effects,in particular through the interbank perspective.We first employ a network model and a structural-vector-autoregression(SVAR)model to empirically examine the issues abovementioned.Results from the network model show local government implicit debt risk spills over to other regions significantly,and the interbank connection is a critical transmission channel.A SVAR model with narrative and sign restrictions confirms the findings.Based on the empirical evidence,we develop a two-region dynamic stochastic general equilibrium model that includes central and local governments,local government financing platforms,and an interbank market.Our model embeds the following stylized facts.(1)Local government finance and operate public projects via financing vehicles,and those projects generate low private returns.(2)Local government financing vehicles may default on their debt,depending on the return of their projects and macroeconomic conditions.In case of default,the local governments may bailout those vehicles.(3)The credit risk of local government financing vehicles varies across regions.(4)Local commercial banks are the creditors of local government financing vehicles,and are connected by interbank lending through a centralized market.Numerical simulations show that a rise of local government implicit debt risk worsens the balance sheet of local commercial banks,which negatively affect banks in other regions through the interbank market.The deterioration of bank balance sheet depresses market liquidity condition,which raises the borrowing cost of local government debt in other regions.Counterfactual policy experiments show that supplementing interbank market liquidity and local commercial banks’capital can help alleviate the spillover of local government implicit debt risks.From a welfare perspective,policy interventions in local banks,and target risk levels of different regions simultaneously perform better.We propose the following policy implications to mitigate local government implicit debt risk.First,it is necessary to construct systematic and transparent data collection and measurement procedures and rules for local government implicit debt.These data should be used to evaluate and classify local government implicit debt risk across regions.Second,it is necessary to establish a systematic risk identification and warning system to evaluate the contagion effect of local government implicit debt risk beyond assessing the risk of a single region.Third,it is important to build firewalls between local government implicit debt and prepare emergency plans for debt crises.Fourth,it is important to monitor banks’local government implicit debt exposure,and strengthen the macroprudential regulation over the financial system.Fifth,it is necessary to reform the fiscal and financial institutions to reduce the moral hazard problem in the long run.