中国省级政府债务风险测度与分析

A Municipal Debt Risk Assessment and Analysis

将财政收入分解为税收收入、土地出让收入以及其他收入。假设三类收入分别服从扩散过程,利用伊藤引理和投资组合理论,建立地方政府债务违约概率测算模型。省级政府债务违约风险的评价结果表明:税收收入和其他收入对地方政府债务违约风险的影响较大,"土地财政"的影响相对较小;偿还债务的期限越长,地方政府债务的违约风险越低;东、中、西部地区的省级地方政府债务的违约风险存在显著差别,西部地区省份的违约风险最高,东部发达地区的违约风险最低,发债试点的8个省份的违约风险普遍较低;如果偿还期限为5年,有29个省份的地方政府债务违约风险低于50%。

The local government revenue is decomposed into tax revenues, land revenue and other income. The three revenue sources are assumed as diffusion process. The Ito Lemma is applied to solve the diffusion process, the mean and variance are estimated by the portfolio theory, hence the default probability model of municipal debt is deduced. Empirical results show several important feathers. The major income variables affecting debt default risk are tax revenue and other income, ＂land finance＂ has relatively small effect. The longer the period of repayment of the debt, the lower the risk of default of local government debt. The default risks of the eight pilot provinces and cities that permit to issue bonds itself are relatively low. The province with the highest risk of default include the Guizhou, Gansu and Qinghai which belong to developing region. The province with the lowest risk of default include the Guangdong, Shandong, Zhejiang, Beijing and Shanghai, which belong to developed region. Assuming the local government debt are repayed for 5 years, the default probality of 29 provinces government debt are less than 50%.