自发自还背景下我国地方政府债券信用风险研究

A Study on the Credit Risk of Local Government Bonds in the Background of Self-issuance and Self-repayment

在地方政府债券自发自还的背景下,研究我国地方政府市政债券信用风险,对于相关监管部门确定省、市层级合理适度的市政债券发行额度和规模,对于市政债券的发行者以及投资者准确评估市政债券信用风险,确保市政债券安全有效地发行具有重要意义。文章通过引入奈特不确定性因素期权定价理论的相关思想,构建了市政债券信用风险模型。研究结果表明在考虑奈特不确定性背景下,当债务规模占可担保财政收入80%以下时,理论违约概率趋近于零,当债务规模达到可担保财政收入80%以上之后,理论违约概率对债务规模的敏感性突然放大。据此文章得出结论:在考虑奈特不确定性因素的背景下,违约率与奈特不确定性因子存在正相关关系;市政债券规模需严格控制。

In the background of self-issuance and self-repayment of the local government bonds, to study on the credit risk of local municipal bonds in our country, has great significance for the rele- vant regulatory authorities to determine the provincial and city level reasonably moderate issuance scale, and for the issuers and investors to access the credit risk of municipal bonds reasonably and accurately, thus to ensure that municipal bonds can be issued safely and effectively. This pa- per constructs a credit risk model of municipal bonds by introducing the ideas of option pricing un- der Knightian uncertainty theory. The research results show that under Knightian uncertainty, when the debt scale is below80 % of the fiscal revenues that can be guaranty, the theoretical de- fault probability is close to zero; but when the debt scale exceeds 80 % of the fiscal revenues that can be guaranty, the sensitivity of default probability to debt scale amplifies suddenly. So this pa- per concludes that there exists a positive correlation between the default rate and Knightian un- certainty factors with considering Knightian uncertainty, and the scale of municipal bonds should be controlled strictly.