政府隐性担保、债务违约与利率决定

Implicit Government Guarantee,Default Risk and the Determination of Interest Rate

本文首先构建了一个包含代表性借款人和贷款人的无限期离散时间递归模型，并将一种特殊的政府-借款人关系-隐性担保纳入模型，以考察政府隐性担保对贷款人债务违约风险预期和债券利率的影响机制。研究表明：政府隐性担保对利率的决定依赖于发行人所在地的经济发展状况，当区域经济发展状况不理想时，债券利率并不受到政府隐性担保的影响，这时悲观的投资预期使得政府隐性担保变得不再可信，任何政府隐性担保的存在都无法通过改善投资者对债券未来违约风险的预期来降低债券发行企业的融资成本。相反，随着经济发展状况的改善，政府隐性担保变得更加可信并且它的存在有利于债券利率的降低。在理论分析基础上，本文运用2006—2011年我国城投债的数据对模型结果分别进行了检验与对比，实证分析结果与理论模型预测基本吻合。

This paper firstly proposes an infinitely recursive model which includes a representative borrower and a representative lender. A special relationship between government and borrower---implicit guarantee is considered to explore the mechanism through which the implicit guarantee of government will impact the default risk and interest rate of bond. Theoretical analysis shows ： the impact of implicit guarantee from the government on interest rate depends on regional economic development. If the economy is awful, implicit guarantee won＇t play an important role in the determination of interest rate since the passive expectation of investors decrease the credibility of implicit guarantee and the existence of any implicit guarantee fail to improve investors＇ expectation and thus help decreasing financing cost of bond issuers. However, when the economy gets better, implicit guarantee of governments becomes more and more convincing and it can help decrease the interest rate. Based on the theoretical analysis, this paper uses the data of Chinese urban investment bonds during 2006 - 2011 to test our model. The empirical analysis of this paper coincides with the theoretical predictions.