债务置换背景下地方政府债务信用风险研究

Research on Local Government Debt Default Risk under the Background of Debt Replacement

本文利用KMV模型在债务置换年度内,对不同债务置换规模所引致的违约概率变动进行测度。采用动态随机一般均衡模型(DSGE)在对参数进行校准和估计的基础上,仿真了赤字冲击对各宏观经济变量的影响,继而对未来债务置换期间的可偿债收入进行预测,提高了预测的准确性。对可偿债财力的测算,分别考虑了一般性预算收入与政府性基金收入在偿还地方政府债务过程中的不同作用,使测算结果更为合理。测算结果显示,在未来年度内至少应置换当年到期债务的40%,否则理论上仍然存在极大的债务风险。

This paper uses the KMV model to measure the default risk under different debt replacement scales. On the basis of a dynamic stochastic general equilibrium model, we first evaluate the effect of the debt to the macroeconomic variables. Secondly, in the aspect of measuring payable ability, we consider the different functions of general budget revenue and the governmental fund income in repaying local government debt respectively. Finally, in the coming year Chinese local governments should replace at least 40% maturing debt in case of theoretical huge risk.