市场约束能够降低地方债风险溢价吗?——来自城投债市场的证据

Can Market Discipline Affect Local Government Bonds'Risk Premium?Evidence from the Chengtou Bond Market

本文从城投债风险溢价的视角,以2014年进行的地方政府债券"自发自还"试点作为一项准自然实验,采用双重差分法检验了市场约束对地方政府债务风险的影响。研究发现,"自发自还"试点产生的市场约束能显著降低城投债的风险溢价。进一步的检验表明,地方政府的财政不透明和财政不平衡会抑制市场约束效应,具体表现为"自发自还"试点降低城投债风险溢价的效果在财政透明度高和财政较平衡的地区更显著,而在财政透明度低和财政不平衡的地区则不显著。本文的启示是:目前财政体制改革滞后于政府融资机制的改革,阻碍了政府债务市场化治理的进程。因此,加快财政体制改革是建立地方政府债务治理长效机制的关键。

This paper explores the role of financial markets and fiscal institution design in controlling the risk of local government debt in perspective of Chengtou bonds＇ risk premium. By taking the 2014 ＂self- issuing self- paying＂ pilot implementation as a natural experiment, we employ a difference - in - differences model to identify if market discipline can lower the risk premium of Chengtou bonds. Furthermore, market discipline is more effective in places where the fiscal transparency is higher, and less effective in presence of fiscal imbalance. We conclude that fiscal imbalance and low fiscal transparency weakens the market discipline efficiency. These results have important implications： only relying on market discipline can not lower the risk of local government debt effectively, the key is to improve the efficiency of fiscal institutional arrangement.