中国式兜底预期与结构分化的债务估值体系

Chinese-Style Compensation Expectations and the Debt Valuation System with Structural Differentiation

隐性担保和刚性兑付是中国式兜底预期的两种典型形态。文章揭示了中国式兜底预期对不同风险状态借款人债务融资成本的结构性影响及潜在经济后果。在借款人资产价值随机运动的情景下,文章对兜底预期下的借款人预期偿债能力进行了动态相依的随机刻画,在结构化模型框架内对其债务融资成本进行了定价解析与比较分析。研究表明,在中国式兜底预期下,低风险借款人的债务融资成本倾向于被"高估",而高风险借款人的债务融资成本被"低估",此结构分化的债务估值体系将间接推升"无风险"资金价格及预期,增强高风险借款人的风险承担倾向,诱导社会资本向高风险部门、行业或项目流动与配置。文章从兜底预期角度解释了债务估值体系的结构性分化现象,以及资本误配的逻辑根源。

Summary： Implicit guarantee protection and rigid payment are two typical forms of the Chinese-style compensation expectations. Based on the afore-mentioned compensation expectations, the article personifies the financing demand side into a borrower and assumes that its asset va!ue is subject to random movement. In the context of the structural model, the article makes a dynamic dependent characterization for the expected solvency and pricing derivation for the debt financing cost of borrowers, and discusses the structural impact of compensation expectations on the debt financing cost of borrowers with high and low risk status. Series of nu- merical calculations indicate creditors tend to ＂underestimate＂ the debt financing cost of high-risk borrowers but ＂overestimate＂ the debt financing cost of low-risk borrowers, which leads to the structural differentiation of the debt valuation system. The Chinese-style compensation expectations are expected to uplift the market risk-free yield and connive with the risk-taking propensity of high-risk borrowers. Tempting by compensation expectations, more capitals are misallocated to high risk industries, departments or projects. In order to weak- en the negative effects of Chinese-style compensation expectations, we should design the strategies or mechan- isms according to their specific forms. The possible policy measures such as strengthening financial institu- tions＇ financing constraints on local government debt is a desirable means to weaken the negative impact of the central government＇s implicit guarantee, cutting off the implicit or hidden links between local govern- ments at all levels and their financing platforms and clearly defining the corporate debt attribute of financing platform debts, resolutely breaking the rigid payment myth in the trust industry and prohibiting the correspond- ing behavior of banking financial institutions lack of principles, and encouraging market-oriented institutions or businesses to break rigid payment under the clear boundary of responsibilities. The modeling for the bor- rower＇s self-solvency is similar to that of the corporate debt valuation model, but different from that, the art- icle reveals the potential and complicated impact of compensation expectations, which is a common phe- nomenon in China＇s economy and finance that has long been neglected in academic discussions, on the debt valuation of borrowers. In addition, the domestic literature on government implicit guarantee only empirically examines whether it has an impact on the borrower＇s financing cost, rather than on the structural impact of the debt financing cost of borrowers with different risk status. This article reveals the structural differentiation of the debt valuation system and explains the phenomenon of capital misallocation from the perspective of com- pensation expectations.