地方政府债务扩张与系统性金融风险的触发机制

The Expansion of Local Government Debt and the Mechanism of Systemic Financial Risk Triggering

中国地方政府债务规模迅速扩张导致金融和经济杠杆率快速上升,债务风险引致的潜在系统性金融风险成为中国政府关注的重点领域。本文通过构建一个地方政府债务作用于商业银行流动性约束和私人信贷投资的DSGE模型,模拟债务—金融风险的累积迭加机制触发系统性金融风险的可能性。研究表明:地方政府投资冲动驱使地方政府债务规模呈现顺周期特征,商业银行对地方政府债务的大量认购使债务风险转化为金融风险,商业银行是地方政府债务扩张所致风险的载体。在中央隐性担保率不断下降的情况下,金融风险的累积性质扭曲了信贷配给效率,并使得居民和金融部门持有地方政府债务的风险不断迭加,在达到临界值时触发系统性金融风险。本文模拟出的中央政府合理担保区间为[0.71,0.99];同时模拟出中央政府运用金融审慎政策去杠杆的最优政策时机为年新增债务量占GDP比重达2.88%之时,对应的中央隐性担保率为79%。中央政府防范系统性金融风险时不可"一刀切",应循序渐进地降低隐性担保率。

The rapid expansion of the scale of local government debt in China has led to a rapid rise in the financial and economic leverage,the potential systemic financial risk caused by debt risk has become the focus of our government.This paper simulates the accumulative superposition mechanism of debt-financial risk and the possibility of triggering the systemic financial risk by constructing a DSGE model with local government debt,which influences bank liquidity constraints and private credit investment.Our research shows that the local government’s investment impulse drives the local debt pro-cyclical,the large subscriptions of commercial banks to local government debt make the debt risk into financial risk,and commercial banks are the carriers of the risk of local government debt expansion.In the case of the declining of implicit guarantee rate of the central government,the cumulative nature of financial risks distorts the efficiency of credit rating,meanwhile brings residents and financial sector who hold local government debt much more risk,at last,triggering systemic financial risks when the critical value is reached.The central government should not deal with systemic financial risks with a clean cut,instead lowering the risk by reducing the implicit guarantee rate step by step,the appropriate guarantee rate interval is[0.71,0.99]under our simulation.Meanwhile,the best time for the central government to cut the leverage is when annual debt growth to GDP ratio reaches 2.88%,with the implicit central government guarantee rate reaches 79%.