地方政府性债务溢出及其治理效应——基于债券市场的研究

The Spillover Effect of Local Government Bonds and Its Governance Effect——Empirical Evidence from Bond Market

本文采用城投债余额作为反映地方政府性债务规模的市场化变量,基于2009—2018年6月的债券市场月度数据,考察地方债务扩张对国债收益率的溢出效应以及地方债务治理对溢出效应的影响。研究发现,在2014年国务院“43号文”这一代表性的地方债务治理政策颁布之前,城投债规模扩张显著提升中短期国债收益率;“43号文”的颁布降低市场对城投债的隐性担保预期,导致城投债规模扩张对国债的溢出效应减弱。另外,地方财政实力、债务期限和融资平台行政级别差异对溢出效应存在显著的异质性影响。转移支付依赖度较高的地区债务规模扩张对国债的溢出效应显著高于转移支付依赖度较低的地区;长期债务扩张的溢出效应显著高于短期债务;市县级融资平台债务扩张的溢出效应显著高于省级融资平台。

Based on the sample period between 2009 and June 2018,this paper uses Chengtou bonds(city investment bonds)as the representative of local government debts to investigate the dynamic spillover effects of local government bonds before and after the No.43 Document promulgated by the State Council in 2014.The findings indicate that the debt accumulation by local governments spilled over onto short and medium-term treasury bond yields before the No.43 policy,while the spillover effect was reduced after the promulgation of the No.43 Document,which was believed to reduce the bailout expectation from central government.Further research indicates that the differences in local government fiscal performance,debt maturity and administrative level of local financing platforms have heterogeneous effects on the spillover effects.Debt accum ulation by the local governments,which are highly dependent on fiscal transfers from central government,spillovers significantly more than those less dependent on fiscal transfers.Long-term debts spillover significantly more than short-term debts.And debts from municipal and country-level financing platforms spillover significantly more than debts from provincial financing platforms.