中国地方债务的省级风险度量和网络外溢风险

The Provincial Risk Measurement and Network Spillover Risk of Local Debt in China

本文通过提取2009-2019年债券交易大数据中隐含的风险溢价,构建省级债务风险指标,发现各省债务风险在2015年后显著上升,风险溢价期限结构倒挂,流动性恶化。运用网络向量自回归模型分别对城投债和地方债网络的风险指标建模,并扩展至双网络模型,发现二者的网络溢出效应在2015年后显著为正,在2018年后有扩大趋势,且存在自城投债网络向地方债网络的风险传导效应。本文研究为监测地方债务系统性风险及风险传导提供了可行性和科学参考。

We construct provincial risk indexes by extracting the risk premium reflected in the big data of bond market from 2009 to 2019.We find that provincial risk increased significantly after 2015,with an inverted term structure of risk,indicating aggravated liquidity.Estimation of the network vector autoregressive model shows that the network spillover effect of local debts is significantly positive after 2015,and tends to expand after 2018.Moreover,there exists risk transmission from the Chengtou bond network to local government bond network.This study provides a useful tool for monitoring systemic risk and risk transmission of local debt.