我国城投债信用风险研究:动态演化与区域特征

Research on Credit Risk of Urban Construction Investment Bonds in China:Dynamic Evolution and Regional Characteristics

通过建立修正KMV模型对30个省级区域和306个市级区域2020—2023年城投债违约概率进行了测算。研究发现:(1)就整体而言,我国省一级出现城投债违约的概率相对较小,但在地级市层面,我国部分城市在未来几年可能持续面临着较大的城投债偿付压力,城投债风险化解刻不容缓;(2)就时间演化而言,我国城投债违约概率存在逐步上行趋势,在假定情景下,未来三年我国有接近一半的地级市可能面临着不同程度的城投债违约压力,未来我国城投债风险存在逐步扩散的可能性;(3)区域特征上,测算结果表明,就我国城投债偿付压力来看,东部面临较大偿债压力的城市分布相对更为集中,而西部面临偿债压力的城市更多,数量更大,但分布相对更为分散。为避免城投债违约带来的负面问题,城投债债务化解应当尽快依据各地区不同情况有针对性地予以解决。

This paper calculates the default probability of urban construction investment bond in 30 provincial regions and 306 municipal regions from 2020 to 2023 by establishing a modified KMV model.The results show that,on the whole,the probability of default of urban investment bonds at the provincial level is relatively small in China,but at the prefecture-level level,some cities in China may continue to face greater pressure on the repayment of urban investment bonds in the next few years,and the resolution of urban investment bonds is urgent.In terms of time evolution,the default probability of China's urban investment bonds has a gradual upward trend.In terms of regional characteristics,the calculation results show that,in terms of the repayment pressure of China's urban investment bonds,the eastern cities facing greater debt repayment pressure are more concentrated,while the western cities are facing more debt repayment pressure,and the number is larger,but the distribution is relatively more dispersed.In order to avoid the negative problems caused by the default of urban investment bonds,the problem of debt resolution of urban investment bonds should be solved as soon as possible according to different situations in different regions.