地方政府隐性债务与城投债定价

Local Government Implicit Debt and the Pricing of Chengtou Bonds

由于1994年《预算法》限制了中国地方政府凭借自身信用发行政府债券的能力,地方政府通过设立融资平台的方式发行了大量城投债券。虽然城投债被普遍认为是含有政府隐性担保的,但隐性担保主体认定尚未有共识。本文通过加总地方政府下属融资平台有息债务总额的方法,构建地方政府隐性债务负担率指标,并通过分析地方政府隐性债务负担率对城投债一二级市场信用利差的影响,进一步探索市场对城投债隐性担保责任主体的认定。研究发现,政府隐性债务负担率高的地方城投债信用利差偏高,并且这种影响随政策以及宏观形势而变化。自滇公路违约函事件后,投资者在城投债定价中开始普遍关注地方政府隐性债务负担率的信息;而在43号文明确了地方政府债务置换措施后,省级政府的隐性债务负担率开始成为城投债定价的重要影响因素。这说明投资者认可的地方隐性担保的责任主体是随时间变动的。

The recent explosion of Chinese local government debt has raised alarm among investors and regulators.According to China's National Audit Office's government debt report,Chinese local governments had accrued implicit and explicit debts totaling 17.89 trillion renminbi(RMB)by June 2013.The lack of a systematic measurement system for Chinese local government debt has long been a problem,especially for city-level governments,as their debt is mostly implicit.Chengtou bonds,a unique type of bond that combines the features of municipal and corporate bonds,are deeply rooted in the history of the Chinese government's administrative system reform.Lacking the authority to independently issue debt due to the 1994 Budget Law,Chinese local governments set up local government financing vehicles(LGFVs)to issue so-called chengtou bonds.While these bonds are commonly understood as carrying an implicit government guarantee,the identity of the implicit guarantor is unclear.In this article,we examine to what extent local government implicit debt affects the pricing of chengtou bonds.We further explore variations in the implicit guarantor that is recognized by the market.We first construct a measure for city-level local government implicit debt.As debt owed by LGFVs accounts for a large portion of city-level governments'debt,using the public disclosures of bond-issuing firms,we total all of the outstanding interest-bearing debt of LGFVs under the jurisdiction of a local government to obtain a proxy for total implicit city-level debt.We then divide the total interest-bearing debt by local government revenue,local gross domestic product(GDP),and local fixed-asset investment to obtain three local government implicit debt ratios.We first hypothesize that if the market believes that chengtou bonds carry an implicit government guarantee,local government implicit debt ratios should be related to the yield spread of chengtou bonds.Consistent with this hypothesis,we find that higher local government implicit debt ratios are associated with higher yield spreads of chengtou bonds at the city level.This result holds in both the secondary and primary market samples.Next,we explore the time-varying identity of the implicit guarantor using default events and government policy changes.In April 2011,Yunnan Highway,a LGFV owned by Yunnan Province,defaulted on some outstanding bank loans.Although the crisis was not directly related to chengtou bonds and was finally resolved with government intervention,this event may have significantly impacted investors'recognition of the risks associated with chengtou bonds.We find that the relationship between the city-level government implicit debt ratios and the yield spreads of chengtou bonds did not exist prior to the Yunan Highway default event and became significant only afterwards.This result is consistent with the arguement that investors initially believed the central government to be the guarantor of chengtou bonds and ignored the implicit debt burden of local governments.Investors only began paying attention to city-level government implicit debt after the 2011 default event.In October 2014,the State Council issued Directive No.43 to clarify the relationship between local governments and LGFVs.This document makes it clear that city governments can swap their LGFVs'debt for municipal bonds issued directly by provincial governments.We thus hypothesize that after the issuance of Directive No.43,provincial government implicit debt ratios become important in the pricing of chengtou bonds issued by city-level LGFVs.Indeed,we discover that provincial government implicit debt ratios are significantly positively related to chengtou bond yield spreads after October 2014.In summary,our evidence suggests that the identity of the implicit guarantor of city-level chengtou bonds has shifted over time from the central government to city-level governments,and more recently,to city-plus province-level governments.Although implicit guarantees reduce the borrowing costs of local governments,due to the lack of formal legal protection,the pricing of chengtou bonds is significantly affected by market events and government regulations that shift market perceptions regarding the identity of the implicit guarantor.The uncertainty related to the implicit guarantee creates unnecessary risk and may potentially increase local governments'borrowing costs in comparison to them raising debt independently.