债权方信贷约束的风险治理效应:基于信号传递视角

The Risk Governance Effect of Creditors’ Credit Constraints from the Perspective of Signal Transmission

针对地方融资平台衍生泛化表外债务的风险冲击,秉持底线思维防范财政风险金融化,已在理论和政策层面形成共识。基于银监会以现金流覆盖率为门槛条件制定的债权方信贷政策,本文构建信号传递博弈模型,从价格还原视角厘清了风险治理的理论逻辑,进而利用模糊断点法提供了信号传递机制的影响证据。研究结果表明,债权方信贷约束通过金融机构信贷规模释放的风险信号影响了市场决策,在现金流全覆盖的规则阀值处还原了城投债风险溢价,推进了债务风险的市场化定价机制。本文为遏制转型期债务风险溢出升级,提出了完善价格发现功能、推进债务信息公开以及减少隐性契约干预等政策建议。

In response to the risk impact of generalised off-balance sheet debt stemming from local financing platforms, a consensus has been developed at the academic and policy level to adhere to the bottom-line mindset to avoid financialization of fiscal risk. Based on the policy formulated by the China Banking Regulatory Commission(CBRC) that restricts creditors’ lending by setting cash-flow coverage threshold conditions, this paper constructs a signalling game model to explain the theoretical logic of risk governance from the price reduction perspective, and subsequently uses the fuzzy regression discontinuity design(FRDD) to provide empirical evidence on the signalling transmission mechanism. The findings indicate that creditors’ credit constraints affect market decision-making through risk signals issued by the credit scale of financial institutions. At the threshold point of the“full cash flow coverage”policy, the risk premium of urban investment bonds(UIBs) is restored, which promotes the market-oriented pricing mechanism for debt risks. To curb the spillover from debt risk to financial risk during the transition period,this paper provides policy suggestions to improve the price discovery function, promote debt information disclosure and reduce implicit contractual intervention.