地方政府债务风险溢出效应研究

THE RESEARCH ON THE RISK SPILLOVER EFFECT OF LOCAL GOVERNMENT DEBT

地方政府债务风险的防范与化解对于中国金融稳定和经济增长至关重要。本文首先通过个体债券日频交易数据构建省份城投债和地方债利差指标,进而考察省际地方政府债务风险溢出效应,分析省际地方政府债务风险溢出的频域叠加机理及其主要影响因素。实证结果表明:城投债风险的空间分布与经济发展水平有关,呈现出明显的“西高东低”特征。地方债则不然。地方政府债务风险的总溢出由短期风险溢出主导。债券余额影响城投债短期风险净溢出,而经济基本面因素则影响城投债长期风险净溢出。基于实证结果,本文构建了地方政府债务风险传导与监管政策的框架。

The prevention and resolution of local government debt risks are critical to China's financial stability and economic growth.This article first uses the daily frequency transaction data of individual bonds to construct the provincial urban investment bond and local bond spread indicators,and then examines the inter-provincial local government debt risk spillover effect and the frequency domain superposition of inter-provincial local government debt risk spillovers mechanism and its main influencing factors.The empirical results show that the spatial distribution of urban investment bond risks is related to the level of economic development,showing obvious characteristics of"high in the west and low in the east",while local bonds are not;the total spillover of local government debt risk is mainly dominated by short-term spillover;the balance of bonds affects its short-term net spillover,while economic fundamental factors affect its long-term net spillover.Based on the empirical results,this paper proposes a framework for local government debt risk transmission and supervision policies.