刚兑信仰分化:隐性担保预期与城投债定价

Rigid Redemption Belief Differentiation:Implicit Guarantee Expectations and Pricing of Municipal Investment Bonds

本文综合考虑隐性担保意愿和担保能力,利用2019-2021年债券发行和交易季度数据,借助地方政府债务恳谈会向市场传递的救助预期构建双重差分模型,检验隐性担保对城投债一二级市场信用利差的影响及其作用机制。研究发现,债务恳谈会召开后城投债一二级市场短期内出现信用利差倒挂和刚性兑付信仰分化,其所传递的救助意愿在一级市场表现为隐性担保(即城投债发行信用利差收窄),而在二级市场表现为隐性担忧(即城投债交易信用利差扩大),上述效应在融资平台行政级别、区域信用环境等方面呈现异质性。机制分析表明,隐性担保意愿通过提高地方政府承销议价能力作用于城投债发行定价,其对城投债交易信用利差的影响依赖于地方政府财政金融资源调动能力。本文建议,应避免通过债务恳谈会等政银企交流平台过度释放兜底信号并引发市场预期分歧,逐步弱化隐性担保、有序打破刚兑信仰,完善城投债市场化定价机制。

Based on quarterly bond issuance and transaction data between 2019 and 2021,this paper comprehensively considers implicit guarantee willingness and guarantee ability.It further constructs a difference-in-differences(DID)model based on bailout expectations conveyed to the market by government debt talkfests to empirically test the impact and mechanism of implicit guarantees on municipal investment bond credit spreads.The study finds that credit spreads in the primary and secondary markets of municipal investment bonds are inverted and rigid redemption belief in local government financing vehicles(LGFVs)diverges following the government debt talkfests.The bailout willingness conveyed by the debt talkfests manifests as implicit guarantees in the primary market(i.e.,bond credit spreads are narrowed),while it shows implicit concerns in the secondary market(i.e.,bond credit spreads are widened).The above effects are heterogeneous in terms of the administrative level of LGFVs and regional credit environment.Analysis of the mechanism indicates that the implicit guarantee willingness affects the issuance pricing of municipal investment bonds by improving local governments'underwriting and bargaining power,and its impact on the transaction pricing of municipal investment bonds depends on local governments'ability to mobilise fiscal and financial resources.This paper suggests that local governments should avoid excessively releasing bailout signals to the market through government-bank-enterprise cooperation plaforms,such as debt talkfests which may trigger market expectations divergence.China should gradually weaken implicit guarantees,break the rigid redemption belief in LGFVs and improve the market-oriented pricing mechanism of municipal investment bonds.