省际地方政府债券信用风险及其溢出效应——基于图注意力网络模型的分析

Inter-provincial Local Government Bond Credit Risk and Its Spillover Effect—Analysis Based on Graph Attention Network Model

本文基于复杂网络视角考察省际地方政府债券信用风险及其溢出效应。根据2016—2022年我国地方政府债务在二级市场的月度信用利差及其特征变量,识别了信用利差的变化情况,揭示了信用利差与债券相关指标之间的内在关联。采用图注意力网络模型对地方政府债券信用风险及其影响因素进行评估,考察各类因素在影响信用风险时的交互效应,以及这些因素如何通过复杂网络对地方政府债券信用风险产生直接和间接的影响。在此基础上,本文通过分析省际地方政府债券风险的溢出效应,识别出地方政府债务风险的省际传导机制和部分省份之间债务风险相互增强的特点。基于上述结论,本文从完善二级市场风险预警体系、增强风险溢入效应较强省份财政稳定性、提高风险溢出效应较强省份债务管理水平、建立风险传导网络监控以及协调省际债务发行机制等方面提出政策建议。

This paper examines local government bond credit risk and its inter-provincial spillover effect from the perspective of complex networks.Based on the monthly credit spread and its characteristic variables of local government bond in the secondary market between 2016 and 2022,this paper identifies the changes in credit spread and reveals the intrinsic connections between credit spread and bond-related characteristic indicators.A graph attention network model is employed to assess local government bond credit risk and its contributing factors and to examine the interactive effects of various factors on credit risk and how these factors directly and indirectly impact local government debt risk through complex networks.Furthermore,by analyzing the spillover effect of inter-provincial local government bond risk,the paper identifies the mechanisms of inter-provincial transmission of local government debt risk and the characteristics of mutual risk enhancement between some provinces.Based on these conclusions,the paper proposes policy recommendations in terms of improving the risk warning system in the secondary market,enhancing the financial stability of provinces with strong risk spillover effect,improving the debt management level of provinces with strong spillover effect,establishing risk transmission network monitoring,and coordinating inter-provincial debt issuance mechanisms.