城投债融资成本与风险传染——基于非标融资违约的视角
文摘
财经
2025-01-10 09:40
上海
城投债融资成本与风险传染——基于非标融资违约的视角
Financing Costs of Local Government Financing Vehicle Bonds and Risk Contagion: From the Perspective of Non-standard Financing Defaults
《财经研究》2024年50卷第11期 页码：50-64 online：2024年11月3日
中：焦玮琳 , 郑维伟 , 郑旭
英：Jiao Weilin, Zheng Weiwei, Zheng Xu
作者单位：上海交通大学 安泰经济与管理学院，上海 200030
摘要：近年来，城投公司非标违约事件频发，加剧了地方隐性债务风险。文章基于2018年1月至2023年9月中国城投公司的债券发行、非标违约事件以及地方经济财政数据，探讨了非标违约事件对城投公司融资成本的影响及其在区域间潜在的风险传染效应。结果表明，城投公司发生非标违约事件会向市场传递风险信号，导致其在城投债市场上面临更高的融资成本。此外，非标违约风险在城市内存在显著的传染效应，且其强度呈现随时间衰减的特征，但在城市间的传染效应不明显。异质性分析显示，评级和行政等级较高以及作为地方主要融资平台的城投公司受到的非标违约传染效应更强。上述结论在经过一系列稳健性检验和排除共同因素影响后依然成立。文章的研究揭示了非标违约对地方政府隐性债务的负面影响，对于中央政府全面甄别并化解风险因子、建立防范化解地方债务风险的长效机制具有重要意义。
关键词：城投债；非标违约；债务风险；融资成本；传染效应
Summary: Local government financing vehicles (LGFVs) mainly adopt three common financing methods: bank loans, LGFV bonds, and non-standard financing. Due to low transparency and lack of standardized data, there is little literature to conduct in-depth research on non-standard financing. However, in recent years, non-standard defaults have occurred frequently, and the negative public opinion they trigger easily drags LGFVs’ other debts into the mire and leads to a regional contagion effect. Given that the central government has always attached great importance to the risk resolution of local debt, it is of great significance to explore the impact of non-standard defaults on the implicit debt of local governments. This paper uses the bond issuance and non-standard default events of LGFVs, and local economic and fiscal data from January 2018 to September 2023. By comparing the bond issuance time and non-standard default time, it identifies the LGFVs that have experienced non-standard defaults or been affected by the contagion effect before issuing bonds as the treatment groups, and studies whether the treatment groups face higher financing costs in the bond market. The main findings of this paper are as follows: First, the occurrence of non-standard default events of LGFVs will transmit risk signals to the market, resulting in higher bond financing costs for LGFVs that have defaulted. Second, non-standard default risk has a significant contagion effect within cities, and its intensity shows the characteristics of attenuation with time, but the contagion effect between cities is not obvious. Third, the higher-rating, higher-administrative-level, and main LGFVs are more strongly affected by the contagion effect. The main contributions of this paper are as follows: First, it studies the local debt risk that may be brought by non-standard defaults, enriching and deepening the understanding of related fields. Second, it finds that non-standard default events can expose the actual solvency and credit risk of LGFVs, and have a significant impact on the public financing costs of LGFV bonds, which is suitable as a proxy variable for the credit risk of LGFVs. In the context of the government’s repeated emphasis on breaking the rigid redemption, this finding is conducive to promoting the market-oriented pricing of LGFV bonds.
Key words: LGFV bonds; non-standard defaults; debt risk; financing costs; contagion effect
DOI：10.16538/j.cnki.jfe.20240413.101
收稿日期：2024-01-07
基金项目：国家自然科学基金项目（72073096）
