摘要
建立防范化解地方债务风险长效机制,建立同高质量发展相适应的政府债务管理机制是新时代实现经济高质量发展的必然要求。近期,地方政府债务迎来集中置换期,但在置换中最优比率该如何确定?理论分析层面,本文构建了包含同业拆借市场的异质性商业银行的三期模型,分析地方政府债务违约风险向商业银行流动性风险转移的传导机制。地方政府债务违约减少了商业银行的流动性,推高短期资金利率,带来了银行的流动性风险和破产风险。债务置换政策能够缓解这种不利影响,然而,过高的债务置换率反而会增加商业银行的流动性风险和破产风险。因此,债务置换政策存在收益与风险的权衡,最优债务置换率应该等于地方政府债务违约率。本文进一步论证了债务置换率的合理区间和地方政府融资能力对债务置换的影响。实证检验层面,本文采用2015—2019年地方政府债务置换数据,运用双向固定效应模型检验了地方政府债务违约可能性对债务置换强度的影响和地方政府融资能力的调节效应,进一步佐证了理论分析,为当前地方政府债务置换工作提供参考和借鉴。
Preventing and resolving systemic financial challenges is an inherent requirement for achieving high⁃quality development in the new era.The recent accelerated issuance of government bonds and the upcoming concentrated replacement period for local government debt raises pertinent questions about the optimal ratio for replacement,but it is not answered by existing literature.This paper,by constructing a three⁃period model featuring heterogeneous commercial banks with an interbank market,shifts the analytical focus to short⁃term liquidity issues.It investigates the transmission mechanism of local government default risk to the liquidity risk of commercial banks and analyzes debt replacement strategies.This paper reveals that local government debt default reduces bank liquidity,raises short⁃term funding interest rates,and introduces liquidity and bankruptcy risks to banks.Debt replacement strategies,defined as the policy arrangement wherein medium to long⁃term,low⁃cost local government bonds replace short⁃term,high⁃interest local government debt based on the identification of existing debt by the Ministry of Finance of China,can alleviate these adverse effects.On one hand,they can alleviate short⁃term debt repayment pressure,reducing the government default rate;on the other hand,the conversion from loans to bonds improves banksliquidity financing capacity,mitigating liquidity and bankruptcy risks.The analysis also shows that an excessively high replacement rate will lead to an expansion of liquidity gaps in the interbank market,and worsen bank liquidity and bankruptcy risks.Debt replacement strategies involve a trade⁃off between benefits and risks,suggesting the existence of a reasonable range for the replacement rate.Specifically,the replacement rate should not be lower than the local government default rate to avoid government default and should not exceed a reasonable upper limit to prevent the rise in bank liquidity and bankruptcy risks caused by risk transfer.The optimal debt replacement rate should be equal to the potential default rate of the debt.Additionally,this paper finds that the stronger the government’s financing capacity,the more flexible the debt replacement design.Finally,using data from the 2015—2019 debt replacement practices,this paper further demonstrates the correlation between local government debt replacement rate and the likelihood of local government debt default,as well as the impact of government financing capacity on debt replacement.In conclusion,despite various disturbances in the previous round of debt replacement across provincial⁃level regions and over time,there is still a positive correlation with the likelihood of debt default.This aligns with the theoretical model and validates the instructive value of theoretical analysis for current local government debt replacement efforts.This paper aims to provide directional guidance and reference for the present round of debt replacement that has recently commenced.
作者
黄志刚
李明琢
董兵兵
HUANG Zhi-gang;LI Ming-zhuo;DONG Bing-bing(School of Finance,Central University of Finance and Economics,Beijing 102206,China;Shanghai Advanced Institute of Finance,Shanghai Jiao Tong University,Shanghai 20030,China)
出处
《财经问题研究》
CSSCI
北大核心
2024年第3期39-54,共16页
Research On Financial and Economic Issues
基金
国家社会科学基金重大项目“完善住户部门资产负债表体系建设研究”(20&ZD136)
国家自然科学基金地区项目“高杠杆下的中国财政乘数和财政空间研究”(72063030)
教育部人文社会科学青年基金项目“非金融企业杠杆率与宏观经济政策研究”(20YJC790018)。
关键词
地方政府债务
债务置换
流动性风险
期限错配
local government debt
debt replacement
liquidity risk
maturity mismatch
