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本文研究地方政府城投债风险溢价问题。实证结果显示:(1)随着时间的推移,金融市场并非认同中央政府对地方政府债务负有无限责任的看法。虽然2009-2015年中国城投债整体风险溢价未表现出明显上升,但不同地方政府的城投债风险溢价逐步发生了差异化。(2)在城投债风险溢价的影响因素中,地方债务率越高、财政收入增长率越低、基础设施投资占比越高、房地产开发投资占比和房价越低,城投债风险溢价越高。GDP增长率上升会提高省级城投债风险溢价,但是会降低市级城投债风险溢价。这些因素的影响到2012年以后才逐步体现出来,而在之前的年份没有影响风险溢价。(3)城投债风险溢价与城投公司流动性负相关,说明城投公司本质上并非单纯市场意义下的公司,而体现了其背后地方政府的信用和债务风险。
This article studies the issue of the risk premium of local government bonds. The empirical results show that: (1) Over time, financial markets do not agree with the view that the central government has unlimited liability for local government debts. Although the overall risk premiums for investment in China’s cities during 2009-2015 have not shown a significant increase, the risk premiums for city-entry bonds of different local governments gradually diverge. (2) Among the factors influencing the city venture bond risk premium, the higher the local debt ratio, the lower the fiscal revenue growth rate, the higher the proportion of infrastructure investment, the lower the proportion of investment in real estate development and the lower of the house price, The higher. The rise of GDP growth rate will raise the risk premium of the provincial-level city’s investment bonds, but will reduce the risk premium of the municipal-level city bonds. The impact of these factors will not be reflected gradually until after 2012, but did not affect the risk premium in previous years. (3) The negative correlation between the city venture bond risk premium and the liquidity of the city investment company shows that the city investment company is not a purely market-based company, but reflects the credit and debt risk of the local government behind it.