城投债信用风险计量及转型机制研究.pdf

摘 要 城投债信用风险计量及转型机制研究 摘 要 自2014 年43 号文出台以来，逐步剥离政府信用支持的城投债频 频暴雷，城投债信用风险的防范成为化解地方债务问题的重中之重。本 研究首先综述了国际上市政债券、中国的融资平台债券的违约概率计 量,随后概述了中国融资平台债券成长发展的过程,并着重系统介绍了 现有有关法律、法规框架，以期为我国城投公司的市场化转型提供监管 建议。本文基于利率即为信用风险报酬的思路，从 1997 年至2019 年 间发行的城投债中选取 3820 期有效样本，并选取样本期内非城投债 9785 期作为对比组，从宏观货币政策、城投主体行政级别、城投主体 财务情况、 外部评级级别、地方政府隐性担保多个方面对城投利差及 发行规模进行计量回归。 主要结论是：1、评级特征、流动性环境、平台盈利能力、现金流 状况均对城投债的风险溢价有显著影响；2 、随着市场化改革的推进， 融资平台已有一定市场主体的利率敏感性，但仍存在政府隐性担保预 期且显示出明显分化；3、融资平台的市场化转型有待更多经营性资产 的注入与难以评估作价的土地、无形资产及公益性资产的剥离。 结合铁岭城投借壳上市化解债务资金问题的案例分析，从融资平 台主体、金融市场支持以及监管政策三个方面，给出融资平台市场化转 型建议。 关键词：城投债；发行利差；回归分析法；地方债务风险 1 RESEARCH ON THE MEASUREMENT AND SOLUTION MECHANISM OF UDIC. DEBT CREDIT RISK IN CHINA ABSTRACT Since the promulgation of No. 43 document in 2014, UDIC debt which are gradually stripped from the government credit support however, this process encounters many difficulties. To prevent the UDIC debt credit risk has become a major issue when solving the local debt problem in China. Firstly, this thesis reviews the domestic and foreign literature on the risk measurement of UDIC debt and municipal debt, then it reviews the development process of UDIC debt in China, it also reviews the relevant laws and regulations of UDIC debt in China, in an effort to provide the background information for the subsequent policy recommendations of urban investment transformation. This thesis is based the idea of credit risk reward (the interest rate), from 1997 to 2019, 3820 valid samples of UDIC debt were selected, and 9785 non-UDIC debt in the same period were also selected as the comparison group. UDIC interest margin and issuance scale were measur