2015年第10号 城投债券发行定价、预算约束及利率市场化.pdfVIP

中国人民银行工作论文 No.2015/10 PBC Working Paper No.2015/10 2015 年8 月31 日 August 31, 2015 城投债券发行定价、预算约束与利率市场化 杨娉1 摘要：许多人认为，由于软预算约束，地方融资平台的融资成本难以反映风险状 况的变化，且其融资行为对利率不敏感，可能使未来以政策利率为基础的货币政 策框架难以达到预期的调控效果。本文以 1997 至2014 年间发行的3820 期城投 债为样本，定量分析预算软约束对地方融资平台融资行为的影响。主要结论是： （1）在过去几年中，城投债发行利率出现较明显的差异化，定价的市场化特征 逐渐提高。（2）平台的融资规模对无风险实际利率已经有一定的敏感性，但风险 溢价的上升尚不能有效地抑制融资规模，即预算约束还有待进一步硬化。（3）正 在进行的预算管理改革和地方债市场的建设，有利于硬化地方政府和融资平台的 预算约束，为进一步推动利率市场化改革和向新的货币政策框架转型创造条件。 Abstract: Many believe that, due to the soft budget constraint, the borrowing costs of local government financial vehicles (LGFVs) do not reflect credit risks, and their borrowing decisions are not sensitive to interest rates. In the presence of such borrowers, therefore, it would be difficult for a policy-rate based monetary policy framework to achieve its goals. This paper, using data on 3280 bonds issued by LGFVs during 1997-2014, attempts to quantify the impact of budget constraints on borrowing costs and borrowing decisions by LGFVs. Our results suggest that the budget constraint on LGFVs may be harder than perceived: (1) the coupon rates of LGFV bonds do reflect their financial strengths and credit risks; (2) the amounts of borrowing by LGFVs are sensitive to changes in the risk-free rate, though not yet to credit risk premiums. We believe that the on-going fiscal reforms and the development of the local government bond market will help further improve harden the budget constraint on local governments and LGFVs in the future. 关键词：城投债；预算软约束；利率市场化 声明：中国人民银行工作论文发表人民银行系统工作人员的研究成果，以利于开展学术交 流与研讨。论文内容仅代表作者个人学术观点，不代表人民银行。如需引用，请注明来源 为《中国人民银行工作论文》。 Disclaimer: The Working Paper Series of the Peoples Bank of China (PBC) publishes research reports written by staff members of the PBC, in order to facilitate sc