【摘要】：2010年以來(lái)，隨著投資者對(duì)于中國(guó)各級(jí)地方政府償債能力擔(dān)憂的逐步升溫，，地方債和城投債已經(jīng)成為了大眾津津樂(lè)道的話題。國(guó)內(nèi)的相關(guān)研究往往采用定性的方法，探討地方債和城投債的發(fā)行機(jī)制、隱含風(fēng)險(xiǎn)以及風(fēng)險(xiǎn)防范措施。定量的研究卻少之甚少。這主要是因?yàn)榻刂聊壳埃瑖?guó)內(nèi)還沒(méi)有現(xiàn)成的數(shù)據(jù)庫(kù)來(lái)提供中國(guó)各級(jí)地方政府的財(cái)政信息。因此，本文直接從中國(guó)各級(jí)地方政府網(wǎng)站獲取有關(guān)地方政府的歷年財(cái)政信息以彌補(bǔ)學(xué)術(shù)界在此方面的空白，并運(yùn)用多變量回歸模型來(lái)分析地方債和城投債到期收益率的影響因素。 就地方債而言，本文從地方的經(jīng)濟(jì)發(fā)展水平、地方政府的財(cái)政狀況以及地方債的發(fā)行規(guī)模等方面來(lái)探討地方債到期收益率的影響因素。本文發(fā)現(xiàn)無(wú)論是地方的經(jīng)濟(jì)發(fā)展水平還是地方政府的財(cái)政狀況都未對(duì)地方債到期收益率產(chǎn)生顯著性的影響。這說(shuō)明目前地方債本質(zhì)上是準(zhǔn)國(guó)債。然而，地方債的發(fā)行規(guī)模對(duì)其到期收益率產(chǎn)生顯著性的影響。由此可見(jiàn)，投資者更加關(guān)注的是地方債的流動(dòng)性優(yōu)劣。 就城投債而言，本文從發(fā)債人的財(cái)務(wù)狀況、地方的經(jīng)濟(jì)發(fā)展水平、地方政府的財(cái)政狀況、城投債的信用評(píng)級(jí)以及城投債的發(fā)行規(guī)模等方面衡量了城投債到期收益率的影響因素。盡管發(fā)債人的杠桿率對(duì)城投債到期收益率有顯著性的影響，但回歸系數(shù)顯示杠桿率越高的發(fā)債人，相應(yīng)的地方債到期收益率會(huì)越低。這顯然與經(jīng)濟(jì)學(xué)理論相悖。地方人均GDP、人均財(cái)政收入和政府等級(jí)（即省級(jí)、省會(huì)城市和一般城市）對(duì)城投債到期收益率也產(chǎn)生顯著性的影響，這說(shuō)明投資者在選擇城投債時(shí)所關(guān)注的是地方政府的經(jīng)濟(jì)、財(cái)政、政治影響等綜合實(shí)力。城投債的信用評(píng)級(jí)對(duì)城投債到期收益率同樣產(chǎn)生顯著性影響。我們進(jìn)一步發(fā)現(xiàn)發(fā)債人的總資產(chǎn)規(guī)模、地方的經(jīng)濟(jì)發(fā)展水平和地方政府的財(cái)政狀況都是信用評(píng)級(jí)機(jī)構(gòu)評(píng)級(jí)時(shí)考量的因素。 綜上，本文建議相關(guān)金融機(jī)構(gòu)及時(shí)調(diào)整地方債的發(fā)行機(jī)制以能夠反映出不同地方政府的財(cái)政風(fēng)險(xiǎn)。同時(shí)，考慮到債券市場(chǎng)的信用評(píng)級(jí)對(duì)投資者的影響重大，中國(guó)的信用評(píng)級(jí)機(jī)構(gòu)也應(yīng)得到更加嚴(yán)格的監(jiān)管，在債券評(píng)級(jí)時(shí)能夠做到客觀公正，以引導(dǎo)投資者選擇適合自身風(fēng)險(xiǎn)承受能力的債券。
[Abstract]:Since 2010, as investors' concerns about the ability of China's local governments to pay their debts have risen, local debt and city debt have become popular talk. Domestic related studies often adopt qualitative methods to discuss the issuing mechanism, implied risk and risk prevention measures of local debt and city investment debt. Quantitative research is rare. This is mainly because so far, there is no ready-made database to provide financial information for local governments at all levels in China. Therefore, this paper obtains financial information about local governments directly from the websites of local governments at all levels in China in order to make up for the gaps in academic circles in this respect. The multivariate regression model is used to analyze the factors influencing the maturity rate of local debt and city bond. As far as local debt is concerned, this paper discusses the influencing factors of the maturity rate of local debt from the aspects of local economic development level, local government financial situation and local debt issuance scale. This paper finds that neither the level of local economic development nor the financial situation of local governments have a significant impact on the maturity rate of local debt. This shows that the current local debt is essentially a quasi-national debt. However, the size of local bond issuance has a significant impact on its maturity rate of return. Thus, investors are more concerned about the liquidity of local bonds. As far as the city bond is concerned, this paper measures the influencing factors of the maturity rate of the city bond from the financial situation of the issuer, the level of local economic development, the financial situation of the local government, the credit rating of the city investment bond and the issuing scale of the city investment bond. Although the leverage ratio of the issuer has a significant impact on the maturity yield of the city bond, the regression coefficient shows that the higher the leverage ratio, the lower the maturity yield of the local bond. This is clearly contrary to economic theory. The per capita GDP, per capita fiscal revenue and government grade (that is, provincial, provincial and ordinary cities) also have a significant impact on the maturity rate of urban bond investment, which indicates that investors are concerned about the local government economy when they choose to invest debt in the city. Financial, political influence and other comprehensive strength. The credit rating of the city investment bond also has a significant impact on the maturity rate of the city investment bond. We further found that the total asset size of the issuer, the level of local economic development and the fiscal position of the local government were all factors taken into account in the rating of credit rating agencies. In summary, this paper suggests that relevant financial institutions adjust the issuing mechanism of local debt in time to reflect the financial risks of different local governments. At the same time, considering that the credit rating of the bond market has a great impact on investors, China's credit rating agencies should also be subject to more stringent supervision and be able to be objective and impartial in their bond ratings. To guide investors to choose their own risk tolerance of bonds.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F812.5

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