PPP如何影响地方财政风险*——来自债券市场反应的证据

政府与社会资本合作（PPP）的倡导者认为PPP能够为地方政府分担财政压力，分散投资风险，提高资源配置效率；其反对者则认为PPP背后隐藏着政府的隐性担保和补贴、腐败和寻租，预算内的财政压力减小只是一种财政幻觉，反倒无形中累积了系统性风险。本文利用中国2015—2020年间的债券发行数据以及PPP在各地的落地信息，以地方政府债券为实验组，以国债和金融债为控制组，构建双重差分模型，检验PPP集中落地是否增加了地方财政风险，进而抬升了地方政府债券的发行成本。实证结果表明，2016—2017年左右的PPP集中落地使得地方政府债券发行受到来自市场的利率惩罚，5年期地方债发行利率的风险溢价为67个基点~297个基点，10年期地方债发行利率的风险溢价为21个基点~41个基点，且这种效应在PPP项目较多和较少的地区之间存在异质性。更换控制组、推后PPP项目对地方财政的实际冲击时间、假设虚假的实验组等一系列稳健性检验证明这一发现具有可信性。此外，本文还讨论了这一实证结果背后的可能原因，并提出促进PPP良性发展的措施。     

避免地方债券发行陷入流动性困境的建议

自2008年下半年,为了应对全球经济衰退时我国经济的不利影响,中央推出了4万亿经济刺激计划,为筹集资金,中央决定采用代发地方债的形式,发行2000亿地方债券.但是在地方债券在发行过程中却遭遇了一级市场认购度下降和二级市场交易量过低的流动性困境.地方债遭遇流动性困境由多方面原因共同造成.如果今后地方政府债券发行常态化,为了避免地方债再次遭遇流动性困境,应该建立其比较规范的地方债风险评级体系,并规范地方政府发债行为,防范地方财政风险.     

防范化解债务风险背景下地方政府信用评级研究

随着地方政府债券规模越来越大，中国防范化解债务风险的压力也随之增大。依据国际经验和中国实际情况，建立一套科学、合理和完善的地方政府信用评级体系，是中国债券市场健康发展及有效防范化解债务风险的关键。本文在总结美国、日本和印度等国家地方政府信用评级经验的基础上，通过对2022年度中国存量地方政府债券和各省份经济主体债券发行的违约率、违约损失率、发行票面利率和发行利差进行实证分析，发现目前中国地方政府债券信用评级区分度明显不够，在防范化解政府债务风险方面基本处于失效状态，其根本原因在于缺乏地方政府债券本身违约率检验、地方政府及其债券信息披露不充分和评级理念未与时俱进等。本文最后就中国地方政府信用评级提出若干改进建议。     

影响商业银行次级债券风险溢价因素的回归分析

通过对我国银行间债券市场中银行次级债券风险溢价因素的实证，结果显示。评级机构给予的级别与商业银行次级债券的风险溢价显著相关，债券级别越高，风险溢价越低。另一方面，市场似乎认为评级机构并未充分考虑不同债权优先级别的债券在违约情况下的损失程度的不同，混合资本债的级别并未与次级债和金融债的级别合理拉开。实证还发现当债券以浮动利率发行时，债券的风险溢价能显著降低；当银行存款准备金率上升时，债券需要向投资者支付更高的风险溢价。     

“双碳”目标下我国绿色地方政府专项债券的空间碳减排效应

“双碳”目标下我国地方政府面临着巨大的财政压力，而绿色地方政府专项债券是减轻财政压力和改善生态环境的重要财政资金来源。基于2018—2021年我国省级面板数据，实证分析了绿色地方政府专项债券的空间碳减排效应。结果表明：绿色地方政府专项债券的发行显著地降低了碳排放水平，且具有空间溢出效应；在绿色地方政府债券制度中，发行规模越大和地方政府性基金收入越多，则越有利于降低碳排放水平；平均利率和项目收益率越高，则越不利于降低碳排放水平。进一步分析发现，绿色地方政府专项债券可通过优化能源消费结构来降低碳排放水平。因此，需要实施属地和区域联动相结合的治理模式，明确绿色地方政府专项债券资金分担比例；基于地理、经济和碳排放等空间差异，发行不同类型的绿色地方政府专项债券；结合碳减排目标和现状，优化绿色地方政府债券发行与偿还制度；引入第三方机构，加强绿色地方政府专项债券各环节的专业审核、监督与披露。     

我国地方政府债券定价机制研究——以发行利率影响因素为视角

我国新修订的《中华人民共和国预算法》解除了对地方政府发债的法律限制,使地方政府债券发行规模迅速扩大.发行利率是地方政府债券发行的核心问题之一,但从我国地方政府债券的发行情况来看,其发行利率对政府信用风险体现不足,进而引起了价格扭曲和资源错配.本文的研究结果显示,在地方政府债券发行利率形成的过程中确实存在利率抑制现象;债券的发行规模、发行期限、市场流动性、地方政府的财政收入与经济结构,以及地方政府债务规模等因素对发行利率均有显著影响.本文旨在分析地方政府债券发行的利率抑制现象及地方政府债券发行利率的影响因素,以期为我国地方政府债券体制的完善、控制债务风险以及降低融资成本提供参考.     

影响商业银行次级债券风险溢价因素的回归分析

通过时我国银行间债券市场中银行次级债券风险溢价因素的实证,结果显示,评级机构给予的级别与商业银行次级债券的风险溢价显著相关,债券级别越高,风险溢价越低.另一方面,市场似乎认为评级机构并未充分考虑不同债权优先级别的债券在违约情况下的损失程度的不同,混合资本债的级别并未与次级债和金融债的级别合理拉开.实证还发现当债券以浮动利率发行时,债券的风险溢价能显著降低;当银行存款准备金率上升时,债券需要向投资者支付更高的风险溢价.     

地方政府债券市场的风险防范及制度约束

我国地方债在发行的法律和相关制度约束缺位的前提下，2009年发行的地方债实质是地方政府、中央政府和国有银行等多方博弈的短期制度均衡，其发行制度和市场表现趋同于国债。在微观层面，地方政府债券的发行会促进地方性公共物品的供给，关注并加大民生工程的投入规模，有利于实现公共物品受益的代际公平；在宏观层面，有助于克服利用外资的货币化倾向，规避汇率风险。此外，地方政府债券的推出也有助于完善金融市场和金融体系。但是，地方政府债券的发行在缓解地方财政困难的同时也可能助长地方政府负债冲动。加强地方债券市场的风险防范及制度约束对中央财政来说至关重要。     

地方政府专项债券发行定价的影响因素测度

文章整理了2015-2020年中国地方政府专项债券的发行数据,研究地方财政和资本市场特征对专项债券发行定价的影响并进一步探究了项目收益专项债与普通专项债之间的定价差异。实证研究发现：地方政府专项债券自身特征、地方的财政经济和资本市场特征均体现了对债券发行定价的影响。特别的,市场货币供应增加能降低项目收益债与普通专项债之间的定价差异,而银行间拆借利率则会提高这一差异。分地区结果显示中西部地区政府性基金预算对普通专项债的信用担保能力较强,而对项目收益债的信用担保能力较弱增加了投资者对其预期收益融资自平衡的担忧。文章对专项债发行定价的影响因素进行研究,以期为完善专项债券发行制度、降低地方政府债务风险和融资成本提供借鉴。     

地方政府债券市场的风险防范及制度约束

我国地方债在发行的法律和相关制度约束缺位的前提下,2009年发行的地方债实质是地方政府、中央政府和国有银行等多方博弈的短期制度均衡,其发行制度和市场表现趋同于国债.在微观层面,地方政府债券的发行会促进地方性公共物品的供给,关注并加大民生工程的投入规模,有利于实现公共物品受益的代际公平;在宏观层面,有助于克服利用外资的货币化倾向,规避汇率风险.此外,地方政府债券的推出也有助于完善金融市场和金融体系.但是,地方政府债券的发行在缓解地方财政困难的同时也可能助长地方政府负债冲动.加强地方债券市场的风险防范及制度约束对中央财政来说至关重要.     

Loan price modelling for local governments using risk premium analysis

Previous studies have highlighted the question of government loan interest as one of great current importance. Government borrowing levels are high, and reducing interest payments would generate savings to meet other spending needs and/or to lower taxation, thus supporting the sustainability of public finances. However, no previous study has presented a method for a local government to calculate its own credit risk and thus be in a position to negotiate lower interest rates on its borrowing. This article defines a financial model that enables local governments to estimate the interest rate payable on a bank loan, based on their credit risk premium, in accordance with the Basel II rules and the findings of our empirical study of large local governments.     

The impact of government debt on the long-run natural real interest rate – a quantitative evaluation

Persistently low natural real interest rates are a problem for monetary policy and financial stability. I analyse to what extent a permanent increase in government debt that is financed by higher taxes could raise the long-run natural real interest rate. As a measurement tool, I use an incomplete markets model with capital and government bonds. Increasing the public debt/GDP ratio by one percentage point raises the real interest rate by between 0.4 and 1.5 basis points, depending on the degree of inequality generated by the model and the tax instrument used to balance the government’s budget constraint. I also show that the interest rate effect of a change in public debt/GDP predicted by the model is significantly smaller than its empirical counterpart for the US, due to the fact that the model understates the empirical fraction of households that are constrained in their consumption decision.     

PPP项目控制权转移机制研究*——基于探索性多案例的分析

提高民营企业参与PPP项目的控制权是激发民营企业创新活力、降低运营成本的重要举措。民营企业参与PPP项目的过程，实质是政府让渡控制权与企业获取控制权的动态博弈过程。本文从合作治理的视角，以同一家民营企业参与的两个城市公用事业PPP项目为研究对象，提炼影响城市公用事业PPP项目控制权转移的关键要素，采用探索性多案例研究方法，挖掘民营企业参与PPP项目的控制权转移机制，发现政府制度能力、企业动态能力、市场竞争强度是影响控制权转移的关键要素，政企关系对上述三类影响路径起到积极的调节作用。相应的，民营企业参与PPP项目的控制权转移存在三条基本路径，即能力转移、关系转移和市场转移。本研究不仅丰富了PPP项目控制权的研究成果，还可以为提高民营企业参与PPP项目的控制权提供指导与借鉴。     

A Theory of Exchange Rates and the Term Structure of Interest Rates

This paper defines the concepts of indirect and direct risk premium effects and analyzes their properties in an exchange rate model. In the model, these effects are endogenously determined in a rational expectations equilibrium. For the effect of an interest rate shock, they have the opposite signs and the indirect risk premium effect can dominate the direct risk premium effect under reasonable parameters. This means that domestic short‐term bonds and foreign bonds are complements in the model even though domestic long‐term bonds and foreign bonds are substitutes. This model, focusing on the indirect risk premium effect and on the term structure of interest rates, can be combined with a small sample bias approach to explain stylized facts about the forward premium anomaly, which is found for short‐term interest rates, but not for long‐term interest rates.     

The size of public employment: An empirical study

Previous empirical studies of government have focused primarily on aggregate financial measures of size. This analysis examines a different measure: the share of public employment in total employment. In empirical tests on OECD countries for 1970 and 1980, the level of public employment is shown to be a clear reflection of voter demand for public goods, electoral support for socialist parties, and political response to the problems of unemployment. In contrast, variables that measure characteristics of the political process, such as degree of government decentralization, strength of interest groups, and voter participation in elections, are not statistically significant.     

Sovereign default and the sustainability risk premium effect

We analyze the joint determination of interest rate risk and debt sustainability for governments with fiscal imbalances. Because higher interest rates imply increased debt services, they worsen the government's financial situation and increase the probability of sovereign default. Thus, higher interest rates eventually lead to a decrease in the real demand for government bonds, which imposes an additional constraint on government debt sustainability.     

The expectations theory of the term structure: Evidence from inflation forecasts

This paper tests the joint hypothesis of rational expectations and the expectations theory of the term structure using the Livingston survey data on price inflation forecasts. For a variety of sample periods, the paper presents evidence that the data are consistent with the theory. Since inflation forecasts, unlike interest rates, are not linked to specific underlying financial assets, the relationship between longterm and short-term inflation forecasts should not embody risk premia. This paper's findings therefore lend support to the view that a time-varying risk premium is needed to explain the observed term structure of interest rates.     

Private Pension Funds in Oligopolistic Financial Markets: Some qualifications to conventional theory of financial development

The paper inquires into the efficiency of financial development policies in economies where the financial sector is based on oligopolistic commercial banking. In this case, interest rates on deposits may be set below the level required to achieve balance of payments equilibrium, so that banks are able to exact a risk free financial margin in their holdings of government bonds. Under such circumstances, banks lack incentives to place indirect debt in domestic security markets, as a means of providing long-term finance; and private capital market deepening is hindered. Pension fund privatisation, in this institutional environment, does not relieve public finances, because the government must act as issuer of last resort in order to stabilise the currency. This point is illustrated with Mexican data, and some policy measures to deal with this situation in developing economies are proposed.     

Monetary–fiscal interactions with endogenous liquidity frictions

I develop a tractable macro model with endogenous asset liquidity to understand monetary–fiscal interactions with liquidity frictions. Agents face idiosyncratic investment risks and meet financial intermediaries in competitive search markets. Asset liquidity is determined by the search friction and the cost of operating the financial intermediaries, and it drives the financing constraints of entrepreneurs (those who have investment projects) and their ability to invest. In contrast to private assets, government bonds are fully liquid and can be accumulated in anticipation of future opportunities to invest. A higher level of real government debt enhances the liquidity of entrepreneurs׳ portfolios and raises investment. However, the issuance of debt also raises the cost of financing government expenditures: a higher level of distortionary taxation and/or a higher real interest rate. A long-run optimal supply of government debt emerges. I also show that a proper mix of monetary and fiscal policies can avoid a deep financial recession.