發(fā)布時間：2017-12-31 12:36

  本文關鍵詞：我國城投債信用風險問題的研究　出處：《西南財經(jīng)大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 城投債 信用風險 ARIMA模型 KMV模型 Knight不確定因子

【摘要】：城投債是我國地方政府規(guī)避法律法規(guī)應運而生的一種融資手段,它是我國地方政府為推動經(jīng)濟發(fā)展、加快城市基礎設施及公益性項目建設通過政府融資平臺發(fā)行的一種隱性市政債券。1993年4月上海市城市建設投資開發(fā)總公司發(fā)行的為期兩年、金額五億的城市建設債券標志著我國城投債的產(chǎn)生。城投債作為地方基礎設施建設中的一種創(chuàng)新性融資方式,具有融資計劃靈活、外部約束少等的優(yōu)點,通過分擔地方政府的財政支出,緩解地方政府的財政困境,與稅收、財政支出和政府預算等其他財政政策相配合,通過發(fā)行或償還債務、選擇投資方向和規(guī)模、發(fā)行不同的債券等,共同影響財政政策的擴張或收縮效應,調節(jié)社會總需求、優(yōu)化產(chǎn)業(yè)結構,穩(wěn)定經(jīng)濟波動,促進區(qū)域經(jīng)濟的健康、穩(wěn)定和協(xié)調發(fā)展。 城投債作為一種隱性的中國式市政債券,它以地方政府的稅收收入或者項目收益作為擔保,其信用評級比僅次于國債,又比一般企業(yè)債券高,被認為是中國的“銀邊債券”。然而,由于當前地方政府信用缺失、債務信息不透明、城投債定價機制不完善、相關法律法規(guī)的缺失、城投公司治理結構不完善以及城投債與發(fā)債主體的增信方式單一等的諸多問題,2010年起發(fā)生了一系列的城投債風波。其中2011年4月云南省公路開發(fā)投資有限公司向其貸款銀行發(fā)函稱“即日起,只付息不還本”事件和2011年6月底,上海申虹投資發(fā)展有限公司由于違反銀監(jiān)會的相關規(guī)定將大量的流動資金貸款用于項目建設,致使償債資金流斷鏈,宣布自本月起停止向銀行償還流動貸款并要求延長還款期,以及轉化成以資產(chǎn)抵押的固定貸款,這兩起城投債風波的發(fā)生更加激起了社會各界對城投債信用風險的關注。 城投債的發(fā)行主體--城投公司隸屬于各地方政府,地方政府為城投債的發(fā)行提供了隱性擔保,由于城投債籌集的資金大多用于城市基礎設施建設和一些公益性的項目,期限長、盈利性不足是大多數(shù)城投公司經(jīng)營的項目的一個特點,地方政府的財政收入成了城投公司的主要利潤來源,也是城投債還本付息的最后一層保障,因此,地方政府財政實力在各地城投債的發(fā)行規(guī)模及城投債信用風險發(fā)生的可能性方面起了決定作用。 然而自1994年我國實行分稅制度改革后,地方政府在事權和財權上不匹配,地方政府以越來越少的財政收入比例上承擔了越來越多的事項,地方政府的財政收入所占比例由1993年的77.98%到2010年的48.9%,而地方政府的財政支出所占的比例由1993年的69.71%到2010年的82.2%,財政收支的不對等造成了地方政府資金缺口越來越大。另一方面,隨著中國經(jīng)濟的發(fā)展和城市化建設的推進,地方政府對城市基礎設施建設的需求越來越大,同時,由于城市基礎設施具備公共品的特性決定了城市基礎設施建設投資具有投資數(shù)額巨大、投資回收周期長及投資收益低的特點決定城市基礎設施建設的投資主體只能是地方政府。各地方政為解決資金需求和供給上的矛盾,通過設立隸屬于地方政府的融資平臺向銀行貸款或不斷增加發(fā)行城投債籌集建設所需資金。特別是2008年金融風暴之后,我國實行了積極的財政政策和適度寬松的貨幣政策,推出4萬億元的投資計劃,中央政府承擔其中的1.2萬億,地方政府承擔剩余的2.8億元。地方政府為籌措巨額資金更是加快發(fā)行城投債,相比2008年的25期412億金額的城投債,2009年我國各地城投公司共發(fā)行城投債88期1562.7億金額,期數(shù)增長了252%,發(fā)行金額增長了279%,2009年至2011年年底,我國城投公司共發(fā)行了320期城投債,發(fā)行金額總計4864.2億元人民幣,其中包括284期企業(yè)債,27只中期票據(jù)及9期短期融資券。城投債噴井式增加的發(fā)行規(guī)模帶來了巨大的信用風險,也引發(fā)了眾多學者對城投債合理的發(fā)行規(guī)模的研究。 本文首先從城投債近年來發(fā)生的多起信用風波及城投債超速增長的發(fā)行規(guī)模介紹開始,引出了對城投債信用風險及發(fā)行規(guī)模研究的重要性。 然后,通過對城投債相關理論的介紹后,文本重點歸納分析了城投債發(fā)行現(xiàn)狀,從城投債的發(fā)行規(guī)模、信用評級、擔保狀況及城投債發(fā)行主體的信用評級等方面的變化總結了近年來我國城投債的新變化趨勢：我國城投債在發(fā)行的期數(shù)和發(fā)行的總金額都在不斷的攀升的同時,無擔保的城投債發(fā)行期數(shù)也在增加,城投債的信用級別及其發(fā)行主體的信用評級卻在下降,城投債這種惡性發(fā)行趨勢給投資者帶來了巨大的信用風險。 論文的第三部分深入分析了城投債信用風險的種類及產(chǎn)生的原因。由于我國目前尚無針對城投債的專門的法律法規(guī),城投債的發(fā)行審批、發(fā)行規(guī)模及定價過程都遵循一般的公司(企業(yè))債券的法律法規(guī),這使得帶有地方政府色彩的城投債除了包含一般企業(yè)(公司)所具有的宏觀經(jīng)濟風險、行業(yè)風險和政策性風險等風險之外,還包含了城投債特有的風險種類,其中最主要的便是地方政府信用缺失,財政信息的不透明及城投債資金用處監(jiān)管不嚴等問題帶來的地方政府的財政風險與地方政府信用缺失的制度性風險,其次就是城投公司自身的經(jīng)營風險與制度風險,這些風險都是導致投資者面臨城投債發(fā)生信用違約的誘因。 論文的第四部分在對比分析了目前廣為使用的幾種信用風險度量模型后,構建了城投債的信用風險度量模型：引入Knight不確定因子λ改進后的KMV模型。 將KMV模型運用于城投債信用風險度量的主要思想是：將地方政府看成是一個公司經(jīng)濟體,地方政府為了籌集資金通過城投公司發(fā)行城投債,相當于將地方政府的部分稅收權或各項目的收益權出售給了城投債的購買者,政府通過定期付息、到期還本的方式逐步贖回稅收權或項目的收益權。如果在債券到期時,地方政府可用于償還債務的財政收入不足以償還債務總額時,地方政府存在違約的可能性,如果到期地方政府可用于償還債務的財政收入大于債務總額的話,地方政府就能順利還清債務,收回稅收權或項目的收益權。地方政府的財政收入有一部分是地方政府必需性支出,扣除這些必要性支出后剩余部分地方政府才能用來給城投公司的項目擔保,用于償還債務的利息和本金。此外,由于金融市場上存在著千變萬化的不確定因素,投資者不可能對未來金融市場的變化有確定的評估,導致了不同投資者對金融市場的變化有著悲觀、理性及樂觀的態(tài)度。所以論文引入了Knight不確定因子λ對KMV模型加以改進,通過λ的不同取值反映出投資者對未來金融市場變化所持有的不同態(tài)度對城投債期望違約率和違約距離的影響,得出了不同市場情緒下的城投債的發(fā)債規(guī)模和風險選擇區(qū)間。 論文的第五部分是實證部分,論文根據(jù)前面構建出來的城投債信用風險的KMv度量模型,將浙江省看成一個經(jīng)濟體,利用ARIMA模型預測了浙江省2012年的地方財政收入,乘以可擔保系數(shù)后得出浙江省可用于城投債發(fā)行擔保的地方財政收入；其次,論文假設投資者是完全理性的,即不確定因子λ＝0,根據(jù)KMV模型中的公式計算出浙江省不同債務規(guī)模下城投債期望違約距離和違約率的值；最后,考慮到市場上存在各種不確定因素,投資者并非完全理性的,即投資者對未來金融市場上的不確定性持有悲觀、理性及樂觀的情緒,這種情緒可以通過不確定因子值的變化表現(xiàn)出來。論文通過對不確定因子取不同的值,計算出浙江省在不同債務規(guī)模下發(fā)行城投債的期望違約距離和違約率,證明了不確定因子值變化對城投債期望違約距離和違約率的區(qū)間影響十分明顯。 最后,針對我國城投債的信用風險,論文提出了從地方政府舉債規(guī)模的控制、地方政府債務風險的防范及加強對城投債及城投公司的監(jiān)管三個方面的對策。
[Abstract]:City investment bonds are a means of financing of our local government laws and regulations came into being, it is our local government to promote economic development, a kind of recessive municipal bonds.1993 speeding up the city infrastructure and public welfare projects issued by the government financing platform in April Shanghai City Construction Investment Development Corporation issued for a period of two years the amount of five hundred million, the city construction bonds marked our city investment bond is produced. The city voted debt as an innovative financing local infrastructure construction, has the advantages of flexible financing plan, less external constraints, through the sharing of local government expenditure, alleviate the financial difficulties, the local government and tax that combination of government spending and the budget and other fiscal policy, or through the issuance of debt, investment direction and scale, the issuance of different bonds, the common effect of fiscal policy The expansion or contraction effect can adjust the total social demand, optimize the industrial structure, stabilize the economic fluctuation, and promote the healthy, stable and coordinated development of the regional economy.
The city voted debt as an implicit China municipal bond. It takes the local government tax revenue or project revenue as collateral, the credit rating than Treasury bonds, and bonds than the general business, is considered to be the "Chinese silver bond". However, due to the lack of local government credit, debt information opaque the City voted debt pricing mechanism is not perfect, the lack of relevant laws and regulations, the city investment company governance structure is not perfect and the city voted bonds and bonds the main way to increase trust in single issues, since 2010 there has been a series of investment and debt storm. In April 2011 the Yunnan province highway development investment limited to the lending bank letter said from now on, not only the principal interest "event and the end of June 2011, Shanghai Shen Hong investment development limited company due to violation of the relevant provisions of the CBRC will be a large number of working capital loans for project The construction, resulting in debt flows of funds broken chain, announced this month to repay the loan to the bank and stop the flow required to extend the repayment period, and transformed to the fixed assets mortgage loans, the two city voted debt crisis more aroused the credit risk of the city investment bond's concern.
The city voted debt issuers -- the city investment company belonging to the local government, the local government for the city investment bonds issued to provide implicit guarantees, because the city voted bonds to raise funds mostly for city infrastructure and public welfare projects, long term profitability, lack is a feature of most of city investment company the project, local government revenue has become a major source of profit for the city investment company, is the city of the last layer of security, investment and debt servicing therefore played a decisive role in the possibility of financial strength of local government investment bonds in the issue size and city around the city voted debt credit risk.
However, since 1994 China's implementation of the tax system reform, the local government, in the financial and administrative power, local government with fewer fiscal revenue ratio of undertaking matters more and more, the local government revenue proportion from 77.98% in 1993 to 48.9% in 2010, while the local government fiscal expenditure the ratio from 69.71% in 1993 to 82.2% in 2010, the financial revenue and expenditure not caused by the local government funding gap is growing. On the other hand, with the development of economy and Chinese city construction, the local government demand for infrastructure construction in the city more and more, at the same time, because of the characteristics of city infrastructure have public goods determines the city infrastructure investment has a huge amount of investment, long payback period and the characteristics of low income on investment decision of city infrastructure construction investment subject To the local government. The local government to solve the contradiction between the supply and demand of funds, through the establishment of belonging to the local government financing platform loans to banks or increasing the city voted bonds issued to raise construction funds needed. Especially in 2008 after the financial crisis, China adopted a proactive fiscal policy and moderately loose monetary policy, launched 4 trillion yuan investment plan, the central government to bear 1 trillion and 200 billion of the local government bear the remaining 280 million yuan. The local government to raise huge amounts of funds is to accelerate the city voted bonds issued in 2008 compared to 25, 41 billion 200 million of the amount of the city voted bonds, in 2009 the city of our country investment company issued a total of 88 156 billion 270 million city investment bonds the amount of growth in the number of stage 252%, issue amount increased by 279%, from 2009 to the end of 2011, China city investment company issued a total of 320 city investment bonds issued a total of 486 billion 420 million yuan, which includes 284 Corporate bonds, 27 medium-term notes and 9 short-term financing bills. The increase of issuing scale of urban investment debt has brought huge credit risks, and has also aroused many scholars' research on the reasonable issuing scale of city investment bonds.
This paper begins with the introduction of the credit crisis and the issuance scale of urban investment and debt growth in recent years, and points out the importance of the research on credit risk and issuing scale of urban investment bonds.
Then, the city voted debt related theory is introduced, the text analyzes the key status of the city voted debt issuance, the city voted debt issuance scale, credit rating, security status and the city voted debt issuance the main credit rating and other aspects of the summary of the new trends in China in recent years, the city voted bonds: China city investment bonds in the total amount of the issue number and issue are rising at the same time, no guarantees of the city voted bonds issue number also increased in the credit rating of the city voted bonds and issuer credit rating is on the decline, the city voted bonds issued this vicious trend to investors. The huge credit risk.
The third part analyzed the types of credit risk of the city investment bond and reason. Because at present there is no specific laws and regulations for the city to vote bonds, the city voted debt issuance approval, issuance and pricing process will follow the general laws and regulations company (enterprise) bonds, which makes a place the color of the city voted bonds in addition to include general enterprise (company) macroeconomic risk is, outside the industry risk and policy risk, also includes risk types of the city voted debt characteristic, in which the most important is the lack of local government credit, institutional risk and financial information opaque city investment problems the use of debt capital regulation is not strictly the local government's fiscal risk and local government credit, the second is the business risk and system risk of the city investment company itself, these risks are the result of investors face The cause of a credit default in Lincheng's investment debt.
The fourth part of the paper compares and analyzes several widely used credit risk measurement models, and constructs a credit risk measurement model of urban investment bonds: the KMV model with Knight uncertainty factor is introduced.
The main idea of applying the KMV model to measure the credit risk of the city investment bond is: the local government as a company is the economy, local governments to raise funds through the city investment company issued the city voted bonds, equivalent to the local government or the right part of the tax right to return items sold to the city voted debt buyers the government, through regular service, maturity way gradually redemption or project usufruct right of tax. If the maturity of the bonds, the local government can be used to repay the debt revenue is not sufficient to repay the total debt default, the possibility of the existence of the local government, if the local government can be used to repay the debt due to fiscal revenue is greater than the total amount of debt then, the local government will be able to successfully recover the tax debts, right or the right to return items. Local government revenue is part of the local government must deduct the expenses, Part of the local government to give the city investment company project guarantee remaining some necessary expenditures, repay debt interest and principal. In addition, due to the financial market there are uncertain factors in the myriads of changes, investors are unlikely to change in the future financial market has certain evaluation, leading to different investors change on financial markets have a pessimistic, optimistic attitude and rational. So the paper introduced the Knight uncertainty factor lambda to the improvement of the KMV model, with different values of lambda reflecting different attitudes held by investors in the future changes in the financial market of the city voted debt default rate and expected default distance effect, the issue size and risk selection the different range of market sentiment under the city voted debt.
The fifth part is the empirical part, based on the above constructed out of the city to vote bonds credit risk measure model of KMv, Zhejiang Province as an economy forecast in Zhejiang Province in 2012 local fiscal revenue can be secured by using the ARIMA model, multiplied by the coefficient of Zhejiang province that can be used in the city voted debt issuance of local finance guarantee secondly, the income; if investors are completely rational, i.e. the uncertainty factor lambda = 0, according to the KMV model in the calculation of different debt scale of Zhejiang Province under the city voted debt expected default distance and default rate value; finally, taking into account the market there are various uncertainties, investors are not completely rational. The investors in the future financial market uncertainty and the reason to hold a pessimistic, optimistic mood, this mood can change the uncertain factor values shown. Based on Uncertainty Taking different factors, we calculate the expected default distance and default rate of Zhejiang city's issuing bonds under different debt scale, and prove that the influence of uncertain factors on the expected default distance and default rate of urban investment bonds is very obvious.
Finally, aiming at the credit risk of China's urban investment bonds, the paper puts forward three countermeasures, including the control of the scale of the local government's debt scale, the prevention of local government debt risk and the supervision of the urban debt and city investment companies.

【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F812.5;F224;F283

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