中国式影子银行对于地方融资平台债务的定价机制研究
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| Title | Research on the Chinese Shadow Banking' s Pricing for the Debt of Local Government's Financing Vehicles
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| 作者 | 邵新建 洪俊杰 |
| Author | Shao Xinjian and Hong Junjie |
| 作者单位 | 对外经济贸易大学 |
| Organization | University of International Business and Economics |
| 作者Email | shaoxinjian2010@126.com；hongjunjie@uibe.edu.cn |
| 中文关键词 | 影子银行 地方政府融资平台 城市土地市场 刚性兑付 |
| Key Words | Shadow Banking; Local Government Financing Vehicles; City Land Markets; Rigid Payment |
| 内容提要 | 2008年全球金融危机以来，中国地方政府债务和独特的影子银行系统都开始急剧膨胀，二者引发的宏观系统性风险得到了广泛的关注，而本文则基于微观视角，深入剖析了中国式影子银行对地方融资平台债务的内在定价机制。我们收集整理了典型的影子银行机构——信托公司在2010年至2017年间为178个城市政府所辖的地方融资平台发行的政信合作类投资产品作为分析样本，实证表明：城市土地市场的景气运行和投资者的刚性兑付预期构成了影子银行定价的两个重要基石。具体发现包括：（1）城市土地交易价格（绝对价格、劳动力收入相对价格）越高，影子银行向地方融资平台收取的信用利差越低，而土地流拍事件的出现会显著提高其融资成本。（2）如果地方政府的财政支出过度依赖土地出让金，则会恶化影子银行对于地方融资平台还款能力的判断，进而要求提高风险溢价补偿。（3）影子银行机构自身的刚性兑付能力有助于降低其地方融资平台客户的融资成本，一方面，影子银行的资本充足率、杠杆率和受托管理的资产规模都能直接表征其兑付能力，另一方面，影子银行背后的国有产权（尤其是中央政府的控制权）能够进一步强化投资者对其维持刚性兑付的预期，而新预算法的颁布执行则显著弱化了国有产权与刚性兑付预期之间的正向关系。（4）地方政府实际控制了近半数的信托机构，但如果地方政府借助其控股的关联信托机构或者其辖区范围内的关联机构进行平台融资，并不会显著加剧机构面临的逆向选择和道德风险问题，反而可能通过缓解投融资双方的信息不对称进而降低投资者要求的违约风险补偿。本文基于微观视角的研究不仅有助于深化文献对于中国式影子银行内在运行机理的认识，也能为监管影子银行和管理地方政府债务提供有针对性的政策建议。 |
| Abstract | Since the breakout of global financial crisis in 2008, the Chinese local governments' debt and the unique shadow banking have grown explosively. Different from the numerous literatures which have paid attentions to the systematic risk to macro-economy introduced by them, this paper focuses on the shadow banking' s pricing mechanisms for the local government 's financing vehicles(LGFVs) from a micro perspective. Based on the detailed information of trust products issued by the trust companies(one kind of typical shadow bank in China) ,which were used to raise money for LGFVs controlled by 178 city governments from 2010 to 2017, this paper demonstrates that the booming land markets and the investors' expectation of rigid payment are two important cornerstones of Chinese shadow banking' pricing reference. More specifically, the findings include (1) The higher prices of city lands, the lower credit spread of LGFVs' debt. However, the appearance of land auction failures will increase the cities' LGFVs debt cost.(2) If the local government's expenditure depends heavily on the land leases, which signals the high default risk of LGFVs , then shadow banking tend to require more risk premium paid by these LGFVs.(3) The shadow banking institutions' capacity of maintaining rigid payments to investors can help lower the financing cost of LGVFs. The relevant proxies for this capacity include at least capital adequacy ratio, leverage and the trust asset scale. Furthermore, the governments' ownership of shadow banking institutions, especially the central government's controlling right can reinforce the expected rigid payment of investors. However, the introduce of new budget act in 2014 have weakened the positive relationship between investors' expectation of rigid payment and governments' property rights significantly.(4) Local governments actually control about half of trust companies in China. But this affiliation seems not intensify the problems of adverse selection and moral hazard faced by the shadow banking institutions when the LGFVs select the linked banks to help raise money. On the contrary, there exist some evidence to support that affiliated shadow banking can help LGFVs decrease their credit spreads through mitigating the information asymmetry between LGFVs and investors. Our findings can extend the existed literatures on the real operation mechanism of shadow banking in China and can also give some pertinent suggestions for the supervision of shadow banking and the control of local governments' debts. |
| 文章编号 | WP1471 |
| 登载时间 | 2020-03-25 |
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