摘要
本文基于2007年1月至2020年12月的月度数据,使用CRITIC熵权法构造金融压力指数,并分别从城投债利差和相对发行规模两个角度测度中国地方政府债务风险;通过TVP-VAR模型实证分析地方政府债务风险对金融压力的溢出效应,以及重大突发事件冲击产生的影响。研究结果显示:第一,地方政府债务风险对金融压力始终具有较强的解释效力,并且基本上呈现正向影响;第二,2008—2012年,地方政府债务风险对金融压力溢出作用的主要源头为债务利差的波动,2016年以来则转变为债务规模的提升;第三,在新冠肺炎疫情的冲击下,地方政府债务的信用风险与偿债风险对金融压力均具有正向冲击作用,整体冲击力度高于前期数次重大突发事件。因此,“十四五”时期的重要任务之一,就是进一步化解地方政府债务风险,有效阻断其向金融部门的传导路径,切实打好防范系统性金融风险的攻坚战。
Based on the monthly data from January 2007 to December 2020,this paper uses the CRITIC entropy weight method to construct the financial stress index,and measures the risk of local government debt in China from the perspectives of interest rate spread of urban investment bonds and relative issuance size.Through the TVP-VAR model,this paper empirically analyzes the spillover effect of local government debt risk on financial pressure and the impact of major emergencies.The results are shown as follows.Firstly,local government debt risk always has a strong explanatory effect on financial stress,and basically presents a positive effect.Secondly,from 2008 to 2012,the main source of the spillover effect of local government debt risks on financial pressure was the fluctuation of debt interest rates,which changed to the increase of debt scale since 2016.Thirdly,under the impact of COVID-19 in 2020,both the credit risk and debt repayment risk of local government debts have a positive impact on financial pressure,and the overall impact intensity is higher than that of previous major emergencies.Therefore,according to the requirements of the 14th Five-Year Plan,China should take further resolving local government debt risks,effectively blocking its transmission path to the financial sector and effectively succeeding in preventing systemic financial risks as one of the important tasks.
作者
马亚明
王若涵
胡春阳
MA Yaming;WANG Ruohan;HU Chunyang(Tianjin University of Finance and Economics, Tianjin 300222)
出处
《经济与管理研究》
CSSCI
北大核心
2021年第9期77-92,共16页
Research on Economics and Management
基金
国家社会科学基金重点项目“重大突发事件下金融与实体经济间风险双向溢出效应研究”(21AJY015)。
