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中国地方债务的省级风险度量和网络外溢风险

Author

Listed:
  • 牛霖琳
  • 夏红玉
  • 许秀

Abstract

本文通过提取2009-2019 年债券交易大数据中隐含的风险溢价，构建省级债务风险指标，发现各省债务风险在2015 年后显著上升，风险溢价期限结构倒挂，流动性恶化。运用网络向量自回归模型分别对城投债和地方债网络的风险指标建模，并扩展至双网络模型，发现二者的网络溢出效应在2015 年后显著为正，在2018 年后有扩大趋势 ，且存在自城投债 网络向地方债网络的风险传导效应。 本文研究为监测地方债务系统性风险及风险传导提供了可行性和科学参考。

Suggested Citation

  • 牛霖琳 & 夏红玉 & 许秀, 2020. "中国地方债务的省级风险度量和网络外溢风险," Working Papers 2020-11-12, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002579
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    Keywords

    地方债务风险； 网络溢出效应；风险传导;

    JEL classification:

    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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