数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2014年
12期
38~54
,共null页
债务风险 违约概率 风险评价 KMV模型
債務風險 違約概率 風險評價 KMV模型
채무풍험 위약개솔 풍험평개 KMV모형
Debt Risk; Probability of Default; Risk Assessment; KMV Model
将财政收入分解为税收收入、土地出让收入以及其他收入。假设三类收入分别服从扩散过程，利用伊藤引理和投资组合理论，建立地方政府债务违约概率测算模型。省级政府债务违约风险的评价结果表明：税收收入和其他收入对地方政府债务违约风险的影响较大，“土地财政”的影响相对较小；偿还债务的期限越长，地方政府债务的违约风险越低；东、中、西部地区的省级地方政府债务的违约风险存在显著差别，西部地区省份的违约风险最高，东部发达地区的违约风险最低，发债试点的8个省份的违约风险普遍较低；如果偿还期限为5年，有29个省份的地方政府债务违约风险低于50％。
將財政收入分解為稅收收入、土地齣讓收入以及其他收入。假設三類收入分彆服從擴散過程，利用伊籐引理和投資組閤理論，建立地方政府債務違約概率測算模型。省級政府債務違約風險的評價結果錶明：稅收收入和其他收入對地方政府債務違約風險的影響較大，“土地財政”的影響相對較小；償還債務的期限越長，地方政府債務的違約風險越低；東、中、西部地區的省級地方政府債務的違約風險存在顯著差彆，西部地區省份的違約風險最高，東部髮達地區的違約風險最低，髮債試點的8箇省份的違約風險普遍較低；如果償還期限為5年，有29箇省份的地方政府債務違約風險低于50％。
장재정수입분해위세수수입、토지출양수입이급기타수입。가설삼류수입분별복종확산과정，이용이등인리화투자조합이론，건입지방정부채무위약개솔측산모형。성급정부채무위약풍험적평개결과표명：세수수입화기타수입대지방정부채무위약풍험적영향교대，“토지재정”적영향상대교소；상환채무적기한월장，지방정부채무적위약풍험월저；동、중、서부지구적성급지방정부채무적위약풍험존재현저차별，서부지구성빈적위약풍험최고，동부발체지구적위약풍험최저，발채시점적8개성빈적위약풍험보편교저；여과상환기한위5년，유29개성빈적지방정부채무위약풍험저우50％。
The local government revenue is decomposed into tax revenues, land revenue and other income. The three revenue sources are assumed as diffusion process. The Ito Lemma is applied to solve the diffusion process, the mean and variance are estimated by the portfolio theory, hence the default probability model of municipal debt is deduced. Empirical results show several important feathers. The major income variables affecting debt default risk are tax revenue and other income, ＂land finance＂ has relatively small effect. The longer the period of repayment of the debt, the lower the risk of default of local government debt. The default risks of the eight pilot provinces and cities that permit to issue bonds itself are relatively low. The province with the highest risk of default include the Guizhou, Gansu and Qinghai which belong to developing region. The province with the lowest risk of default include the Guangdong, Shandong, Zhejiang, Beijing and Shanghai, which belong to developed region. Assuming the local government debt are repayed for 5 years, the default probality of 29 provinces government debt are less than 50%.
