作　者：张鹏
关键词：地方债务；风险溢出；银行系统性风险；TVP-VAR-DY 模型
摘　要：

稳妥有效防控地方债务和银行系统风险，对于实现稳增长和经济高质量发展至关重要。近年来，地方政府债务尤其是以城投平台为主要载体的隐性债务持续扩张，成为中国系统性金融风险的重要来源，集中体现为财政与金融风险的相互溢出。实证分析发现：从静态溢出效应来看，城投平台债务、地方政府债务和银行系统性风险之间存在较强的联动关系，且城投平台债务在风险溢出网络中处于信息先导地位；从动态溢出效应来看，城投平台债务是风险的净输出者，而且2020 年疫情冲击后，地方政府债务处于城投平台债务风险溢出的被动接受地位，起到吸收风险的作用；全样本的动态总溢出指数既能真实地反映出我国地方债务与银行系统之间风险溢出的动态响应，又对危机事件十分敏感，具有明显的时变特征。研究结论为建立地方债务风险治理长效机制、促进财政金融稳定提供理论指导与决策参考。

 

Local Urban Investment Platforms Debt, Local Government Debt and Systemic Risks of Banks

Zhang Peng（Chinese Academy of Social Sciences）

Abstract Effective management and control of local debt and banking system risks are essential for achieving stable growth and high-quality economic development. In recent years, local government debt, especially hidden debt with urban investment platforms as the main carrier, has continued to expand and become an important source of systemic financial risk in China, which is concentrated in the mutual spillover of fiscal and financial risks. Empirical analysis shows a strong link in terms of static spillover effects between urban investment platform debt, local government debt, and systemic bank risk, with urban investment platform debt being the forerunner in the risk spillover network. Regarding dynamic spillover effects, urban investment platform debt is a net exporter of risk. Moreover, after the COVID-19 pandemic shock in 2020, local government debt has become a passive recipient of risk spillovers from urban investment platform debt, serving as a risk absorber. The aggregate dynamic spillover index of the full samples accurately reflects the changing risk spillovers between local debt and the banking system in China, sensitive to critical incidents and with clear time-varying characteristics. The study's conclusions will offer theoretical guidance and references for decision-making in establishing a long-term mechanism for managing local debt risk and promoting fiscal and financial stability.

Key words  local debt; risk spillovers; systemic risks of banks; TVP-VAR-DY model

 

■作者简介  张鹏，中国社会科学院金融研究所博士后、国家金融与发展实验室研究员，北京 100710。

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