地方政府债券发行额度的优化配置研究

地方政府债券"自发自还"模式虽然可以有效解决以往模式发行主体和偿债主体的不一致性,但高层级地方政府在分配债券资源时仍然面临着较大的信息不对称和道德风险。本文依据结构化模型及契约理论,从高层级地方政府的角度构建了地方政府债券发行额度的分配决策模型。在效益风险合理搭配的框架下,通过使用遗传算法对双重目标进行加权,分析了省级政府与地（市）级政府之间的债券优化配置方案。研究结果表明,基于经济社会效益最大化和政府债券违约概率最小化等多目标优化求解,可以实现政府债券资源分配的帕累托改进。这对于地方政府债务风险显性化和政府债券合理配置研究将大有裨益,从而有利于科学管控我国日益严峻的地方政府债务风险。     

THE MYSTERY OF THE PRINTING PRESS: MONETARY POLICY AND SELF‐FULFILLING DEBT CRISES

We study the conditions under which unconventional (balance sheet) monetary policy can rule out self‐fulfilling sovereign default in a model with optimizing but discretionary fiscal and monetary policymakers. When purchasing sovereign debt, the central bank effectively swaps risky government paper for monetary liabilities only exposed to inflation risk, thus yielding a lower interest rate. As central bank purchases reduce the (ex ante) costs of debt, we characterize a critical threshold beyond which, absent fundamental fiscal stress, the government strictly prefers primary surplus adjustment to default. Because default may still occur for fundamental reasons, however, the central bank faces the risk of losses on sovereign debt holdings, which may generate inefficient inflation. We show that these losses do not necessarily undermine the credibility of a backstop, nor the monetary authorities' ability to pursue its inflation objectives. Backstops are credible if either the central bank enjoys fiscal backing or fiscal authorities are sufficiently averse to inflation. (JEL: E58, E63, H63)     

A POLITICAL ECONOMY THEORY OF FISCAL POLICY AND UNEMPLOYMENT

This paper presents a political economy theory of fiscal policy and unemployment. The underlying economy is one in which unemployment can arise but can be mitigated by tax cuts and increases in public production. Such policies are fiscally costly, but can be financed by issuing government debt. Policy decisions are made by a legislature consisting of representatives from different political districts. With the available policies, it is possible for the government to completely eliminate unemployment in the long run. However, with political decision making, the economy always has unemployment. Unemployment is higher when the private sector experiences negative shocks. When these shocks occur, the government employs debt‐financed fiscal stimulus plans which involve both tax cuts and public production increases. When the private sector is healthy, the government contracts debt until it reaches a floor level. Unemployment levels are weakly increasing in the economy's debt level, strictly so when the private sector experiences negative shocks. Conditional on the level of workers employed, the mix of public and private output is distorted.     

SOVEREIGN DEBT SUSTAINABILITY IN ADVANCED ECONOMIES

We develop a measure of maximum sustainable government debt for advanced economies. How much investors are willing to lend to a country's government depends on the country's expected primary surplus, the level and volatility of its rate of growth, and how much debt the government expects to be able to raise in the future for the purpose of servicing the debt it seeks to raise today. We provide a simple formula that computes a country's maximum sustainable debt (MSD) as a function of four easy‐to‐estimate parameters. We further compute a country's theoretical probability of default (PD) as a function of its debt‐to‐GDP ratio. We finally calibrate our measures for 23 OECD countries and test the relation between sovereign yield spreads and our theoretical PD at prevailing debt levels. We find it to be strongly statistically significant.     

SOVEREIGN DEBT RELIEF AND ITS AFTERMATH

This paper studies sovereign debt relief in a long‐term perspective. We quantify the relief achieved through default and restructuring in two distinct samples: 1920–1939, focusing on the defaults on official (government to government) debt in advanced economies after World War I; and 1978–2010, focusing on emerging market debt crises with private external creditors. Debt relief was substantial in both eras, averaging 21% of GDP in the 1930s and 16% of GDP in recent decades. We then analyze the aftermath of debt relief and conduct a difference‐in‐differences analysis around the synchronous war debt defaults of 1934 and the Baker and Brady initiatives of the 1980s/1990s. The economic landscape of debtor countries improves significantly after debt relief operations, but only if these involve debt write‐offs. Softer forms of debt relief, such as maturity extensions and interest rate reductions, are not generally followed by higher economic growth or improved credit ratings. (JEL: E6, F3, N0, H6)     

金融危机对金融机构的冲击及政府救助分析

使用基于非对称双指数分布的跳-扩散模型,以资产治理结构理论为框架对金融危机爆发前后以及危机中政府救助前后的债务平均到期时间、冲击到来频率以及违约资产损失率进行设定,从而对金融机构债务/资产比率在不同情况下的变化趋势进行数值模拟,以此分析金融危机对金融机构的冲击以及政府救助金融机构的效果.模拟分析结果发现,金融危机中金融机构的脆弱性主要来自债务/资产比率过高、中短期债务过多以及资产质量过低;政府对危机中金融机构的救助措施以低频大幅注资辅以购买短期债务和劣质资产最为有效.     

金字塔结构、融资替代与资本结构——来自中国民营上市公司的经验证据

基于对"内部资本市场融资替代效应"的分析,本文以金字塔结构复杂性衡量内部资本市场规模,采用2005年我国270家民营上市公司为样本,实证检验金字塔结构对上市公司资本结构的影响。结果表明,金字塔结构复杂性与上市公司全部非银行借款率、短期非银行借款率显著正相关。这表明金字塔结构越复杂,上市公司越倾向利用内部资本市场提供的非银行借款。研究结论从"内部资本市场融资替代效应"角度解释了我国民营上市公司广泛隶属于金字塔结构的合理性。     

股权收购(Buyouts)的债务估值和违约决策

杠杆收购是股权收购交易的主要形式,所以对于股权收购而言,债权和股权的价值估算至关重要。但一方面鉴于股权收购交易所需的大量资金,股权收购主要采用分层债务结构进行债务融资,另一方面囿于收购的目标公司具有显著的特质风险,传统的Leland模型无法对这类债务和股权进行定价。为此,本文基于股权收购的多层融资结构,构建数理模型研究了股权收购交易的债权和股权的定价方法,并分析了最优破产决策和违约概率。基于实证参数值,模型预测的股东内部收益率和违约概率与实证结论十分接近。当标的资产价值下降时,目标公司的杠杆比率快速提升,优先级较低的债务迅速贬值,从而解释了投资者抢购安全资产的动机。通过对比分析,本文发现采用单层融资结构会提高融资成本,使得股权受损,这为分层债务结构提供了理论依据。最后,本文比较静态分析了标的资产波动率和市场利率对估值和破产决策的影响,结论支持了实证研究中有关市场利率与股权收购相关性的结论。     

SOVEREIGN DEBT RESTRUCTURINGS: PREEMPTIVE OR POST‐DEFAULT

Sovereign debt restructurings can be implemented preemptively—prior to a payment default. We code a comprehensive new data set and find that preemptive restructurings (i) are frequent (38% of all deals 1978–2010), (ii) have lower haircuts, (iii) are quicker to negotiate, and (iv) see lower output losses. To rationalize these stylized facts, we build a quantitative sovereign debt model that incorporates preemptive and post‐default renegotiations. The model improves the fit with the data and explains the sovereign's optimal choice: preemptive restructurings occur when default risk is high ex ante, while defaults occur after unexpected bad shocks. Empirical evidence supports these predictions.     

Capital structure,managerial ownership and firm performance: evidence from Egypt

This paper focuses on an important issue, which has generally received less attention in corporate governance literature, being the effect of managerial ownership on the relationship between debt and firm performance. By employing a sample of Egyptian listed firms, the generalized least squares method, as a panel data technique, is used to examine the joint effect of debt and managerial ownership on various measures of firm performance (i.e., Tobin’s q and ROA). The results reveal that managerial ownership moderates the relationship between debt and firm performance, with the relationship being negative (positive) in presence (absence) of managerial ownership concentration. The implication of this finding is that the optimal capital structure is more likely to be contingent on contextual variables as well as the roles, power, and stakes of key internal and external actors. Put simply, the effectiveness of one corporate governance mechanism (i.e., debt) is more likely to be contingent on the effect of other existed corporate governance mechanisms, and hence, there is not one best arrangement of either capital structure or ownership structure, but different arrangements are not equally good.     

基于可协商的可转换债券和企业资本结构

本文将债务协商机制引入利用普通股和可转换债券融资的上市企业,在一个动态模型框架下分析其对债券投资者行为和企业资本结构的影响。首先分别对采取破产清算和债务协商下,利用可转换债券和普通股融资的企业建模;然后利用风险中性定价方法给出企业证券价值的显示解;最后通过数值结果分析债务协商机制的影响并给出经济解释。数值分析表明：相比企业破产清算,协商可以提高企业价值、股权价值。当股东的谈判能力在一定的范围时,协商可以提高债券价值、降低企业杠杆率,增加社会福利。股东谈判能力越强,可转债投资者的转换时机越早。本文的研究丰富了可转换债券的融资理论,为可转换债券融资企业的去杠杆提供了一定的理论指导。     

Leverage and Default in Binomial Economies: A Complete Characterization

Our paper provides a complete characterization of leverage and default in binomial economies with financial assets serving as collateral. Our Binomial No‐Default Theorem states that any equilibrium is equivalent (in real allocations and prices) to another equilibrium in which there is no default. Thus actual default is irrelevant, though the potential for default drives the equilibrium and limits borrowing. This result is valid with arbitrary preferences and endowments, contingent or noncontingent promises, many assets and consumption goods, production, and multiple periods. We also show that only no‐default equilibria would be selected if there were the slightest cost of using collateral or handling default. Our Binomial Leverage Theorem shows that equilibrium Loan to Value (LTV) for noncontingent debt contracts is the ratio of the worst‐case return of the asset to the riskless gross rate of interest. In binomial economies, leverage is determined by down risk and not by volatility.     

Improving Default Risk Prediction Using Bayesian Model Uncertainty Techniques

Credit risk is the potential exposure of a creditor to an obligor's failure or refusal to repay the debt in principal or interest. The potential of exposure is measured in terms of probability of default. Many models have been developed to estimate credit risk, with rating agencies dating back to the 19th century. They provide their assessment of probability of default and transition probabilities of various firms in their annual reports. Regulatory capital requirements for credit risk outlined by the Basel Committee on Banking Supervision have made it essential for banks and financial institutions to develop sophisticated models in an attempt to measure credit risk with higher accuracy. The Bayesian framework proposed in this article uses the techniques developed in physical sciences and engineering for dealing with model uncertainty and expert accuracy to obtain improved estimates of credit risk and associated uncertainties. The approach uses estimates from one or more rating agencies and incorporates their historical accuracy (past performance data) in estimating future default risk and transition probabilities. Several examples demonstrate that the proposed methodology can assess default probability with accuracy exceeding the estimations of all the individual models. Moreover, the methodology accounts for potentially significant departures from “nominal predictions” due to “upsetting events” such as the 2008 global banking crisis.     

Leverage and the performance of buyouts

In this paper we investigate the effects of debt usage on (risk-adjusted) equity returns in private equity-backed buyout transactions. We use a proprietary data set of more than 700 realized European and North American buyouts acquired between 1990 and 2006 to empirically assess theoretical predictions. Our results show a positive relationship between debt levels and equity returns indicating the return-enhancing effects related to leverage. However, our results also provide evidence that it is possible to ‘over-leverage’ a company, i.e. at very high levels of leverage (debt to total capital of approximately 90%) the increased company default risk outweighs the positive effects related to leverage resulting in decreasing equity returns. On the other side, we find no significant relationship between leverage and risk-adjusted equity returns which implies that the return increase through higher debt ratios comes along with increasing risk. In addition, we show that private equity sponsors successfully conduct debt-equity-arbitrage in times of favorable debt market conditions. This implies that these investors successfully time debt markets.     

Taxes and the choice between risky and risk-free debt: on the neutrality of credit default taxation

Shareholders can decide if their corporation issues risky or risk-free debt. We identify tax systems in which the choice between risky and risk-free debt is not distorted by taxes. These credit default neutral tax systems make it possible to make capital structure decisions and firm valuations neglecting credit default risk, even after taxes. Thus credit default neutrality is a characteristic of a tax system that helps to reduce planning costs. Moreover, credit default neutrality is a necessary condition for financial neutrality of taxation. We find one class of credit default neutral taxes that preserves and another class that modifies the expected tax distribution between creditors and debtor firm. Finally, we show the influence of personal taxation on credit default neutrality.

基于交通量风险的PPP交通项目再融资产品设计

交通PPP项目的投资大、风险高。政府作为发起方,需要为项目提供担保以吸引社会资本方的参与,但过度依赖政府担保意味着：一旦发生数额较大的债务违约将会给财政造成巨大的负担,因此有必要谋求适宜的市场化融资渠道。为了协调PPP项目相关者的利益,本文在项目收益债的基础上嵌入了与项目未来收益挂钩的或有条款,并运用结构化方法中的Merton模型在风险中性情景下对融资产品进行了定价。最后,以某PPP交通项目为例,进行了具体的融资产品设计,计算了相应的产品价格和风险价差,并对某些关键条款进行了敏感性分析,结果表明该产品能够在有效减轻政府担保的基础上降低融资成本。     

IS THERE A FISCAL FREE LUNCH IN A LIQUIDITY TRAP?

In this paper, we use a dynamic stochastic general equilibrium model to examine the effects of an expansion in government spending in a liquidity trap. If the liquidity trap is very prolonged, the spending multiplier can be much larger than in normal circumstances, and the budgetary costs minimal. However, given this fiscal free lunch, it is unclear why policymakers would want to limit the size of fiscal expansion. Our paper addresses this question in a model environment in which the duration of the liquidity trap is determined endogenously, and depends on the size of the fiscal stimulus. We show that even if the multiplier is high for small increases in government spending, it may decrease substantially at higher spending levels; thus, it is crucial to distinguish between the marginal and average responses of output and government debt.     

宏观压力测试下商业银行零售信贷产品PD模型预测研究

通过将宏观经济指标与商业银行零售信贷产品住房按揭PD构建宏观变量预测模型，得到预测显著的GDP、CPI、HPI等三个宏观经济指标，再观察其不同滞后阶数组合VAR模型的AICC值，最终选取宏观经济因子高阶项构建回归方程和进行压力测试。研究结果发现：从施压时点开始，不同压力情景下PD均开始缓慢增长趋势，其中重度情景下PD增幅最大。说明使用宏观经济因子的阶乘能更好捕捉上述特征，PD预测模型能准确描述风险传导过程，此举可有效帮助商业银行加强零售信贷领域风险管理。     

PUBLIC DEBT UNDER LIMITED PRIVATE CREDIT

There is a conventional wisdom in economics that public debt can serve as a substitute for private credit if private borrowing is limited. The purpose of this paper is to show that, while a government could in principle use such a policy to fully relax borrowing limits, this is not generally optimal. In our economy, agents invest in a short‐term asset, a long‐term asset, and government bonds. Agents are subject to idiosyncratic liquidity shocks prior to the maturity of the long‐term asset. We show that a high public debt policy fully relaxes private borrowing limits and is suboptimal. This is because agents expecting such a policy respond by investing less than is socially optimal in the short asset which can protect them in the event of a liquidity shock. The optimal policy is more constrained and it induces a wedge between the technological rate of return on the long asset and the rate of return on bonds. In such a regime, agents subject to liquidity shocks are also borrowing constrained, and this expectation of being borrowing constrained induces them to invest the optimal level in the short asset.     

基于政府隐性担保退出预期的金融机构违约风险重定价

取消政府隐性担保或将成为未来政策重点,这将引起隐性担保退出的市场预期,导致金融机构违约风险的重定价。在金融机构自身资产价值随机运动的情形下,文章分别分析了离散时间隐性担保与连续时间隐性担保下金融机构总资产价值的动态随机运动规律,在结构化模型框架内构建了考虑政府隐性担保预期的违约风险模型,度量了政府隐性担保退出过程中不同风险状态金融机构的违约概率与预期损失。研究表明：（1）随着政府隐性担保逐步退出,金融机构违约概率逐渐增加,预期损失呈现先增加后递减的过程。（2）金融机构资产价值波动率越大,杠杆率越高,在政府隐性担保退出过程中其违约概率与预期损失越大。