信用风险加剧与利差缩窄：城投债的定价有效吗？

近年来随经济增速放缓、地方债务问题逐渐显露，而作为地方债务重要组成部分的城投平台债券与国债利差却相对缩窄，这一不符合金融学风险-收益原理的现象是本文研究的出发点。通过构造一个最新五年时间窗口期、包含一千余债券信息的数据集，从经典债券利差分解模型与多风险因素模型出发对债券利差进行解释，并通过DID方法（双重差分法）分别研究贵州城投债务展期事件与中央政府出台化债方案事件对城投债券利差影响。计量结果显示，城投债券的市场定价并未显示出其信用违约风险，城投债券定价扭曲的原因可能是市场对其有预算软约束预期，即城投平台信用由地方政府担保、地方财政健康度由中央政府兜底。通过构造了一个包含全国经济因素、地方财政因素、资本市场因素的大模型，发现城投债券定价中体现全国经济风险与资本市场情况，但地方政府杠杆率与地方财政收支比例在模型中不显著，这也暗示城投债券定价中存在预算软约束问题，最终本文针对信用风险加剧与利差缩窄现象提出一个解释：城投债券市场定价有中央政府会进行政策兜底的预算软约束预期，即作为信用债的城投债券具备一定隐性信用担保。在近些年金融资产回报率降低与风险提高的大环境下，具有避险属性的城投债相对投资优先度增加，进而其价格被市场推升。

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