城投债作为我国地方融资平台主要的融资工具之一，对我国债券市场具有重要的影响和意义。本文以研究城投债信用利差与监管政策、财政收支、财政政策之间的关联关系，为我国债券投资者及政策制定者提供城投债信用利差及其变化的解释方法与模型为目的，使用我国2010年6月至2023年3月的城投债信用利差、城投债监管政策、财政收支、政府杠杆率、地方政府财务表现等信息和数据开展了实证研究。本文的研究内容主要包括四个部分：首先，对我国过去的城投债的监管政策进行系统的梳理，分析和识别其主要的政策导向，并分析不同监管导向对城投债信用利差可能的影响；第二，对我国的财政体系、财政政策进行概括，并分析其对于城投债信用利差的可能影响；第三，使用数据比较、统计检验等方法，实证在不同的监管政策导向下，城投债的信用利差存在显著的差异；第四，使用线性回归、面板回归等方法，实证财政收支、财政政策，特别是地方政府基金收支、财政支出力度、政府杠杆率变化、各省省级政府财政状况等因素对于城投债信用利差的影响。本文研究得出的主要结论为：(1) 城投债的监管政策在不同的发展阶段呈现“放松”、“收紧”的政策导向特征，且在不同的城投债监管政策导向下，城投债信用利差的期望存在显著的差异；(2) 城投债的信用利差与地方政府的财政收支增速，特别是以政府性基金支出为主要内容的财政支出增速存在显著的负相关性，特别是在监管政策放松的导向下，该负相关性更为明显;（3）城投债的信用利差与地方政府的财政支出力度以及杠杆率的变化速度存在显著的负相关性；(4) 在省级层面，城投债的信用利差与地方政府财政自给率、政府性基金收入占比、与房地产相关的行业经济增加值对当地经济贡献度存在显著的负相关性，同时与地方政府债务负担规模存在显著的正相关性。通过研究本文基本实现了研究目的，希望从理论分析方法、实证分析模型、分析结论与发现等方面，尝试为我国的债券投资者、发行者以及政策制定者提供一定的借鉴和参考意义。
Urban investment bonds, as one of the primary financing tools of the local financing platform in our country, hold significant influence over the Chinese bond market. This paper seeks to examine the relationship between urban investment bond credit spread and factors like supervisory policy and fiscal revenue and expenditure. This paper aims to provide a method and model for explaining the urban investment bond spread and its variations for bond investors and policymakers in our country. This paper conducted empirical research using data on credit spread, regulatory policy, fiscal revenue and expenditure, government leverage ratio, and local government financial performance of urban investment bonds from June 2010 to March 2023.This paper is structured into four main sections:A systematic review of past regulatory policies related to urban investment bonds in our country, identifying the primary policy guidance, and assessing the potential impact of various regulatory directions on the credit spread of urban investment bonds.A summary of our country‘s financial system and policy, and an exploration of their potential effects on the city‘s credit spread.An empirical analysis, using data comparison and statistical tests, to determine whether different regulatory policies result in notable variations in the credit spreads of urban investment bonds.An application of linear regression, panel regression, and other methods to evaluate the influence of variables like fiscal revenue and expenditure, fiscal policies (with a particular focus on local government revenue and expenditure, fiscal expenditure intensity), government leverage ratio changes, and the financial standing of provincial governments on the credit spread of urban investment bonds.The key findings of this study include:The regulatory policies of urban investment bonds showcase a tendency towards "relaxation" and "tightening" during various developmental stages. Distinct regulatory directions lead to significant variations in expected credit spreads.A pronounced negative correlation exists between the credit spread of urban investment bonds and the growth rate of local government revenue and expenditure, especially the growth rate associated with government-managed fund expenditures.A significant negative relationship is evident between the credit spread of urban investment bonds and fiscal expenditure intensity of local governments, as well as the rate of change in leverage ratio.At the provincial level, the credit spread of urban investment bonds negatively correlates with the financial self-sufficiency rate of local governments, the proportion of revenue from government-managed funds, and the economic value added by real estate-related industries to the local economy. In contrast, a positive correlation exists with the magnitude of local government debt.This research effectively fulfills its intended purpose, offering valuable insights for China‘s bond investors and policymakers in terms of theoretical analysis methods, empirical models, and overall conclusions.
