【作者】 杨宇婷；

【导师】 何盛明；

【作者基本信息】 财政部财政科学研究所 ， 财政学， 2014， 博士

【摘要】 自1981年我国恢复国债发行以来,我国国债规模不断扩大,地位和作用不断上升。30多年来,国债作为一种财政手段为我国改革开放和经济社会发展提供了强有力的资金支持,拉动GDP的增长,促进经济持续稳定快速发展。随着我国市场经济的发展,国债的功能从早期的筹集建设资金、弥补财政赤字,日益发展成为调控宏观经济、调整经济结构的重要工具和手段,尤其是在积极财政政策的实施中发挥了重要作用。对国债运行风险的研究,日益成为经济理论界探讨的一个崭新领域和分支学科。本文对我国国债运行风险进行了多层次、多视角的考察和剖析,国际经验与历史经验并重,规范分析与实证分析相结合,既从宏观层面对国债运行的系统性风险进行解析,又从微观层面对我国国债运行的市场操作风险进行研究；既从整个国债经济运行过程着眼,又从发行、流通、偿还等管理环节着手；力图将国债运行的前沿理论与我国实际紧密结合,对中国特色社会主义市场经济条件下的国债运行风险管理问题进行深入探索与研究。本文以国债运行过程为主线,通过对国债宏观总量与使用风险,发行-流通2偿还管理过程中存在风险,以及中央代发代偿地方政府债券风险等内容的研究,构建一个国债运行风险管理体系,探索符合我国现状的管理路径。首先,本文回顾了国内外有关国债运行风险管理的相关研究,并对国债相关概念、理论、国际经验、历史经验、发展现状等问题进行详细地梳理与分析,以此作为整个研究的前提与基础。宏观层次,文章从宏观视角对国债运行的总量风险与使用风险进行分析。在分析总量风险过程当中,本文使用了应债能力的国债规模风险指标,包括国债负担率、国债借债率、居民应债率,以及偿债能力的国债规模风险指标,包括国债偿债率、国债依存度和财政赤字率进行研究。通过对近年来数据的分析,本文指出,我国国债负担偏低,但上升态势较为明显；国债借债率不断攀升；居民应债率趋于稳定；国债偿债率居高不下；国债依存度非常高；财政赤字率波动较大且风险较高。在分析使用风险过程当中,主要从国债资金使用投向风险和使用效率风险两个方面来分析。市场微观操作层次,本文以国债运行管理过程的发行、流通、偿还为主线,分别对我国国债的发行市场、流通市场以及违约偿付风险进行了深入考察。发行市场上,国债定价受到招标发行制度不完善、信息披露制度不健全等的制约,缺少续发行和预发行手段；期限结构不合理,存在“两头疏,中间密”,短期、长期国债规模不足等问题；国债持有者结构同样不合理,机构投资者的规模还需壮大；利率期限结构存在的风险主要是国债回购市场与银行拆借市场存在分割造成基准利率的确定风险问题。流通市场上,由于市场参与者行为趋同、市场上投资品种过于单一、质押式回购交易占用现券资源以及做市商制度缺乏有效性等原因,造成我国国债流动性偏低问题；关于流通市场结构,由于两大债券市场的分割,存在交易主体分布不均、债券品种差异较大、托管系统相分离、价格形成机制和监管体系不同等问题；我国国债衍生品市场的整体规模较小、品种结构单一、市场参与度低、相关制度不够完善。同时,我国应适时推动国债期货的发展。文本设计了我国国债违约风险综合评价指标体系,我国国债违约风险综合评价指标层次结构主要分为三层：第一层次是一个国债违约风险综合指标。第二层次是第一层次的分解指标,包括国债应债能力风险指标、国债偿债能力风险指标和国债结构风险指标。第三层次是第二层次的分解指标,包括国债负担率、国债借债率、居民应债率、国债偿债率、国债依存度、财政赤字率、期限集中度和债务支出收入比率。然后为指标赋予权重并代入样本数据(我国从199122011年间的国内经济和国债数据),得出1991-2011年我国国债违约风险综合评价指标分析表,并对此进行系统分析。然后在国债违约风险综合评价指标的基础上,使用AHP和风险因子法构建我国国债违约风险预警体系的基本框架进行实证检验并得出相应结论。结论一：从总体应债能力来说,我国国债应债能力风险不大,基本处于安全区；从分项指标来看,国债负担率和居民应债率在这二十年间一直处于安全状态,运行状况稳定,而国债借债率从1998年开始就进入轻警区,2007年甚至达到重警区。结论二：从总体来看,我国国债偿债能力存在较大的风险；从分项指标来看,财政赤字率处于相对安全的状态,但国债偿债率和国债依存度指标却反映出较大的风险,国债依存度的风险程度更大。结论三：从总体结构风险来看,结构风险逐渐降低,且趋于稳定；从分项指标看,期限集中度指标风险呈降低趋势,债务支出收入比的风险也有所下降。结论四：从国债风险总体来看,我国国债综合风险呈上升趋势,但总体风险不高,处于比较稳定的状态。总体信号灯为蓝灯,属于轻警范围,风险可控。但偿债能力和结构风险较大,部分年份出现重警状态,需加强管理。此外,本文还创造性地加入了中央代发代偿地方政府债券的风险情况,从我国实际情况出发,对财政部代理发行地方政府债券和地方政府自行发行地方政府债券两方面剖析其存在的风险及问题。最后,本文提出规避我国国债运行风险的对策建议。主要包括五个部分：一是优化我国国债市场的宏观环境；二是推进我国国债发行市场化改革的建议,以此来规避国债发行当中的风险,实现发行的可持续性；三是促进我国国债流通市场的发展与完善,提高流动性、实现统一性与高效性,最终实现我国国债流通市场的可持续发展；四是建立和完善国债偿付制度实现偿付的可持续性,包括实行预算平衡管理,加强国债期限结构管理和优化国债的投资结果等三个方面；五是积极探索地方政府债券发行管理方式,包括对财政部代理地方债的管理、对地方政府自行发债试点的管理等。更多还原

【Abstract】 Since the beginning of the issuing the government bond from1981in China, the scale of government bond is extending, and the status and the function of the government bond on the national economic is increasing. Since China opened to the outside world thirty years ago, as a way to adjust the finance, government bond provided a strong financial support to China’s reform and opening up and economic and social development, boosting the GDP growth, promoting a sustained, steady and rapid economic development. With the development of china’s market economy, the function of government bond had changed from raise funds for construction, make up the deficit to the important tool for macroeconomic regulation and control, economic restructuring, especially play an important role in proactive fiscal policy.Study on the operating risk of the government bond has increasingly become a new field and sub-discipline in the field of economic theory. In this thesis, government bond operating risk is surveyed from various levels and aspects. It has both international experience and the historical experience and combined the normative and empirical analysis. Namely the analysis of government bond operating systemic risk from macroscopic levels as well as from market microcosmic operation level. This thesis drives at the whole process of government bond operation, and pays attention to the management stages of distribution, circulation and repayment. With the purposes of inosculating leading theories of government bond operation with the actual practice for an intensive exploration and study on the government bond operating risk management under socialist market economy of Chinese feature.This thesis will set up government bond operation management system and exploit the route of government bond management which adapt to the china situation by the process of government bond operation as the masterstroke. The main content are the study of the total amount and using risk, the risks in the manage process of issue-circulation-repayment, as well as the risks of central government on behalf of local government issue the bonds and soAt first, this thesis reviews the research on domestic and aboard study on government bond run risk management and analysis on treasury-related concepts, theories, international experience, historical experience, development status and so on as a prerequisite and basis for the entire study. In the macro level, this thesis analyzes the total risk and using risk of government bond operation from macro aspect. In total risk analysis process, this thesis analysis the risk of government bond using different risk indicators including the burden rate of the government bond, the borrowing rate of government bond and residents should debt rate, as well as the debt repay rate of government bond, the dependence level of government bond and the fiscal deficit rate. The analysis results show that china’s the burden rate of the government bond is low, he debt repay rate of government bond keeps a upward trend, the dependence level of government bond is very high, the fiscal deficit rate has a fluctuations and high risk. In using risk analysis process, mainly focus on invest field risk and use efficient risk.In the market micro structure operating level, the thesis study china’s issue market, circulation market and solvency risk by issue-circulation-repayment as the main line. On the issue market, government bond pricing is constrained by the imperfect of tendering system and information disclosure system, and lack of when-issued and reopen technologies. The term structure is unreasonable with the problem of lacking of short-term and long-term government bonds. The bond holder structure is also unreasonable, institution investors need to grow the size. The risk of interest rate term structure mainly focus on the benchmark interest rate determine risk caused by the separation of the government bond repo market and the interbank market.On the circulation market, China’s government bond has a low liquidity due to the convergence behavior of market participants, the investment products on the market are too single, pledged repo transactions occupy cash resources and the lack of effectiveness of market-maker system. There are bunches of problems about the structure of circulation market including trade bodies unevenly distributed, large differences in bond products, the separation of managed system, the different in price formation mechanism and regulatory system and so on, which due to the segmentation of the two bond markets. The scale of China’s government bond derivatives market is small, single products structure, low market participation, the relevant systems are not perfect. Meanwhile, china should promote the development of government bond futures in a properly time.This thesis designs a comprehensive evaluation index system of China’s government bond default risk. The system is divided into three levels:the first level is a composite indicator of government bond default risk. The second level is the decomposition indicators of the first level, including the should capacity of government bond risk indicator, the solvency capacity of government bond risk indicator and the structural of government bond risk indicator. The third level is the decomposition indicators of the second level, including the burden rate of the government bond, the borrowing rate of government bond, residents should debt rate, the debt repay rate of government bond, the dependence level of government bond, the fiscal deficit rate, the degree of centralization deadline, debt payment-income ratio. Then give weight to these indicators, and bring the sample data (China’s economy and government bond data from1991to2011), arrival at a comprehensive evaluation index system analysis table of China’s government bond default risk from1991to2011, and conduct a systematic analysis. Then the thesis tries to build the basic framework of China’s government bond default risk warning system by using AHP and risk factors method on the basis of the comprehensive evaluation index system of government bond default risk. This thesis draws the appropriate conclusions by conducting empirical analysis.Conclusion one:In the general should be debt capacity, China’s government bond should capacity have a little risk, basically in a safe area. From the sub-indicators, the burden rate of the government bond and residents should debt rate are keep safe and operating stable in the two decades, while the borrowing rate of government bond has entered in light warning area since1998, even up to severe warning area in2007.Conclusion two:in general, there is a big risk in china’s solvency capacity. From the sub-indicators, the fiscal deficit rate is in a relatively safe state, but the debt repay rate of government bond and the dependence level of government bond indicators reflect a big risk, especially the dependence level of government bond has a greater risk.Conclusion three:From the overall risk structure, the structural risk decreased gradually,:he degree of centralization deadline indicator risk tends to decrease, and the risk of debt payment-income ratio also declined.Conclusion four:In general, China’s government bond integrated risk increase gradually, while the overall risk is not high and in a relatively stable state. The overall light is blue which n the range of light warning area, the risks are controllable. However, the solvency and structural risks are greater than others. The risks even reach the range of severe warning area n several years, which need to strengthen management.In addition, this thesis also analysis the risks of central government on behalf of local government issue the bonds creatively. From China’s actual situation, study the risks problems of the Ministry of Finance on behalf of local government issues the bonds and local government issues bonds on their own.Finally, this thesis proposes the suggestions of avoid the risk of China’s government bond operation. This chapter consists of five parts:Firstly, the suggestions to optimizing the macro environment of China’s government bond market. Secondly, the suggestions to promote China’s government bond issue market reform, in order to avoid the risk in the process of issue, achieve the sustainable issue. Thirdly, the suggestions to promote China’s government bond circulation market develop and prefect, and improve the mobility, achieve the uniformity and efficiency, and ultimately achieve sustainable development of China’s government bond circulation market. Fourth, the suggestions of establish and improve government bond reimbursement system, and achieve the sustainable repayment, including the implementation of a balanced budget management, strengthen government bond term structure management, and optimization the government bond invest results.Fifth, the suggestions of explore the local government bond issuance management, including the management of the Ministry of Finance on behalf of local government issues the bonds and local government issues bonds on their own.更多还原