关键词:

隐性担保, 城投债, 城投信仰, 债券定价

Abstract:

This paper explores the estimation of implicit government guarantees for quasi-municipal corporate bonds (“Chengtou” bonds) issued by local government financing platforms (LGFPs). It holds that although the new Budget Law prohibits local governments from providing guarantees for any institutions, the market prices of Chengtou bonds suggest that investors still believe that local governments will provide implicit guarantees for Chengtou bonds, i.e., there exists what is known in the industry as “Chengtou beliefs”. This paper defines Chengtou beliefs as “the probability of government providing guarantee for Chengtou bonds implied in the market price”, and analyzes the prices of Chengtou bonds in two states: government providing guarantee and government not providing guarantee. Then, it gives the pricing formula of Chengtou bonds considering the Chengtou beliefs based on the option pricing theory, as well as the method and example of measuring the implicit guarantees by using the trading price data of Chengtou bonds. The method given in this paper is based on the product level of Chengtou bonds rather than the industry level, and can be used to examine in more depth the impact of implicit government guarantee on the price of Chengtou bonds when Chengtou beliefs become increasingly differentiated, and evaluate the implicit guarantee of Chengtou bonds in a more rational way.

Key words:

implicit government guarantees, Chengtou bonds, Chengtou beliefs, bond pricing