关键词: 地方债, 经济周期, 银行风险承担, 面板向量自回归模型

Abstract: In recent years, the world economy has become more volatile, with the wave of nationalism and anti-globalization spreading from the United States to Asia and Europe, and then sweeping the world. At the same time, the frequent occurrence of global risky events such as the COVID-19 pandemic and the Russia-Ukraine conflict has exacerbated global economic turmoil. Global risky events and cyclical economic downturns force governments to adjust their economy through debt expenditure, which intensifies the government debt burden, while downward economic growth limits the government’s financing capacity and solvency. Local governments play a very important role in the counter-cyclical regulation and control of finance. Most of the local government debt funds come from banks. Counter-cyclical regulation under the background of recession is bound to increase the scale of local debt, which will affect bank risks and cause financial instability, which in turn restricts the effect of counter-cyclical regulation and may form a vicious circle. Therefore, it is a subject of important theoretical value and practical significance to clarify the relationship between local debt risk and bank risk taking in the context of business cyclical fluctuations, so as to prevent and resolve systemic risks.
With the change of economic environment, the risk of local debt will inevitably change. As the most important holder of local debt, the adjustment of asset allocation in response to business cycle will inevitably lead to the change of risk taking of city commercial banks. At the same time, the value of various assets of city commercial banks is constantly changing in the economic fluctuations. This complex set of processes provides insight into the dynamics of their relationships through subtle changes in the data. In this paper, based on the establishment of an empirical model and the confirmation of the significant relationship among the three, panel vector autoregressive model is adopted to further analyze the dynamic relationship between the local debt risk and the risk taking of city commercial banks under the business cyclical fluctuations. The results show that:(1)The impulse of local debt risk increases the risk taking of city commercial banks in the long run; On the contrary, the impulse of risk taking of city commercial banks reduces the risk of local debt in both the short and long run. This shows that, as the most important holder of local debt, city commercial banks become the “buffer” of local debt risk, but local debt becomes the “accelerator” of city commercial banks risk. (2)Local economic growth may stimulate city commercial banks to increase risk taking in the short term, but sustained economic growth will eventually reduce the risk taking of city commercial banks. (3)The impulse of local debt risk makes city commercial bank increase the investment of construction credit, which proves that the capital of city commercial bank flows to urban investment company when the risk is amplified. As an important means of government counter-cyclical fiscal regulation, infrastructure investment “bundles” the risks of city commercial bank and local debt risks to some extent. (4)The risk of urban investment bonds is counter-cyclical, which further proves that urban investment companies have part of the counter-cyclical regulation function.
Through the empirical results, it can be concluded that local governments have an important impact on local economic growth, and infrastructure investment is one of the most important channels. Urban investment companies are responsible for most of the local infrastructure construction tasks, while city commercial banks are one of the most important sources of financing for local governments. They are involved in the risk system dominated by local governments, and the risk transmission between them is particularly obvious during the economic recession, along with the counter-cyclical fiscal regulation. Therefore, counter-cyclical fiscal regulation and control should be timely and appropriate, banks should also take counter-cyclical risks into full consideration when investing, and local governments should control the scale of debt, prevent the spread of debt risks, and prevent systemic risks.

Key words: local government debt, business cycle, bank risk taking, panel VAR