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

摘要： 财政逆周期调控能够平抑经济风险,但衰退背景下的逆周期调控势必增加地方债务规模,进而影响银行风险,造成金融不稳定因素,而经济衰退和金融不稳定又反过来制约政府偿债能力并危及逆周期调控的效果。本文采用面板向量自回归模型,研究这一过程中重要变量之间的动态关系,研究发现:(1)地方经济持续增长有利于显著降低城商行风险承担,而地方债风险的增大则倾向于增加城商行风险承担;(2)地方债风险的冲击显著增加城商行的建筑业信贷。基建投资作为逆周期调控的常规手段,是地方债风险与城商行风险承担之间联系的关键因素;(3)城投债风险与经济周期的反向关系进一步证明了城投公司承担了部分逆周期基建职能。本文的研究对于适时适度地逆周期调控,以及防范地方债风险向银行的传染,构建良性的地方政-银生态,促进经济高质量发展,有着重要的参考价值。

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