Yang Ruicheng, Li Li, Jiang Qi, Qi Ji
School of Finance, Inner Mongolia University of Finance and Economics, Hohhot, China.
School of Management, Marist College, Poughkeepsie, NY 12601 USA.
Empir Econ. 2022;63(5):2605-2632. doi: 10.1007/s00181-022-02210-y. Epub 2022 Feb 9.
In recent years, China's local governments have issued numerous bonds to support the country's economic development. However, as total debt accumulates, the pressure on debt repayments is gradually increasing. To increase the sustainability of local government debt, we propose a multi-period stochastic optimization-based approach to determining the portfolio composition of issued bonds, with the goal of minimizing the expected cost under the constraints of liquidity risk and cost deviation risk. Liquidity risk is measured by conditional payment-at-risk ( ), and cost deviation risk is measured by conditional value-at-risk ( ). By bounding and , local governments can control the levels of cost deviation risk and liquidity risk. To alleviate future liquidity risk, which is caused by the issuance of a large number of long-term bonds to deliberately reduce repayment pressure within a debt planning horizon, we consider an extended liquidity planning horizon to manage both current and future liquidity risk. Based on this, we analyze the efficient frontier and portfolio compositions of issued bond under the constraints of different and levels. Compared with actual Chinese local government bond portfolios, the efficient frontier performs better for different issuance strategies.
近年来，中国地方政府发行了大量债券以支持国家经济发展。然而，随着债务总额的累积，偿债压力逐渐增大。为提高地方政府债务的可持续性，我们提出一种基于多期随机优化的方法来确定已发行债券的投资组合构成，目标是在流动性风险和成本偏差风险的约束下使预期成本最小化。流动性风险通过条件风险价值（ ）来衡量，成本偏差风险通过条件风险价值（ ）来衡量。通过限制 和 ，地方政府可以控制成本偏差风险和流动性风险的水平。为缓解因在债务规划期内大量发行长期债券以故意减轻偿债压力而导致的未来流动性风险，我们考虑一个扩展的流动性规划期来管理当前和未来的流动性风险。在此基础上，我们分析了在不同 和 水平约束下已发行债券的有效前沿和投资组合构成。与中国地方政府债券实际投资组合相比，有效前沿在不同发行策略下表现更佳。
