Research On The Spillover Effect Of Government Debt Risk

Since the people's Bank of China printed a lot of renminbi in 2009,the Chinese government's debt system has been constantly expanding,especially that of local governments,and at the end of 2014,the central government formally indicated that central and local government debt would be calculated separately.There will be no more debt for local governments,so the risk of local debt is becoming more and more important.There are a lot of literature on local debt,but because of the opacity of debt data and statistical inconsistency,there are relatively few quantitative studies on debt risk.The literature on quantitative analysis of local government debt risk using value-at-risk index is also less.In this paper,the default distance data of 31 provincial and municipal governments are used to model and analyze with the method of quantile regression.Firstly,the risk spillover effects of 31 local governments on the national debt system are studied.Using several research indexes,such as VaR value,? coefficient,CoVaR,etc.,the relationship between VaR and ?CoVaR,? coefficient and ? CoVaR is studied from the cross-section.The results show that the most effective index is ?CoVaR.After the most effective research index is determined,the traditional conditional risk value model is estimated by using the sub-digit regression technique,a risk overflow ranking of the system by the municipal government is made,and the map visualization analysis is carried out by using the R software,It is found that the risk of the system in the eastern region is generally in the first few.and then selecting the local government data of the Jiangsu province with the largest debt risk overflow,analyzing the generalized conditional risk value model and the traditional conditional risk value model by usingthe sub-digit regression technology,The generalized conditional risk value model mentioned in this way,i.e.the condition of the risk value,is no longer the description of the q-sub-digit number The index value of the risk is equal to the risk value,but is extended to less than or equal to the risk value under the sub-digit number.The research shows that the generalized conditional risk value model is more sensitive to the tail risk of the debt,and the effectiveness is higher.After the optimization and selection of the risk-overflow index and the model of the system by the municipal government,a risk-overflow effect between the provincial and municipal governments is analyzed by using the best model and index.The risk-overflow matrix between the provincial and municipal governments is estimated by using the partial-digit regression technique,and the risk-overflow degree of each local government is studied by using the network analysis,from the number of receiving and overflow relation and the degree of degree and the center of the feature vector.On the basis of this,a systematic and important government is identified,and the study shows that the relation number and the degree of degree and the center of the feature vector The direction of measurement is generally consistent,showing the central location of the whole network in the more developed eastern region of the general economy,which is attributed to the systematic and important government.