Corporate bonds with implicit government guarantees

被引:4
|
作者
Zhang, Ran [1 ]
Li, Yifei [2 ]
Tian, Yuan [3 ]
机构
[1] Univ Sci & Technol, Sch Econ & Management, Beijing, Peoples R China
[2] Univ Nevada, Coll Business, Reno, NV USA
[3] Univ Cincinnati, Lindner Coll Business, Cincinnati, OH USA
关键词
Implicit government guarantee; Bond yield; Default; Credit rating; CREDIT RATINGS; RISK; DETERMINANTS; LIQUIDITY; OPTIONS; SPREAD; MARKET; FIRMS;
D O I
10.1016/j.pacfin.2021.101697
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We model an implicit government guarantee as a partial protection for corporate bonds issued by state-owned enterprises (SOEs) and present pervasive evidence of its existence in the Chinese corporate bond market. The protection effect is stronger among poorly rated SOE bonds than for highly rated SOE bonds - for newly issued corporate bonds, the average guarantee premium is 72 basis points (bps) for AAA bonds while it is 166 bps for AA- (lowest issuance rating) bonds. We find the guarantee premiums are higher for bonds issued by central government sponsored SOEs and by issuers from strategically important sectors, raising concerns of the potential too-interconnected-to-fail problem.
引用
收藏
页数:22
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