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.
机构:
Fuzhou Univ, Fuzhou, Peoples R China
Res Ctr Fujian Econ High Qual Dev Based Social Sc, Fuzhou, Peoples R ChinaFuzhou Univ, Fuzhou, Peoples R China
Feng, Ling
Liu, Yingying
论文数: 0引用数: 0
h-index: 0
机构:
Fuzhou Univ, Fuzhou, Peoples R ChinaFuzhou Univ, Fuzhou, Peoples R China
Liu, Yingying
Fang, Jie
论文数: 0引用数: 0
h-index: 0
机构:
Fuzhou Univ, Fuzhou, Peoples R China
Fujian Jiangxia Univ, Sch Finance, Fuzhou, Peoples R ChinaFuzhou Univ, Fuzhou, Peoples R China