This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied t...This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied to price credit spread put option. The authors compare the features of these two models by employing daily bond prices of government bonds and corporate bonds for the period 2010–2012 in Chinese bond market. The proposed results show that the higher the credit ratings of the corporate bonds are, the lower the prices of the credit spread options are.展开更多
Using hand-collected data on purchases of D&O insurance by Chinese listed firms for the period from 2008 to 2019,we empirically find that D&O insurance negatively associates with credit spreads.The negative re...Using hand-collected data on purchases of D&O insurance by Chinese listed firms for the period from 2008 to 2019,we empirically find that D&O insurance negatively associates with credit spreads.The negative relationship still holds after conducting a series of robustness tests and is not driven by the eyeball effect.We also show that D&O insurance can reduce credit spreads via the channels of internal controls,external monitoring,information asymmetry and default risk.Moreover,the negative effect of D&O insurance on credit spreads is more pronounced for non-state-owned firms,those located in regions with a low level of marketization or that employ rating agencies with a bad reputation.Our study complements the literature on the credit spreads and corporate governance.展开更多
In this paper,the concepts of probability of default,loss given default and expected loss in the internal ratings-based approach are introduced into the measurement of local government debt risk.Based on issuing inter...In this paper,the concepts of probability of default,loss given default and expected loss in the internal ratings-based approach are introduced into the measurement of local government debt risk.Based on issuing interest rate and credit spreads of provincial government bonds,the default probability models of general debt and special debt are constructed and estimated,and the general and special debt risk of 333 prefectural governments in China from 2014 to 2017 are estimated respectively,and their regional distribution and changes are analyzed.The conclusions are as follows:Both general and special debt risk are different among regions.In terms of vertical changes in 2014-2017,debt risk has increased on the whole,but this increase has been driven more by the increase in the size of the debt,with no significant change in the probability of default,and the debt risk is concentrated in a small number of prefectural governments.The general debt risk accounts for about two-thirds of the total debt risk,the special debt risk accounts for about one-third,and this proportion structure is basically unchanged in 2014-2017.Based on the above conclusions,this paper puts forward corresponding policy recommendations for governance and control of local debt risk.展开更多
Based on listed companies issuing bonds on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2017, this study analyzes the relationship between significant risk warnings in Chinese companies’ annual reports and ...Based on listed companies issuing bonds on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2017, this study analyzes the relationship between significant risk warnings in Chinese companies’ annual reports and corporate bond credit spreads. The main findings are as follows. First, in the Chinese market, ‘‘substantial warnings of significant risks' can significantly improve corporate bond credit spreads, reflecting the risk-warning effect;second,state-owned property rights weaken this effect, which only pertains to listed companies with poor risk management and low information quality;third, significant risk warnings increase investors’ heterogeneous beliefs, also affecting credit spreads;and fourth, through textual analysis, it is found that the corporate bond credit spread is greater when the disclosed risk factors are more pessimistic and less similar to those of the previous year. The findings of this paper help to enrich the literature on credit spreads and risk disclosure.展开更多
In recent years,the relationship between bond spreads and macro economy has been studied extensively by economists in western countries.However,few attentions were paid on this topic in China.This essay regards Chines...In recent years,the relationship between bond spreads and macro economy has been studied extensively by economists in western countries.However,few attentions were paid on this topic in China.This essay regards Chinese bond market as a complex system and constructs bond indices for China with the bottom-up approach.The authors use the data of 3,205 non-financial corporate bonds from February 2010 to October 2017 and construct a new spread noted as the PE SOE spread.The authors find that the PESOE spread has a negative impact on economic activities and has the best predictive ability at short-run forecasting horizons,owing to the institutional superiority of the stateowned enterprises in China.The Treasury bond yields are found to have the best predictive ability at long-run horizons.Both spread shock and Treasury yield shock could lead to deflation and declines in economic activities,and the Treasury yield shock has a more severe and persistent impact on the economy due to the financial accelerator mechanism.PESOE spread is proved to be a better indicator for Chinese corporate bond market and can be widely used not only in future Chinese economic studies,but also for Chinese government’s macroeconomic monitoring and warning.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.71171012and 70901019Humanity and Social Science Foundation of Ministry of Education of China under Grant No.14YJA790075
文摘This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied to price credit spread put option. The authors compare the features of these two models by employing daily bond prices of government bonds and corporate bonds for the period 2010–2012 in Chinese bond market. The proposed results show that the higher the credit ratings of the corporate bonds are, the lower the prices of the credit spread options are.
基金supported by the National Natural Science Foundation of China(No.72072012,71672007,71972010 and 71972011)the National Social Science Fund of China(No.18BGL090)
文摘Using hand-collected data on purchases of D&O insurance by Chinese listed firms for the period from 2008 to 2019,we empirically find that D&O insurance negatively associates with credit spreads.The negative relationship still holds after conducting a series of robustness tests and is not driven by the eyeball effect.We also show that D&O insurance can reduce credit spreads via the channels of internal controls,external monitoring,information asymmetry and default risk.Moreover,the negative effect of D&O insurance on credit spreads is more pronounced for non-state-owned firms,those located in regions with a low level of marketization or that employ rating agencies with a bad reputation.Our study complements the literature on the credit spreads and corporate governance.
基金National Social Science Fund of China:“The Balance Coordination Mechanism of Local Government Debt Risk Prevention and Steady Growth under the Classified Limit Management”(17BJY169).
文摘In this paper,the concepts of probability of default,loss given default and expected loss in the internal ratings-based approach are introduced into the measurement of local government debt risk.Based on issuing interest rate and credit spreads of provincial government bonds,the default probability models of general debt and special debt are constructed and estimated,and the general and special debt risk of 333 prefectural governments in China from 2014 to 2017 are estimated respectively,and their regional distribution and changes are analyzed.The conclusions are as follows:Both general and special debt risk are different among regions.In terms of vertical changes in 2014-2017,debt risk has increased on the whole,but this increase has been driven more by the increase in the size of the debt,with no significant change in the probability of default,and the debt risk is concentrated in a small number of prefectural governments.The general debt risk accounts for about two-thirds of the total debt risk,the special debt risk accounts for about one-third,and this proportion structure is basically unchanged in 2014-2017.Based on the above conclusions,this paper puts forward corresponding policy recommendations for governance and control of local debt risk.
基金NSFC (71472188, 71672191)Humanities and Social Science Foundation (19YJC630040) for its support
文摘Based on listed companies issuing bonds on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2017, this study analyzes the relationship between significant risk warnings in Chinese companies’ annual reports and corporate bond credit spreads. The main findings are as follows. First, in the Chinese market, ‘‘substantial warnings of significant risks' can significantly improve corporate bond credit spreads, reflecting the risk-warning effect;second,state-owned property rights weaken this effect, which only pertains to listed companies with poor risk management and low information quality;third, significant risk warnings increase investors’ heterogeneous beliefs, also affecting credit spreads;and fourth, through textual analysis, it is found that the corporate bond credit spread is greater when the disclosed risk factors are more pessimistic and less similar to those of the previous year. The findings of this paper help to enrich the literature on credit spreads and risk disclosure.
基金supported by Chinese Academy of Sciences under Grant No.Y82901DEA2
文摘In recent years,the relationship between bond spreads and macro economy has been studied extensively by economists in western countries.However,few attentions were paid on this topic in China.This essay regards Chinese bond market as a complex system and constructs bond indices for China with the bottom-up approach.The authors use the data of 3,205 non-financial corporate bonds from February 2010 to October 2017 and construct a new spread noted as the PE SOE spread.The authors find that the PESOE spread has a negative impact on economic activities and has the best predictive ability at short-run forecasting horizons,owing to the institutional superiority of the stateowned enterprises in China.The Treasury bond yields are found to have the best predictive ability at long-run horizons.Both spread shock and Treasury yield shock could lead to deflation and declines in economic activities,and the Treasury yield shock has a more severe and persistent impact on the economy due to the financial accelerator mechanism.PESOE spread is proved to be a better indicator for Chinese corporate bond market and can be widely used not only in future Chinese economic studies,but also for Chinese government’s macroeconomic monitoring and warning.
