Wang, Wenlong; Huang, Yuqin; Watson, John; Yang, Bowen - 2021
Taking the first bond defaults in each province in China as credit events, we adopt a difference-in-difference model … and find that credit spreads of other corporate bonds in the same province increase by 6 basis points on the first default … event day, suggesting a spillover effect. The spillover effect is stronger for local state-owned-enterprise bond defaults …