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...

Implicit government guarantees in the Chinese bond market, which shaped investors’ belief in rigid payment, have been withdrawn after the first bond default, causing spillover effects on non-defaulted bonds. This study investigates the intra-regional spillover effects of the staggered first...

This paper examines the spillover effects of corporate bond defaults on the non-performing loans of local city commercial banks. Using a staggered difference-in-differences model, we find that the emergence of corporate bond defaults significantly increases the non-performing loans of local...

This paper examines the spillover effects of corporate bond defaults on the non-performing loans of local city commercial banks. Using a staggered difference-in-differences model, we find that the emergence of corporate bond defaults significantly increases the non-performing loans of local...

This study uses a dynamic copula model of dependence to investigate risk spillovers in China’s credit bond market between the bank and corporate sectors for a range of maturities from one week to 30 years. Using daily data on credit spreads for the period December 28, 2009 to June 2, 2017, the...