• Medientyp: E-Book
  • Titel: The Tail Risk Co-Movement of Qusi-Municipal Bond : What Can We Learn from China's Chengtou Bond Market?
  • Beteiligte: Xia, Hongyu [Verfasser:in]; Hardle, Wolfgang Karl [Verfasser:in]
  • Erschienen: [S.l.]: SSRN, 2022
  • Umfang: 1 Online-Ressource (40 p)
  • Sprache: Englisch
  • Schlagwörter: Chengtou bond ; Tail risk co-movement ; L1-Norm quantile regression
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  • Beschreibung: China's Chengtou bond has dual positions of ``corporate bond" and ``quasi-municipal bond", and its tail risk is extremely contagious. We construct provincial and municipal risk indexes based on the microdata of 15029 Chengtou bonds which exist from 2009 to 2021. Further, we study the tail risk co-movement of Chengtou bonds among different regions based on a rolling window $L_1$-Norm quantile regression model, and also measure regions' dynamic risk out-degree and in-degree and recognize main risk emitters and receivers through further analysis of the tail risk network of Chengtou bonds. The empirical evidence finds that the tail risk indicator of Chengtou bond has three peaks that occur in 2011, 2014, and time after the second half of 2020, and various regions play take the lead at various points in time. Macro variables also have a significant positive impact on the tail risk network of Chengtou bonds, with the benchmark interest rate having a higher effect
  • Zugangsstatus: Freier Zugang