Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach
Lu Yang (),
Kung-Cheng Ho and
Shigeyuki Hamori ()
Journal of Asian Economics, 2020, vol. 68, issue C
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 empirical results show that credit risk spillover is low and relatively stable for medium-term bonds, but higher and more variable for short- and long-term bonds. The results also show that credit risk spillover increased after 2014 with financial market reforms that involved interest rate liberalization and a loosening of government guarantees on corporate debt.
Keywords: Copula; Dependence structures; Risk spillover; China; Credit bond market (search for similar items in EconPapers)
JEL-codes: E44 E51 F41 G15 G32 H63 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300440
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