Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach

Lu Yang, Lei Yang, Kung-Cheng Ho and Shigeyuki Hamori

Journal of Asian Economics, 2020, vol. 68, issue C

Abstract: 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)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1049007820300440
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300440

DOI: 10.1016/j.asieco.2020.101200

Access Statistics for this article

Journal of Asian Economics is currently edited by C. Wiemer

More articles in Journal of Asian Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().