Bond yield and credit rating: evidence of Chinese local government financing vehicles
Abstract Excessive borrowing of local governments in China sparked concerns that the debt may threaten the financial stability of the economy and ultimately cause economic collapse. It becomes critically important to understand the credit rating of China’s local government financing vehicle (LGFV) b...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Luo, Hang [verfasserIn] |
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| Format: |
Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2018 |
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| Schlagwörter: |
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| Anmerkung: |
© Springer Science+Business Media, LLC, part of Springer Nature 2018 |
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| Übergeordnetes Werk: |
Enthalten in: Review of quantitative finance and accounting - Springer US, 1991, 52(2018), 3 vom: 03. Apr., Seite 737-758 |
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volume:52 ; year:2018 ; number:3 ; day:03 ; month:04 ; pages:737-758 |
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| DOI / URN: |
10.1007/s11156-018-0724-7 |
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| 520 | |a Abstract Excessive borrowing of local governments in China sparked concerns that the debt may threaten the financial stability of the economy and ultimately cause economic collapse. It becomes critically important to understand the credit rating of China’s local government financing vehicle (LGFV) bonds and the association between the yields, credit ratings, and bond characteristics under this circumstance. We use a complete pooled data set of 771 LGFV bond issues from 1999 to 2011 and OLS and two-stage-least-squares regressions to examine how credit ratings might affect LGFV bond yields and an ordered probit model to study the determinants of credit ratings. The main findings are: (1) bond characteristic variables, such as duration and guarantee, matter in determining yields though credit rating plays a major role in determining yields of LGFV bond issues; (2) bond issue size and bond type are the main determinants of LGFV bond credit ratings, while the bond issuer characteristics have little explanatory power; (3) at least in Eastern China, smaller credit rating agency tend to give better ratings after controlling for bond issuer and issue characteristics. | ||
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10.1007/s11156-018-0724-7 doi (DE-627)OLC2037194587 (DE-He213)s11156-018-0724-7-p DE-627 ger DE-627 rakwb eng 650 330 VZ 3,2 ssgn Luo, Hang verfasserin (orcid)0000-0002-2492-4983 aut Bond yield and credit rating: evidence of Chinese local government financing vehicles 2018 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2018 Abstract Excessive borrowing of local governments in China sparked concerns that the debt may threaten the financial stability of the economy and ultimately cause economic collapse. It becomes critically important to understand the credit rating of China’s local government financing vehicle (LGFV) bonds and the association between the yields, credit ratings, and bond characteristics under this circumstance. We use a complete pooled data set of 771 LGFV bond issues from 1999 to 2011 and OLS and two-stage-least-squares regressions to examine how credit ratings might affect LGFV bond yields and an ordered probit model to study the determinants of credit ratings. The main findings are: (1) bond characteristic variables, such as duration and guarantee, matter in determining yields though credit rating plays a major role in determining yields of LGFV bond issues; (2) bond issue size and bond type are the main determinants of LGFV bond credit ratings, while the bond issuer characteristics have little explanatory power; (3) at least in Eastern China, smaller credit rating agency tend to give better ratings after controlling for bond issuer and issue characteristics. Yield Credit rating Local government financing vehicle (LGFV) China Chen, Linfeng aut Enthalten in Review of quantitative finance and accounting Springer US, 1991 52(2018), 3 vom: 03. Apr., Seite 737-758 (DE-627)170660036 (DE-600)1087855-5 (DE-576)029154634 0924-865X nnns volume:52 year:2018 number:3 day:03 month:04 pages:737-758 https://doi.org/10.1007/s11156-018-0724-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_4012 AR 52 2018 3 03 04 737-758 |
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10.1007/s11156-018-0724-7 doi (DE-627)OLC2037194587 (DE-He213)s11156-018-0724-7-p DE-627 ger DE-627 rakwb eng 650 330 VZ 3,2 ssgn Luo, Hang verfasserin (orcid)0000-0002-2492-4983 aut Bond yield and credit rating: evidence of Chinese local government financing vehicles 2018 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2018 Abstract Excessive borrowing of local governments in China sparked concerns that the debt may threaten the financial stability of the economy and ultimately cause economic collapse. It becomes critically important to understand the credit rating of China’s local government financing vehicle (LGFV) bonds and the association between the yields, credit ratings, and bond characteristics under this circumstance. We use a complete pooled data set of 771 LGFV bond issues from 1999 to 2011 and OLS and two-stage-least-squares regressions to examine how credit ratings might affect LGFV bond yields and an ordered probit model to study the determinants of credit ratings. The main findings are: (1) bond characteristic variables, such as duration and guarantee, matter in determining yields though credit rating plays a major role in determining yields of LGFV bond issues; (2) bond issue size and bond type are the main determinants of LGFV bond credit ratings, while the bond issuer characteristics have little explanatory power; (3) at least in Eastern China, smaller credit rating agency tend to give better ratings after controlling for bond issuer and issue characteristics. Yield Credit rating Local government financing vehicle (LGFV) China Chen, Linfeng aut Enthalten in Review of quantitative finance and accounting Springer US, 1991 52(2018), 3 vom: 03. Apr., Seite 737-758 (DE-627)170660036 (DE-600)1087855-5 (DE-576)029154634 0924-865X nnns volume:52 year:2018 number:3 day:03 month:04 pages:737-758 https://doi.org/10.1007/s11156-018-0724-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_4012 AR 52 2018 3 03 04 737-758 |
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Abstract Excessive borrowing of local governments in China sparked concerns that the debt may threaten the financial stability of the economy and ultimately cause economic collapse. It becomes critically important to understand the credit rating of China’s local government financing vehicle (LGFV) bonds and the association between the yields, credit ratings, and bond characteristics under this circumstance. We use a complete pooled data set of 771 LGFV bond issues from 1999 to 2011 and OLS and two-stage-least-squares regressions to examine how credit ratings might affect LGFV bond yields and an ordered probit model to study the determinants of credit ratings. The main findings are: (1) bond characteristic variables, such as duration and guarantee, matter in determining yields though credit rating plays a major role in determining yields of LGFV bond issues; (2) bond issue size and bond type are the main determinants of LGFV bond credit ratings, while the bond issuer characteristics have little explanatory power; (3) at least in Eastern China, smaller credit rating agency tend to give better ratings after controlling for bond issuer and issue characteristics. © Springer Science+Business Media, LLC, part of Springer Nature 2018 |
| abstractGer |
Abstract Excessive borrowing of local governments in China sparked concerns that the debt may threaten the financial stability of the economy and ultimately cause economic collapse. It becomes critically important to understand the credit rating of China’s local government financing vehicle (LGFV) bonds and the association between the yields, credit ratings, and bond characteristics under this circumstance. We use a complete pooled data set of 771 LGFV bond issues from 1999 to 2011 and OLS and two-stage-least-squares regressions to examine how credit ratings might affect LGFV bond yields and an ordered probit model to study the determinants of credit ratings. The main findings are: (1) bond characteristic variables, such as duration and guarantee, matter in determining yields though credit rating plays a major role in determining yields of LGFV bond issues; (2) bond issue size and bond type are the main determinants of LGFV bond credit ratings, while the bond issuer characteristics have little explanatory power; (3) at least in Eastern China, smaller credit rating agency tend to give better ratings after controlling for bond issuer and issue characteristics. © Springer Science+Business Media, LLC, part of Springer Nature 2018 |
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Abstract Excessive borrowing of local governments in China sparked concerns that the debt may threaten the financial stability of the economy and ultimately cause economic collapse. It becomes critically important to understand the credit rating of China’s local government financing vehicle (LGFV) bonds and the association between the yields, credit ratings, and bond characteristics under this circumstance. We use a complete pooled data set of 771 LGFV bond issues from 1999 to 2011 and OLS and two-stage-least-squares regressions to examine how credit ratings might affect LGFV bond yields and an ordered probit model to study the determinants of credit ratings. The main findings are: (1) bond characteristic variables, such as duration and guarantee, matter in determining yields though credit rating plays a major role in determining yields of LGFV bond issues; (2) bond issue size and bond type are the main determinants of LGFV bond credit ratings, while the bond issuer characteristics have little explanatory power; (3) at least in Eastern China, smaller credit rating agency tend to give better ratings after controlling for bond issuer and issue characteristics. © Springer Science+Business Media, LLC, part of Springer Nature 2018 |
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Bond yield and credit rating: evidence of Chinese local government financing vehicles |
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