Transmission effects of real estate risk on municipal bond spreads

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-05-01 Epub Date: 2025-03-18 DOI:10.1016/j.frl.2025.107245

Yan Ding , Changzheng Li , Sisi Ye

引用次数: 0

Abstract

Using data from the Shanghai Stock Exchange, Shenzhen Stock Exchange, Interbank Dealers Association, and National Development and Reform Commission spanning 2014–2022 as well as the difference-in-difference technique, this study examines the transmission effect of real estate risk events on municipal bond spreads. Findings reveal that municipal investment bond spreads in risk-sensitive areas increase significantly after a real estate risk event. However, this impact is mitigated by strengthening the government's guarantee ability. Furthermore, this study highlights that real estate risk events have a greater impact on low-credit-rated municipal investment bonds than on high-credit-rated ones, with potential implications for financial market stability and government credit.

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房地产风险对市政债券价差的传导效应

本研究利用上海证券交易所、深圳证券交易所、银行间交易商协会和国家发展和改革委员会 2014-2022 年的数据以及差分法，研究了房地产风险事件对市政债券利差的传导效应。研究结果表明，房地产风险事件发生后，风险敏感地区的市政投资债券利差会显著上升。然而，通过加强政府的担保能力，这种影响得到了缓解。此外，本研究还强调，房地产风险事件对低信用等级市政投资债券的影响大于对高信用等级市政投资债券的影响，对金融市场稳定和政府信用具有潜在影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance