一、主讲学生与论文题目：
王文龙（2017级博士生）
Essays on Implicit Government Guarantees in China’s bond market
Paper 1: The Intra-regional Spillover Effects of Bond Defaults: Evidence from the Chinese Corporate Debt Market
Paper 2: The Spillover Effects of Implicit Government Guarantee Allocation: Evidence from China
Paper 3: Pricing of Subordinated Perpetual Bonds and the Role of Implicit Government Guarantee: Evidence from China
二、时间：2026年5月25日（周一）晚上20:00-22:00
三、地点：腾讯会议
四、点评与讨论教师：
王忏 中央财经大学金融学院 副教授
朱菲菲 中央财经大学金融学院 副教授
王昱衡 中央财经大学金融学院 助理教授
五、主持人：王忏 中央财经大学金融学院 副教授
六、论文摘要
Paper1
Title: The Intra-regional Spillover Effects of Bond Defaults: Evidence from the Chinese Corporate Debt Market
Abstract: Taking the first bond defaults in each province in China as credit events, we adopt a staggered difference-in-difference model and find that credit spreads of other corporate bonds in the same province increase by 15 basis points, suggesting spillover effects. The spillover effects are stronger on local state-owned enterprises (LSOEs) and non-state-owned enterprises (Non-SOEs) than on central state-owned enterprises (CSOEs). Moreover, the defaults of LSOEs trigger the greatest spillover effects among all types of defaults. Provinces with higher guarantee capability experience fewer spillover effects. Our findings suggest intra-regional spillover effects from investors’ shaken beliefs on implicit government guarantees.
Paper2
Title: The Spillover Effects of Implicit Government Guarantee Allocation: Evidence from China
Abstract: Prior studies document the existence and impacts of implicit government guarantees (IGGs) in the credit market, but their allocation and effects remain unclear. We examine local government financial vehicles (LGFVs) in China, which are state-owned enterprises primarily owned by local governments and whose ratings are linked to the IGGs they receive. Analyzing the first rating upgrades of LGFVs, which signal IGG allocation, we find that credit spreads on bonds issued by other LGFVs in the same prefectures increase by an average of 28 basis points. These spillover effects are more pronounced for LGFVs owned by lower-level governments and in prefectures with lower guarantee capability. Affected LGFVs shift their financing from bonds to bank loans. At prefecture-level, IGG allocation enhances overall bond financing capacity. Our findings suggest that as debt burdens rise, government IGG allocations, aimed at optimizing overall financing, will worsen bond pricing for guarantee-unpreferred firms.
Paper3
Title: Pricing of Subordinated Perpetual Bonds and the Role of Implicit Government Guarantee: Evidence from China
Abstract: Leveraging the unique coexistence of subordinated and non-subordinated perpetual bonds in China’s bond market, we quantify the pricing of subordination provisions. Our results show subordinated perpetual bonds carry an average 11 basis points premium at issuance. Through the credit risk channel, we document that implicit government guarantees lead to minimal subordination spreads for state-owned enterprise (SOE) issuers, whereas non-SOEs bear substantial 120 basis points subordination premiums. Employing first intra-city bond defaults as shocks, we establish evidence of implicit guarantees’ impact on subordination pricing. Furthermore, the effective non-perpetuity due to call provisions influences subordination spreads by altering credit risk expectations. Finally, we find liquidity channels do not affect subordination pricing. Our study advances the literature on perpetual bond valuation and subordination risk pricing, while broadening known mechanisms through which implicit guarantees distort credit pricing.
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撰稿：张莹
审核：杜涣程
