【论文速递】2022-The SOE Premium and Government Support in China‘s Credit Market

【论文原文】：The SOE Premium and Government Support in China's Credit Market

【作者信息】：Zhe Geng and Jun Pan

获取地址：
Credit_202103.pdf (sjtu.edu.cn)https://en.saif.sjtu.edu.cn/junpan/Credit_202103.pdf

博主关键词：国有企业溢价；政府救助；结构性违约；流动性危机；中国信用市场

摘要：

Studying China’s credit market using a structural default model that integrates credit risk, liquidity, and bailout, we document improved price discovery and deepening divide between state-owned enterprises (SOEs) and non-SOEs. Amidst liquidity deterioration, the presence of government bailout helps alleviate the heightened liquidity-driven default, making SOE bonds more valuable and widening the SOE premium. Meanwhile, the increased importance of government support makes SOEs more sensitive to bailout, while the heightened default risk increases non-SOEs’ sensitivity to credit quality. Examining the real impact, we find severe performance deteriorations of non-SOEs relative to SOEs, reversing the long-standing trend of non-SOEs outperforming SOEs.