IDEAS home Printed from https://ideas.repec.org/a/wsi/serxxx/v66y2021i03ns0217590819500632.html
   My bibliography  Save this article

Analysis Of The Co-Movement Between Local Government Debt Risk And Bank Risk In China

Author

Listed:
  • CHANGJUN ZHENG

    (School of Management, Huazhong University of Science and Technology, Wuhan 430074, P. R. China)

  • SIWEI HUANG

    (School of Management, Huazhong University of Science and Technology, Wuhan 430074, P. R. China)

  • NINGYU QIAN

    (School of Management, Huazhong University of Science and Technology, Wuhan 430074, P. R. China)

Abstract

We characterize the debt risk and bank risk of local governments in China with a dynamic factor model that decomposes 31 provincial data of China into country, regional, and idiosyncratic components. The result shows the presence of co-movement between local government debt risk and bank risk. The country, regional, and province factors explain 62%, 16%, and 22% of local government debt risk, respectively, and 28%, 8%, and 64% of commercial bank risk, respectively. Sub-sample analysis reveals that the country factor has become less volatile and its importance typically increases across all provinces after the reform of local government debt financing pattern (e.g., the introduction of Document No. 43).

Suggested Citation

  • Changjun Zheng & Siwei Huang & Ningyu Qian, 2021. "Analysis Of The Co-Movement Between Local Government Debt Risk And Bank Risk In China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 66(03), pages 807-835, June.
    • Handle: RePEc:wsi:serxxx:v:66:y:2021:i:03:n:s0217590819500632
    DOI: 10.1142/S0217590819500632
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0217590819500632
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0217590819500632?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ruitao Gu & Qiaoyun Zhang & Wei Zhou & Jianxu Liu, 2022. "Judging the True Health of Finance Institutions Based on Risk Behavior and Operation Performance," Mathematical Problems in Engineering, Hindawi, vol. 2022, pages 1-21, November.
    2. Xing Li & Xiangyu Ge & Cong Chen, 2022. "Several explorations on how to construct an early warning system for local government debt risk in China," PLOS ONE, Public Library of Science, vol. 17(2), pages 1-27, February.
    3. Lei Wang & Zuchun Luo & Wenyi Wang, 2023. "Risk Contagion of Local Government Implicit Debt Integrating Complex Network and Multi-Subject Coordination," Sustainability, MDPI, vol. 15(21), pages 1-23, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:serxxx:v:66:y:2021:i:03:n:s0217590819500632. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ser/ser.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.