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Asymmetric credit risk pathways in china’s green bond market: A Conjunctural analysis using modified PFM and fsQCA

Author

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  • Li, Jiapei
  • Chen, Chuangbin
  • Wu, Zhenrui

Abstract

This research pioneers a configurational analysis of credit risk in China’s green bond market through integrated application of a newly designed modified-Private Firm Model and fuzzy-set Qualitative Comparative Analysis. Leveraging issuer data from 2015–2022, we address critical gaps in assessing non-listed entities and differentiating risk pathways between labelled/non-labelled bonds. Labelled bonds exhibit higher average default risk despite certification benefits, with 93.07 % AAA-rated vs 97.79 % for non-labelled counterparts. Non-labelled issuers face elevated risks from subsidy dependence and overinvestment-driven configurations. fsQCA identifies nine distinct risk pathways for non-labelled bonds versus five for labelled, with macroeconomic resilience strongly tied to certification status.

Suggested Citation

  • Li, Jiapei & Chen, Chuangbin & Wu, Zhenrui, 2025. "Asymmetric credit risk pathways in china’s green bond market: A Conjunctural analysis using modified PFM and fsQCA," Finance Research Letters, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325008852
    DOI: 10.1016/j.frl.2025.107626
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