Rigid payment breaking, default spread and yields of Chinese treasury bonds
The North American Journal of Economics and Finance(2022)
Abstract
•We use default spread index to proxy the degree of rigid payment breaking.•Representative events of rigid payment breaking have a negative impact on the yields of Chinese Treasury bonds.•This impact is heterogeneous across the bonds with different maturities.•But the non-representative events of rigid payment breaking do not influence the yields of treasury bonds.
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Key words
G11,G12,G28
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