Corporate bond defaults and spillover effects on bank risk: Evidence from city commercial banks in China

作者：Haoyu Gao, Yiling Ouyang, Yaxin Wang · 发表于：Research in International Business and Finance · 年份：2024 · DOI：10.1016/j.ribaf.2024.102252 · 被引用次数：9 · 研究领域：Banking stability, regulation, efficiency、Credit Risk and Financial Regulations、Corporate Finance and Governance

This paper examines the spillover effects of corporate bond defaults on the non-performing loans of local city commercial banks. Using a staggered difference-in-differences model, we find that the emergence of corporate bond defaults significantly increases the non-performing loans of local banks. The spillover effects are pronounced in less diversified banks. Mechanism analyses show that the illiquidity contagion rather than the deteriorating fundamentals of local borrowers accounts for the rise in non-performing loans. We exclude the risk-taking explanation. Our findings suggest that bond defaults have spillover effects on the risk of local banks.