Persistent government debt and aggregate risk distribution

Croce, Mariano Massimiliano; Nguyen, Thien Tung; Raymond, Steve

doi:10.1016/j.jfineco.2021.01.004

Cited by 24 publications

(4 citation statements)

References 65 publications

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“…Researchers suggest fiscal rules are not important anymore in difficult times [20]. Also, there are provokes claiming while the debt of a nation is high, cutting the debt level will improve the welfare of the citizens [21]. e action of the Chinese central bank indicates the economy is not ready for a strict tight money supply at this moment because the policy brings fluctuations to the currency market.…”

Section: Discussionmentioning

confidence: 99%

Risk Evaluation on China Government Bonds with EWMAVaR and SVM Methods

Ouyang

2021

Security and Communication Networks

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This research studies the strategy of risk evaluation of China government bonds with the latest data. The angle of evaluation focuses on the interest rate and the stability risk, employing the EWMAVaR and SVM methods. The weights of each risk indicator are determined by the entropy method. Experimental results show that the risk of government bonds is stable in recent years. However, the impact of COVID-19 cannot be ignored because the risk level increased in the year 2020. The issuing of one trillion special antipandemic bonds could explain the fluctuation of the market because the fiscal incomes of Chinese government decreased in 2020 and could not be recovered in a short time. The experimental results show that the method proposed in this paper has a better performance than the existing methods, and it can help well in realizing the risk assessment of government bonds.

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Section: Discussionmentioning

confidence: 99%

Risk Evaluation on China Government Bonds with EWMAVaR and SVM Methods

Ouyang

2021

Security and Communication Networks

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“… Liu et al. (2019) suggest that excessive production of safe asset debt may be risky, as it can increase tax income and consumption volatility, while Croce et al. (2020b) show that too much debt can hamper innovation, lower expected growth, and increase uncertainty.…”

Section: Related Literaturementioning

confidence: 99%

In sickness and in debt: The COVID-19 impact on sovereign credit risk

Augustin

Sokolovski

Subrahmanyam

et al. 2022

Journal of Financial Economics

102

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“…Specifically, Market return is buy‐and‐hold return on value‐weighted market portfolio over the calendar year. In addition, government debts and deficits may affect corporate policies and performance through influencing financing costs and aggregate risk distributions (Croce et al., 2021; Demirci et al., 2019). As government deficit increases, financing costs of fixed‐income securities also increase.…”

Section: Analyses and Resultsmentioning

confidence: 99%

Governmental unity and corporate performance

Cheng

2022

J Corp Accounting Finance

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This paper examines the impact of governmental unity on corporate performance. Calendar years are classified as united when the president, Senate majority, and House majority are all from the same political party. Results indicate that firms have higher accounting return on assets when the federal government is united than when it is not. Firms have higher accounting return on assets when federal and state governments are both united under the same party, though the structures of federal and state governments may differ in the same time episode. The positive effect of government unity on corporate performance is stronger when the firm's sales growth rate is greater and profitability more volatile. The results are consistent with united government promoting legislation efficiency and reducing uncertainty in political environments.

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Persistent government debt and aggregate risk distribution

Cited by 24 publications

References 65 publications

Risk Evaluation on China Government Bonds with EWMAVaR and SVM Methods

Risk Evaluation on China Government Bonds with EWMAVaR and SVM Methods

In sickness and in debt: The COVID-19 impact on sovereign credit risk

Governmental unity and corporate performance

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