The effect of compound heat-drought risk on municipal corporate bonds pricing: Evidence from China

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-05-19 DOI:10.1016/j.najef.2025.102462

Ziqi Lei , Ping Li , Yujing Wang

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Abstract

This paper uses a dynamic copula model to measure compound heat-drought risk and examines its relationship with the issuing spread of China’s municipal corporate bonds. Local government financing vehicles that are more likely to be affected by compound heat-drought risk will pay more costs to issue municipal corporate bonds compared to vehicles unlikely to be affected by compound heat-drought risk. Mechanism analyses find that the compound heat-drought risk damages the solvency of local government financing vehicles and the implicit guarantee ability of local governments. Higher investor attention increases the spread of municipal corporate bonds. We also find that bonds with low credit ratings are more affected by compound heat-drought risk, and environmental actions based on green coverage rates are generally effective in reducing the compound heat-drought risk premium. Furthermore, the compound heat-drought risk has a greater impact on MCBs than extreme heat risk and extreme drought risk.

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复合热旱风险对市政公司债券定价的影响：来自中国的证据

本文采用动态联结模型对复合热旱风险进行测度，并考察其与中国市政公司债券发行价差的关系。与不太可能受到复合高温干旱风险影响的融资平台相比，更有可能受到复合高温干旱风险影响的地方政府融资平台将为发行市政公司债券支付更高的成本。机制分析发现，复合热旱风险损害了地方政府融资平台的偿付能力和地方政府的隐性担保能力。投资者关注度的提高增加了市政公司债券的价差。研究还发现，信用等级低的债券更容易受到复合热旱风险的影响，基于绿色覆盖率的环境行动通常能有效降低复合热旱风险溢价。此外，复合热干旱风险对mcb的影响大于极端热风险和极端干旱风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.