Inter-provincial Local Government Bond Credit Risk and Its Spillover Effect—Analysis Based on Graph Attention Network Model
This paper examines local government bond credit risk and its inter-provincial spillover effect from the perspective of complex networks.Based on the monthly credit spread and its characteristic variables of local government bond in the secondary market between 2016 and 2022,this paper identifies the changes in credit spread and reveals the intrinsic connections between credit spread and bond-related characteristic indicators.A graph attention network model is employed to assess local government bond credit risk and its contributing factors and to examine the interactive effects of various factors on credit risk and how these factors directly and indirectly impact local government debt risk through complex networks.Furthermore,by analyzing the spillover effect of inter-provincial local gov-ernment bond risk,the paper identifies the mechanisms of inter-provincial transmission of local government debt risk and the character-istics of mutual risk enhancement between some provinces.Based on these conclusions,the paper proposes policy recommendations in terms of improving the risk warning system in the secondary market,enhancing the financial stability of provinces with strong risk spill-over effect,improving the debt management level of provinces with strong spillover effect,establishing risk transmission network moni-toring,and coordinating inter-provincial debt issuance mechanisms.
local government bondrisk measurerisk spillover effectgraph attention network
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