Implicit Guarantee,Macroeconomic Fluctuations,and Corporate Bond Pricing
The bond is structurally priced using the real options theory,including the Markov jump and endogenously incor-porating implicit guarantee action.It determines the optimal level of implicit guarantee intensity and derives explicit pricing formulas for corporate bonds with rigid repayment characteristics,along with a series of theoretical hypotheses.Subsequent-ly,structural econometric methods are applied to estimate the deep parameters,and numerical simulations are conducted to assess the cyclical effects of implicit guarantees on financial markets.It finds that:(1)The intensity of implicit guarantee is determined by fiscal surplus and corporate debt gap.A good economic situation increases the fiscal surplus and decreases the debt gap,which increases the intensity of implicit guarantee and makes it pro-cyclically;(2)Implicit guarantees reduce the corporate bond risk premium;(3)Implicit guarantee amplifies the fluctuations of credit risk premiums with the economic cycle,leading to a more pronounced volatility in the bond market.When the economic situation deteriorates,the value of land declines,which worsens the liquidity of enterprises and reduces the intensity of implicit guarantee,and leads to a sub-stantial increase in bond risk premium.
implicit guaranteemacroeconomic fluctuationcorporate bond pricinghigh-quality development of capital market
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