The SOE Premium and Government Support in China's Credit Market
通过整合信用风险、流动性和政府救助的结构性违约模型，研究中国信贷市场，发现价格发现改善且国企与非国企分化加剧，政府救助使国企债券更值钱并扩大国企溢价，同时非国企相对国企业绩恶化。
ABSTRACT Studying China's credit market using a structural default model that integrates credit risk, liquidity, and bailout, we document improved price discovery and a deepening divide between state‐owned enterprises (SOEs) and non‐SOEs. Amidst liquidity deterioration, the presence of government bailout helps alleviate the heightened liquidity‐driven default, making SOE bonds more valuable and widening the SOE premium. Meanwhile, the increased importance of government support makes SOEs more sensitive to bailout, while the heightened default risk increases non‐SOEs' sensitivity to credit quality. Examining the real impact, we find severe performance deteriorations of non‐SOEs relative to SOEs, reversing the long‐standing trend of non‐SOEs outperforming SOEs.