Abstract
In recent years, the default rate of China's bond market has been increasing. In addition to domestic factors, the contagion of external risks may also lead to changes in China's bond market. Therefore, this paper further explores the transmission mechanism of financial risk by studying the impact of global risk index on Chinese corporate bond default. Specifically, the paper uses the VIX index to measure global risk aversion and the spread between Moody’ s corporate bonds and the Fed funds rate to measure default risk. This study finds that a one percentage point change in the VIX index can lead to a 2.3802 percentage point increase in the risk premium for US companies. This shows that the global risk aversion sentiment can spread the risk to the real economy. The research of this paper provides certain reference significance for preventing financial risks.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
