关键词: 信用风险, 地理集聚, 风险传染, 高维网络

Abstract: Now preventing the credit-risk contagion and responding to the expansion of local debt have become important issues faced by China’s regulatory authorities. We use the credit spread of municipal investment bonds in 22 provinces of China from 2017 to 2022 to construct a high-dimensional network, based on the latest Elastic Net Shrinkage and network topology framework to discuss the path evolution and driving mechanism of cross-region contagion of credit risk. The analysis results show that developed eastern provinces are located at the center of credit spread network. The bond markets of western provinces are more vulnerable, making them the net receivers in the risk contagion chain. The financing costs for western provinces are highly susceptible to external shocks. Meanwhile, our findings identify a geographical agglomeration effect in credit spread network, with the weakening of risk spillover between two provinces with the increase of geographic distance. Provinces with higher economic growth volatility are also more likely to export credit risks. Our results also show that public health emergency has a significant shock on credit risk network formation of municipal investment bonds. Our findings provide useful inspiration to prevent cross-regional contagion of credit risk, and contribute to holding the bottom line of no systemic financial risks.

Key words: Credit Risk, Geographical Agglomeration, Risk Contagion, High-dimensional Network