PLEDGEABILITY AND ASSET

PRICES: EVIDENCE FROM

CHINESE CORPORATE BOND

MARKETS

ZHIGUO HE (何治国)

PROFESSOR OF FINANCE

UNIVERSITY OF CHICAGO, BOOTH SCHOOL OF BUSINESS; AND NBER

JOINT WITH H. CHEN, Z. CHEN, J. LIU AND R. XIE

INTRODUCTION EQUILIBRIUM ASSET PRICES DEPENDS

ON BOTH FUNDAMENTAL AND LIQUIDITY Duffie (2010) presidential address

WHAT EXACTLY IS “LIQUIDITY”? This paper looks at asset pledgeability, i.e., the ability to

be used as collateral to borrow

Study the effect of haircut (or margin; Duffie, 1996;

Garleanu & Pederson, 2010)

WHY CHINESE BOND MARKETS ARE

SUITABLE FOR THIS QUESTION? Same bond traded on two different markets, with different

trading protocols

An unexpected policy shock hit haircuts on one market

sharply

CHINESE BOND MARKETS TWO MARKETS WHERE CORPORATE

BONDS ARE TRADED IN CHINA

Exchange (EX) markets, centralized Repo transactions are done with exchange

Haircuts set uniformly by the exchange, mainly based

on ratings

Interbank (IB) markets, Over-The-Counter based Repo transactions are bilateral

Haircuts set via negotiation, and trading-partner

dependent

LIQUIDITY PREMIUM/DISCOUNT IN

EXCHANGE MARKET Relative to the interbank market, for the same bond

The higher the rating, the higher the premium

SUMMARY OF RESULTS

DEC 8TH, 2014, THE EXCHANGE MARKET RAISE

HAIRCUT OF SOME BONDS

Bonds with ratings AA+ and AA were affected

Policy largely as a surprise

EVENT STUDY OF EXCHANGE MARKET PREMIA

Treatment group (AA+, AA) down

While AAA (higher rating) and AA- (lower rating) flat or up

ESTIMATE HOW PLEDGEABILITY AFFECTS

ASSET PRICES, USING POLICY SHOCK AS IV

Using exchange premium, likely underestimate

Using spread over matched-AAA but otherwise similar bonds (in

pledgeability and yield). Likley overestimate

PLEDGEABILITY AND ASSET PRICING

DUFFIE (1996)

Borrowing rate 𝑅 using general collaterals (normalized price 1)

Some “special” collateral, with a lower financing rate 𝑟 < 𝑅

The equilibrium price 𝑃 =1+𝑅

1+𝑟≈ 1 + 𝑅 − 𝑟 > 1

𝑅 − 𝑟 > 0 is a particular form of convenience yield (or,

negative carrying cost)

A SIMPLE FRAMEWORK

Collateralized borrowing rate 𝑟 with normalized price 1

Uncollateralized borrowing rate 𝑅 > 𝑟; and haircut ℎ

Then similar argument yields 𝑃 =1+𝑟

1+ 1−ℎ 𝑟+ℎ𝑅≈ 1 − ℎ 𝑅 − 𝑟

The equilibrium price decreases with the haircut ℎ

Carrying cost ℎ 𝑅 − 𝑟 increasing in haircut ℎ

THE RAPID DEVELOPMENT OF CHINESE BOND MARKETS

0%

50%

100%

150%

200%

250%

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Bond Outstanding as % of GDP

US Bond/GDP % China Bond/GDP %

0%

50%

100%

150%

200%

250%

300%

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Bond Outstanding as % of Stock Market Capitalization

US Bond/Stock % China Bond/Stock %

• Ranked the third after US and Japan in 2017

TWO BOND MARKETS IN CHINA

COEXISTENCE OF EXCHANGE MARKET AND

INTERBANK MARKET

Exchange market was dominating before 1997

But bond repo transactions helped fuel the stock market boom

during the first half of 1997

June 1997, PBOC pushed all commercial banks to the newly

established interbank market

TWO SEPARATE MARKETS UNTIL 2005

Corporation bonds on exchange market while enterprise

bonds on interbank market

Starting 2005, led by NDRC, exchange market offers access

for enterprise bonds (issued by SOEs)

Most of enterprise bonds are dual-listed (more than 90%)

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0

100

200

300

400

500

600

700

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Du

al-lis

ted

fractio

nE

nte

rpri

se b

on

d issu

an

ce (

bil

lio

n R

MB

)

The Fraction of Dual-listed Enterprise Bond Issuance

All Dual-listed Dual-listed %

OUR SAMPLE: DUAL-LISTED

ENTERPRISE BONDS

SEGMENTED MARKETS

EXCHANGE VS INTERBANK

BOND MARKET LIQUIDITY: CHINA VS US

Mechanism Trade Size Trading

FrequencyParticipants

Exchange Order-driven Small HighMutual funds; security firms;

insurance; retails

Interbank Quote-driven Large Low

Banks; rural credit unions;

mutual funds; security firms;

insurance

China: Interbank China: Exchange US*

ZDays 0.8886 0.8133 0.7882

ZDays_w/trade 0.8877 0.7980 0.7094

Turnover 0.0121 0.0010 0.0015

Turnover_w/trade 0.1205 0.0077 0.0070

Amihud 0.0002 2.5423 0.4881

SEGMENTED MARKETS

(LIMITS TO) ARBITRAGE

Buying a security in one market and selling in the other

requires the application for transfer of depository

Lengthy process: 3 days for enterprise bonds (1 day for

Treasuries) from exchange market to interbank market

And a bit harder for IBEX

EXCHANGE PREMIUM

WE FOCUS ON DUAL-LISTED BONDS Sample period: 06/09/2014 to 06/08/2015

Calculate credit spreads based on transaction prices

Credit ratings: AAA, AA+, AA, and AA-

EXCHANGE PREMIUM: IB SPREAD – EX SPREAD

0.41%

0.15%

0.03%

-0.26%

-0.30%

-0.15%

0.00%

0.15%

0.30%

0.45%

0.60%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

AAA AA+ AA AA-

EX

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IB and EX credit spread, 6/9/2014-12/8/2014

IB spread EX spread IB-EX, EX premium

RATING-BASED PLEDGEABILITY REPO ARE POPULAR IN BOTH MARKETS

In exchange market, investors can borrow directly from the

exchange (the central counterparty) according to the bond’s

published “pledgeability”

In interbank market, terms are determined by bilateral bargaining

PLEDGEABILITY IN EX MARKET Borrowing capacity quoted as a fraction of bond face value, when

using the bond as collateral

Pledgeability largely depends on credit ratings, besides volatility,

turnover, etc Rating explains 81.4% of variation in pledgeability

…while a kitchen-sink approach explains 82.0%

HIGH RATING BONDS ENJOY EXCHANGE PREMIA The ease of repo transactions in exchange market (the counterpart

is always there!)

Transparency in the ability to obtain collateralized borrowing

EVENT: DEC 8TH, 2014 BACKGROUND (CHEN, HE, & LIU, 2017)

2009 stimulus funded by massive local government debt

Rapid growth of Municipal Corporate Bonds (MCB) in 2012-2013

MCB is a form of enterprise bonds, largely dual-listed

In 2014 regulators started several rounds of coordinated effort in

curbing the local government debt problem

E.g., swap program (swap between MCB and municipal bonds)

NIGHT OF DEC 8TH, 2014, EXCHANGE MARKET

Cutting pledgeability of AA+ and AA rated enterprise bonds to ZERO!

INTERESTING POLICY SHOCK

Exchange market is not the main gate-keeper/regulator of MCB, but

took an unexpected aggressive move

Significant market reactions (next slide)!

As usual, blunt policy tools depending on coarse credit ratings

HAIRCUT ACROSS RATINGS DURING EVENT

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Haircut of Dual-Listed Bonds across Ratings

AAA AA+ AA AA-

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

Credit Spreads of Dual-listed Bonds: EX Market

AAA AA+ AA AA-

YIELD SPREADS ACROSS RATINGS DURING EVENT

YIELD SPREADS ACROSS RATINGS DURING EVENT

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

Credit Spreads of Dual-listed Bonds: IB Market

AAA AA+ AA AA-

EXCHANGE PREMIA

0.41%

0.15%

0.03%

-0.26%

-0.30%

-0.15%

0.00%

0.15%

0.30%

0.45%

0.60%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%E

X p

rem

ium

cre

dit

sp

rea

dIB and EX credit spreads, pre event

0.14%

-0.17%-0.26%

-0.06%

-0.30%

-0.15%

0.00%

0.15%

0.30%

0.45%

0.60%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

AAA AA+ AA AA-

EX

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IB and EX credit spreads, post event

IB spread EX spread IB-EX, EX premium

FIRST CUT OF DIFF-IN-DIFF RESULT Dual-listed & within-two-day-window trading fundamental is fully controlled

Across ratings, treatment and control groups

CONVINCING WITH TWO CONTROL GROUPS AAA is with lower credit risk, while AA- is higher

Rule out “macro shocks and lower-rating bonds are just more sensitive”

EX PREMIUM DURING EVENT (1)

-0.4%

-0.3%

-0.2%

-0.1%

0.0%

0.1%

0.2%

0.3%

0.4%

(-45,-27] (-27,-9] (-9,0) (0,9] (9,27] (27,45]

EX premia across ratings, sample with two-day-window trading

HighRating (AAA) MidRating (AA+&AA) LowRating (AA-)

EX PREMIUM DURING EVENT (2)

DIFF-IN-DIFF RESULT WITH CONTROLS

For bond 𝑖 at date 𝑡, define 𝐼𝑖,𝑡𝑗,𝑇

= 1 if its rating is 𝑗 ∈

𝐴𝐴𝐴,𝐴𝐴+,𝐴𝐴, 𝐴𝐴−, at 𝑡 ∈ 𝑇, 0 otherwise

Controls include:

Bond level characteristics: Coupon, Leverage, Size, Time to

maturity, Turnover ratio

Macro factors: Term Spread, SHIBOR, CDB Spot, Stock

Market Index

/ ,

, , , , ,

,

IB EX j T

i t j T i t i t i t

j T

s k I controls

EX PREMIA DURING EVENT (3)

F-test statistics on difference in coefficients between (-9,0) and (0,9]:Control vs Treat: F=5.51; p-value: 0.01 (one-side) High vs. Mid: F=2.59; p-value=0.05 Low vs Mid: F=3.92; p-value=0.03

-0.4%

-0.3%

-0.2%

-0.1%

0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

(-45,-27] (-27,-9] (-9,0) (0,9] (9,27] (27,45]

EX premia, with control, dual-listed and within-two-day window trading

HighRating (AAA) MidRating (AA+&AA) LowRating (AA-)

IV ESTIMATE OF THE EFFECT OF PLEDGEABILITY

INSTRUMENTAL VARIABLE:

𝑆ℎ𝑜𝑐𝑘𝑖,𝑡 =1 for bond 𝑖 at date 𝑡 if its rating ∈ 𝐴𝐴+, 𝐴𝐴 and 𝑡 is after

Dec 8th, 2014; zero otherwise

USUAL TWO-STAGE STEPS First stage, regress pledgebility rate on shocks

Second stage, regress EX premia on fitted pledgeability

Similar control variables as before Bond level characteristics: Coupon, Leverage, Size, Time to maturity,

Turnover ratio

Macro factors: Term Spread, SHIBOR, CDBSpot, Stock Market Index

SAMPLE: DUAL-LISTED AND WITHIN-TWO-DAY-

WINDOW TRADING IN TWO MARKETS

Same-day trading sample as robustness check

*Clustered by Bond and Year-Week

FIRST STAGEDependent Var:

Haircut

(1) (2) (3) (4) (5) (6)

Full AA+ & AA AA+ AA

Shock 0.719*** 0.440*** 0.722*** 0.696*** 0.777*** 0.631***

(58.442) (8.885) (59.416) (31.931) (24.146) (26.409)Maturity -0.038 0.012 0.025 -0.009

(-0.336) (0.209) (0.226) (-0.148)

Turnover Ratio -0.064* -0.031 -0.059* -0.020

(-1.914) (-1.549) (-1.705) (-0.850)

Size -0.060 0.034 0.035 0.042

(-0.600) (0.711) (0.390) (0.821)

Leverage 0.509 -0.430 0.080 -0.568

(1.342) (-1.488) (0.245) (-1.501)

CDBSpot -8.822*** -1.520 0.610 -2.369*

(-2.985) (-1.373) (0.352) (-1.817)

Term Spread -0.066 0.711 0.312 0.940

(-0.026) (0.801) (0.334) (0.771)

SHIBOR 7.636*** -0.104 -0.086 0.264

(4.916) (-0.171) (-0.127) (0.332)

Stock Index 15.078*** 1.450 0.912 2.111

(3.812) (1.010) (0.462) (1.191)

FE_bond Yes Yes Yes Yes Yes Yes

N 9614 9503 8048 7975 2995 4980

R-sq 0.879 0.922 0.964 0.964 0.963 0.970

*Clustered by Bond and Year-Week

SECOND STAGEDependent Var:

EX premium

(1) (2) (3) (4) (5) (6)

Full AA+ & AA AA+ AA

Haircut -0.003*** -0.005*** -0.003*** -0.002** -0.003** -0.001

(-6.847) (-3.871) (-7.001) (-2.134) (-2.084) (-1.331)Maturity 0.002 0.000 0.001 -0.000

(0.763) (0.075) (0.338) (-0.074)

Turnover Ratio 0.001 0.001 0.000 0.002

(0.887) (0.854) (0.069) (1.226)

Size -0.001 -0.000 -0.000 -0.000

(-0.695) (-0.076) (-0.062) (-0.032)

Leverage 0.008 0.004 0.004 0.005

(1.621) (0.664) (0.347) (0.558)

CDBSpot -0.113 -0.046 0.024 -0.091

(-1.663) (-0.894) (0.338) (-1.629)

Term Spread -0.003 -0.033 0.063 -0.083

(-0.066) (-0.630) (0.739) (-1.410)

SHIBOR 0.059* 0.005 0.038 -0.017

(1.865) (0.166) (0.936) (-0.464)

Stock Index 0.097 -0.076 0.045 -0.147**

(1.471) (-1.411) (0.525) (-2.349)

FE_bond Yes Yes Yes Yes Yes Yes

N 9614 9503 8048 7975 2995 4980

R-sq 0.474 0.474 0.465 0.470 0.349 0.536

IV ESTIMATE OF THE EFFECT OF PLEDGEABILITY

OUR ESTIMATE BASED ON IB/EX SPREAD

IS LIKELY TO BE DOWNWARD BIASED

The IB prices of bonds hit by EX policy are affected as

well due to potential arbitrage, over-controlling

ANOTHER ESTIMATE BASED ON MATCHED

AAA EXCHANGE BONDS

AAA bonds with the same pledgeability and yield spread;

but free of policy shock

Note: no longer traded simultaneously on both markets

*Clustered by Bond and Year-Week

SECOND STAGEDependent Var:

(Spread of matched AAA-

Spread of the bond)

(1) (2) (3) (4)

AA+ & AA AA+ AA

Haircut -0.008*** -0.006*** -0.006*** -0.006***

(-16.962) (-6.593) (-5.858) (-4.778)Maturity 0.002 0.001 0.004

(0.856) (0.404) (1.238)

Turnover Ratio 0.011* 0.011 0.011

(1.960) (1.612) (1.196)

Size -0.005*** -0.007*** -0.003

(-2.910) (-3.058) (-1.084)

Leverage -0.023*** -0.018*** -0.029***

(-4.043) (-2.851) (-3.143)

CDBSpot 0.012 -0.001 0.055

(0.225) (-0.026) (0.657)

Term Spread 0.107 0.066 0.182*

(1.200) (0.680) (1.879)

SHIBOR -0.087** -0.086** -0.089*

(-2.556) (-2.453) (-1.987)

Stock Index -0.008 -0.054 0.072

(-0.104) (-0.697) (0.685)

FE_bond Control Control Control Control

N 16735 16611 10612 5995

R-sq 0.677 0.687 0.667 0.710

IV ESTIMATE OF THE EFFECT OF PLEDGEABILITY

ECONOMIC MAGNITUDE 1% of pledgeability translates to ~0.6 bps of yield change,

about 3.7 cents price change for an average dual-listed bond

SENSITIVITY TABLE Price change given an X% change in pledgeability for Y year

maturity

Yield: 6.45%, coupon rate: 6.62%, face value: 100

5% 20% 40%

5 Y 0.13 0.50 1.00

10 Y 0.22 0.87 1.74

20 Y 0.34 1.35 2.69

Magnitude = 0.6 bps

5% 20% 40%

5 Y 0.10 0.42 0.84

10 Y 0.18 0.73 1.45

20 Y 0.28 1.12 2.24

Magnitude = 0.5 bps

5% 20% 40%

5 Y 0.17 0.67 1.34

10 Y 0.29 1.16 2.32

20 Y 0.45 1.79 3.59

Magnitude = 0.8 bps

CONCLUSION DOCUMENT CAUSAL EFFECT OF PLEDGEABILITY

ON ASSET PRICES Dual-list bonds, free of fundamental concerns

Differential reactions based on ratings

QUANTIFY THE EFFECT OF ASSET

PLEDGEABILITY First paper (to our knowledge) to estimate the effect of pledgebality

on asset prices

20% of pledgeability translates to ~12 bps of yield change, about 74

cents of price decrease for an average dual-listed bond.

For a 10-year bond, the price change is even larger at 87 cents

CHINESE BOND MARKETS ARE AT LEAST

EQUALLY INTERESTING COMPARED TO US BOND

MARKET

BOND MARKET LIQUIDITY COMPARISON BETWEEN US AND CHINA

CHINA AND US BOND MARKET LIQUIDITY

China: Interbank China: Exchange US*

ZDays 0.8886 0.8133 0.7882

ZDays_w/trade 0.8877 0.7980 0.7094

Turnover 0.0121 0.0010 0.0015

Turnover_w/trade 0.1205 0.0077 0.0070

Amihud 0.0002 2.5423 0.4881

*US bond liquidity measures are for the period of 01/01/2010 to 12/31/2014 from

Andersen and Stultz (2017)

INTERBANK AND EXCHANGE ENTERPRISE BONDS

Interbank Exchange

ZDays 0.9005 0.9001

ZDays_w/trade 0.8988 0.8996

Turnover 0.0105 0.0100

Turnover_w/trade 0.1198 0.1146

Amihud 0.0004 0.0003

SAMPLE COVERAGE SMALL WITHIN-TWO-DAY BOND-DAY SAMPLE COVERAGE

OVER DUAL-LISTED ENTERPRISE BONDS

All AAA AA+ AA AA-

Exchange 13.3% 6.3% 11.3% 17.2% 14.3%

Interbank 23.5% 18.4% 29.6% 20.1% 35.4%

SMALL WITHIN-TWO-DAY BOND SAMPLE COVERAGE OVER

DUAL-LISTED ENTERPRISE BONDS

All AAA AA+ AA AA-

Exchange 64.4% 45.7% 64.8% 69.8% 59.8%

Interbank 51.7% 43.5% 54.0% 53.2% 46.3%

EXCHANGE PREMIUM-ROBUSTNESS

WE FOCUS ON DUAL-LISTED BONDS Sample period: 06/09/2014 to 06/08/2015

Calculate credit spreads based on transaction prices

Credit ratings: AAA, AA+, AA, and AA-

EXCHANGE PREMIUM: IB SPREAD – EX SPREAD

0.40%

0.15%

0.02%

-0.23%

-0.30%

-0.15%

0.00%

0.15%

0.30%

0.45%

0.60%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

AAA AA+ AA AA-

EX

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IB and EX credit spread, 6/9/2014-12/8/2014

IB spread EX spread IB-EX, EX premium

EXCHANGE PREMIA-ROBUSTNESS

0.40%

0.15%

0.02%

-0.23%

-0.30%

-0.15%

0.00%

0.15%

0.30%

0.45%

0.60%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%E

X p

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dIB and EX credit spreads, pre event

0.13%

-0.18%-0.27%

-0.07%

-0.30%

-0.15%

0.00%

0.15%

0.30%

0.45%

0.60%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

AAA AA+ AA AA-

EX

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d

IB and EX credit spreads, post event

IB spread EX spread IB-EX, EX premium

-0.5%

-0.4%

-0.3%

-0.2%

-0.1%

0.0%

0.1%

0.2%

0.3%

0.4%

(-45,-27] (-27,-9] (-9,0) (0,9] (9,27] (27,45]

EX Premia across ratings, sample with same-day trading

HighRating (AAA) MidRating (AA+&AA) LowRating (AA-)

EVENT

FIRST CUT OF DIFF-IN-DIFF RESULT Dual-listed and same-day trading fundamental is fully controlled

Across ratings, treatment and control groups

CONVINCING WITH TWO CONTROL GROUPS AAA is with lower credit risk, while AA- is higher

Rule out “macro shocks and lower-rating bonds are just more sensitive”

EX PREMIUM DURING EVENT-ROBUSTNESS TEST

EX PREMIA DURING EVENT WITH CONTROLS - ROBUSTNESS TEST

-0.6%

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

(-45,-27] (-27,-9] (-9,0) (0,9] (9,27] (27,45]

EX Premia, with control, dual-listed and same-day trading

HighRating (AAA) MidRating (AA+&AA) LowRating (AA-)

EVENT

*Clustered by Bond and Year-Week

FIRST STAGE-ROBUSTNESSDependent Var:

Haircut

(1) (2) (3) (4) (5) (6)

Full AA+ & AA AA+ AA

Shock 0.734*** 0.420*** 0.738*** 0.738*** 0.806*** 0.676***

(49.438) (7.410) (51.350) (34.633) (25.922) (41.060)Maturity -0.068 -0.014 0.051 -0.045

(-0.483) (-0.201) (0.342) (-0.710)

Turnover Ratio -0.082** -0.042 -0.041 -0.034

(-2.231) (-1.631) (-0.854) (-1.122)

Size -0.168 -0.028 0.005 -0.047

(-1.543) (-0.531) (0.045) (-1.447)

Leverage 0.825* -0.178 0.119 -0.319

(1.991) (-0.581) (0.328) (-0.870)

CDBSpot -9.257*** -1.663 0.744 -2.713

(-2.693) (-1.241) (0.358) (-1.533)

Term Spread -0.391 -0.091 0.381 0.379

(-0.134) (-0.087) (0.288) (0.266)

SHIBOR 8.777*** -0.965* -0.578 -0.987

(4.809) (-2.008) (-0.987) (-1.498)

Stock Index 16.793*** -1.273 0.934 -1.361

(3.469) (-0.836) (0.315) (-1.083)

FE_bond YES YES YES YES YES YES

N 3080 3050 2535 2514 943 1571

R-sq 0.866 0.927 0.971 0.971 0.967 0.979

*Clustered by Bond and Year-Week

SECOND STAGE-ROBUSTNESSDependent Var:

EX premium

(1) (2) (3) (4) (5) (6)

Full AA+ & AA AA+ AA

Haircut -0.003*** -0.006*** -0.004*** -0.003** -0.006*** -0.001

(-5.414) (-3.405) (-5.601) (-2.651) (-3.428) (-0.935)Maturity -0.001 -0.002 0.000 -0.003

(-0.358) (-0.791) (0.079) (-1.189)

Turnover Ratio 0.000 0.001 -0.000 0.001

(0.338) (0.376) (-0.017) (0.797)

Size -0.001 -0.000 0.002 -0.002

(-0.634) (-0.050) (0.370) (-0.575)

Leverage 0.009 0.002 0.005 0.003

(1.432) (0.265) (0.386) (0.210)

CDBSpot -0.118 -0.071 -0.018 -0.092

(-1.536) (-1.225) (-0.202) (-1.472)

Term Spread -0.015 -0.066 -0.016 -0.088

(-0.248) (-1.102) (-0.146) (-1.246)

SHIBOR 0.057* 0.025 0.114** -0.032

(1.767) (0.706) (2.328) (-0.777)

Stock Index 0.034 -0.103* 0.099 -0.237***

(0.401) (-1.875) (0.960) (-3.168)

FE_bond YES YES YES YES YES YES

N 3080 3050 2535 2514 943 1571

R-sq 0.520 0.521 0.501 0.504 0.358 0.599