主 题：Does China's Debt-for-Bond Swap Reduce Banks' Risk?
摘 要：China's local government debt (LGD) has grown rapidly since aggressive fiscal stimuli were introduced 2009 in the wake of global financial crisis. Commercial banks have been the main creditors of the LGD. As Chinese economy slows down, there payment ability and associated risk incurred to the banking sector have become a growing concern. The State Council thus introduced the debt-for-bonds wap program on March 12th 2015. Using an augmented CAPM with the panel data of 14 Chinese domestic commercial banks listed on the Shanghai Stock Exchange, we examine the market-perceived effect of the swap program on the systematic risk of banks. We find that there is a significant decrease in the share price beta of the banks, suggesting that the market has recognized a risk-reducing effect of the debt swap. We further decompose this beta effect into a volatility component and a market correlation component. The results show that the decrease in beta is largely due to a decrease in the variance of banks relative to the market. The market correlation effect is relatively small. Therefore,the debt-for-bond swap plays lesser role in reducing systemic risk than reducing banks' individual risk.