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Abstract: Using the spatial dynamic panel model improved by the method of information transfer entropy, this paper empirically studies the risk formation, contagion and key influencing factors of the government, finance, state-owned enterprises, and private enterprises based on China’s bond market data. Main findings are as follows: Firstly, financial risk spillover follows an endogenous and asymmetric path, and financial sector is more vulnerable to risk infection. Secondly, high leverage does not necessarily increase the risk, which may depend on the "original" demand behind the increase of leverage. However, we should lay stress on the risk of leverage accumulation. Thirdly, the sector difference of bond duration is expanding, moreover, the impact of duration on financial risk is becoming increasingly significant. Fourthly, policy uncertainty has no significant impact on financial risk, which is possibly due to the internal balance mechanism of China's macro-control policy and the low sensitivity of financial market subjects to policy. Finally, public's expectation is basically consistent with the actual economic trend, which reflects that the cognitive bias of micro entities on the economic situation is not large. But the public's expectation index has no significant impact on financial risk, which may show that the logical relationship between behavior and cognition is still vague.

Full text: Leverage Ratios in Different Sectors, Policy Uncertainty, Public Expectations and Cross-sectoral Contagion of Financial Risks: A Spatial Econometric Analysis Based on the Information Transfer Entropy of the Bond Market