Research On Credit Spread Of Chinese Corporate Bonds

From " Chaori bond" default in April 2014, to "Xiange bond" default principal, to "11 Tianwei MTN2" which issued by state-owned enterprises default, to "13 Dahong bond" which is belong to private bond of small and medium enterprises default, bond credit risk became frequent. Research on corporate bond credit spreads which representative credit risk has important significance. Although corporate bond credit spread have been mature in foreign research literature, domestic scholars pay attention to the research in this field since 2000, and most research is based on corporate bond which issued in the inter-bank bond market. To this end, comprehensive research on corporate bond which issued in the stock exchange market become particularly prominent.In this paper, we take the corporate bond which issued and traded in the stock exchange from September 2007 to November 2014 as the research sample. We use the quantitative empirical analysis as the main theory, and supplement the qualitative analysis. We comprehensive research the related factors which include the macro level of economy, market and regional system, the microcosmic level of corporate overall situation, information disclosure and guarantee, the ticket level of issue characteristics and liquidity risk on the impact of corporate bond spread. We compare the interpretation degree of different levels factors to bond spread. Then, based on the N-S model, we fit the bond credit spread curve, analysis the dynamic change of credit spread curve in the different grade bond between themselves and mutual.First, the paper theoretically analyze the macro factors that may affect the credit spread of corporate bond. Combined corporate bond sample data, the result of empirical study indicate:On the economic level, the volatility of GDP and GDP can significantly reduce credit spread of corporate bond, increase of the broad money supply and expansion of the produce price will increase corporate bond credit spread at the corresponding level, but the impact of consumer level and corporate bond credit spread is not very significant. On the market level, risk-free interest rate and exchange rate will significant increase corporate bond credit spread, volatility of stock market returns will reduce corporate bond credit spread at a certain extent. On the regional institutional environment level, good regional environment level and higher market degree which company belong will make the corporate bond credit spread be significantly smaller. The overall fit goodness of regression model reached 0.336, that indicate the macro level factors is a very important proportion in the interpretation of corporate bond credit spread.Second, the paper analyze the micro factors that may affect the credit spread of corporate bond. For the micro level, the study of factors that affect corporate bond credit risk will be more considered. The result of empirical study indicate:On the company’s unique nature, the size of company is greater and return of corporate asset is higher, the corporate bond credit spread will be greater. The high asset liability rate and large cash flow rate will increase company business uncertainty, enhancing the company credit risk, thereby increasing the corporate bond credit spread. On the whole, the impact of company’s stock volatility on corporate credit spread is not significant. The status of company information disclosure is increasingly subject to the attention of bond investor, lower information asymmetry and higher information disclosure quality can significant reduce the corporate bond credit spread. On the implicit guarantee of government, the company has a large social bankruptcy cost and the property rights of company belong to the state-owned enterprise, due to the special care of government, the probability which the corporate credit risk occurrence became small, corporate bond credit spread will be lower. The overall fit goodness of regression model reached 0.372, that indicate credit risk is still the main factor to explain the bond credit spread.Third, in order to analyze the impact factors of bond itself, we consider bond issue characteristics and liquidity risk on the ticket level which belong to non credit risk factors. The result of study indicate:On the corporate bond ticket level, the credit rating which representative credit risk and bond issuance scale will be significantly negative to the corporate bond credit spread. The bond residual term is longer and the bond issue period is longer, credit spread is generally larger. When we analysis the special term of corporate bond, the guaranteed will have a smaller credit spread. However, the guarantee clause of corporate bond is not very significant to the high level of bond such as the level of AAA. The credit spread of bond that have a time back will be smaller. On the liquidity factor, the liquidity of bond is higher, the probability which the corporate credit risk occurrence became small, credit spread will be smaller. The overall fit goodness of regression model reached 0.39, it is above the macro and micro level factors. That indicate he ticket level which belong to non credit risk factors is a larger proportion in our country’s bond credit spread. Used the the model of non balanced panel data, cosidering the factors of various factors, the results of empirical analysis are consitent with the previous results.Rational design of bond type is the key to reduce the corporate bond credit spread.Forth, the paper explored the structural characteristics of credit spread curve between different bond rating. The spread curve of AAA, AA+, AA and AA-four kinds corporate bond were fitted. The ARMA model is established, and from adjusted goodness fit of model the ARMA model is more suitable for the corporate bond credit spread which is AAA, AA+, and AA rating series. From test the ARCH model, we find bond credit spread which have AAA and AA+rating exist volatility aggregation. VAR model of credit spread in different rating bond has been construction, we find the correlation between different rating bond credit spread is obvious, but through Grainger causality test, any one rating bond credit spread is not affected by the lag term of rest bond credit spread.Fifth, the paper studies the status quo of China’s corporate bond market development. We get the development of China’s corporate bond market size continues to expend, but total is relatively small when it compared to the other types of bond, bond’s issue period is single, credit rating is overall high, trading volume is small, security bond accounted for a relatively large, and so on. we put forward the corresponding policy recommendations from the interest rate policy, the regional institutional environment, the quality of information disclosure, the security features (including implicit guarantees), bond type and bond investment strategy aspect.Sixth, the conclusions of this paper are summarized, put forward the deficiency of the research.In time to understand the impact of corporate bond credit spread,analysis the change of different rating bond credit spread, the development of corporate market can improve on the macro level and the formulation policies for market regulators will provide the basis. On the micro level, it will help bond investor reasonably hold corporate bond, avoid the occurrence of credit debt defaults and reduce investment losses.