An Empirical Study On The Credit Spreads Of Chinese Short-Term Financing Bill And Medium-Term Notes

In recent years, the domestic bond market expand rapidly,in which credit products, representative of the short-term financing bonds and short-term notes,develop more rapidly. In the context of rapid expansion of Credit products, as the important pricing base of credit products transactions in issuance and secondary level market, credit spreads wide attention by investors. However, in our country, the bond market is not yet recognized the social benefits of the standard risk spreads, and credit spreads to determine the way they use a rule of thumb. Therefore, a deep understanding of credit spreads and understanding is an urgent issue.The study on credit spreads focuses on their factors and how to measure them. At present, regression analysis is the analysis of the most widely used method of influencing factors of credit spreads, but most domestic scholars starting from the cross-sectional data, analysis of the relationship between the individual factors and corporate credit spreads of corporate bonds or short-term financing bills,to the neglect of analysis of time series data and the impact of macroeconomic factors, and research on the medium-term notes are also lacking.To compensate for the lack of previous studies, this paper based on June 2008 to August 2010 monthly data, according to the different ratings and the remaining period, select the credit spreads of 5 time series of the short-term financing bonds of medium-term notes,apply multiple regression Model to empirically analyze the relationship between the credit spreads and the five macroeconomic factors,interest rates, stock market, liquidity, bond demand, and macroeconomic factors, and compare with the empirical results of foreign bond markets. The empirical results show that the macroeconomic variables'explanatory power on the credit spreads decrease with the increase of credit levels, the which is consistent with the empirical resultsof the U.S. market. In addition, bond supply and demand factors on the bill has widespread impact of credit spreads, interest rates and short-term negative correlation between financial credit spread, AAA notes the existence of liquidity premium, but the stock market effect has a weak impact on the,credit spreads of paper market, and there is no evidence that CPI and long-term interest rates have a significant impact on the credit spreads of the short-term financing bonds and short-term notes. This paper study the cread spread from a new perspective of credit spreads,and thus the study result has a positive meaning for the strengthening of the credit spreads awareness of the impact factor of short-term notes.