Macro Influencing Factors Of China's Corporate Bond Credit Spreads

The corporate bond market is an important part of financial market. It bears the financing and resource allocation functions of the media capital. Corporate bond pricing is becoming widespread concerned with the rapid development of Chinese corporate bond market. Corporate bond spreads, also known as credit spreads, has eliminated the influence of interest rates term structure. Therefore, corporate bond spreads is more direct than the corporate bond prices when we research the influence factors of corporate bond pricing. The change of credit spreads in time series is affected by market factors rather than enterprise factors. Therefore, we selected macroeconomic variables as the variables when analyze of the influence factors of corporate bonds credit spreads. The macro influencing factors of corporate bond include the macroeconomic variables of interest rates, stock market index returns and stock market fluctuation. Investigated in this paper is the credit spreads of the corporate bond circulated in the Shanghai Stock Exchange market. More mature foreign and national economic theory and empirical research methods, this paper studied the corporate bonds where the time interval was from June 1,2008 to December 31, 2009.The study of this paper includes the following four aspects:First, It have analyzed and researched on the foreign and national relevant literature and research methods. Then it selected the suitable macroeconomic variables as the macro influencing factors of the credit spreads of Chinese corporate bonds. Secondly, using the credit spreads of all the corporate bonds as an explained variable and each macroscopically influences factors as explanatory variables, study the correlation between them. And select the optimal model. Again, divide all the corporate bonds into short-term corporate bonds, medium-term corporate bonds and long-term corporate bonds using corporate bond maturity as a condition. Respectively, using each credit spreads of them as explained variables and the macroscopically influence factors as explanatory variables, study the correlation between them. Finally, according to the empirical results, the mainly conclusion of this paper can be analyzed and summarized. Then, this paper proposed the relevant policy recommendations. But, we have not enough samples, caused by that the corporate bonds in China are still at an early stage of development, so the number of corporate bonds is small. At the same time, Chinese bond market and stock market is separated for a long time, so the development of the two markets is unbalanced. It leads to a direct result of the information flow between the bond market and stock market is not unimpeded. For these reasons, there must be some difference in market pricing. At last, the empirical results were slightly inconsistent with theoretical description.