On The Macro Determinants Of Credits Spreads Of Medium-term Notes In China

The medium-term notes which issued and circulating in April2008is one of Chin a’s bond market credit bonds varieties,having become an important financing tool for C hina’s enterprises.In the bond market in the western developed capitalist countries, the medium-term notes is also the necessary means of financing tools and adjust the struct ure of corporate balance.The majority of enterprises take Credit debt financing channel s as the preferred object, among which the total financing of bond market credit debt of Europe and the United States is about10times as the total stock market financing.Fro m what has been mentioned above,we can see that it is very important to develop the medium-term note market. Medium-term notes in U.S. and European bond market has been very mature. China started the issuance of medium-term notes in April2008, so it is still in its infancy relative to the foreign medium-term notes development. After the mid-1990s, the introduction of medium-term notes has greatly contributed to the credit debt market development in our country, and further enriched the credit bond market investment products.Existing medium-term notes cannot simply distinguish commercial paper, corporate bonds and enterprise bonds from the period because the period of medium-term notes issued includes one year. But the flexibility of the medium-term notes cannot be achieved by corporate bonds and corporate bonds. Medium-term notes are different from other bonds in the means of financing, distribution methods and other aspects and they have their own advantages. With the rapid development of enterprise credit debt market, medium-term notes also ushered in the rapid development opportunities.As a corporate credit bonds, there are some credit spreads for medium-term notes. Credit spreads in order to compensate for corporate debt maturity default risk, and the creditor requires the debts the main additional revenue which is higher than the same term structure of bond yields. Medium-term notes, credit spread reflects the issue of corporate default risk profile. Therefore, medium-term notes investors through changes in the observed credit spreads to infer the size of the credit risk of corporate bonds, and its reasonable pricing, it has very important significance to improve the pricing mechanism of the medium-term notes. Many factors affecting the credit risk, there is no unified conclusion made by the theoretical circles of scholars in the long-term studies. Scholars have been trying to solve the problem of the mystery of credit spreads. With the theory and practice of continuous integration and application, credit spreads gradually become a common concern to issuers, investors and stakeholders.As of now, the domestic study of credit spreads mostly focused on the bond market in Europe and America, few studies on the domestic corporate credit debt and credit spreads, especially in emerging bond species involving less, such as credit spreads of medium-term notes. So it lacks of guidance for the reality when the conclusion is in the absence of the basis of empirical studies of China’s bond market. This paper did the empirical analysis of the medium-term notes of credit spreads based on the theoretical explanations, and draw relevant conclusions then attempted to identify the inherent relationship that exists between them by models using a variety of macroeconomic indicators as explanatory variables. According to the empirical analysis we can found that the relationship between the medium-term notes credit spreads and the benchmark interest rate、the M2annulus comparing growth rate was a significant positive correlation, while the relationship between the medium-term notes credit spreads and other macro factors showed a uncertain correlation. Besides in order to ensure the comprehensive of this conclusions, credit spreads in the data analysis will be divided into two large groups that is3-year periods and5-year periods, each period consists of the AAA, AA, A+three parts. Finally found that there are some differences between theoretical results in each period and the credit rating. Actual results proves that there are significant relationships between credit spreads and the macroeconomic data of the medium-term notes, suggests that the medium-term note market, and even entire corporate credit bond market needs to deepen the reform further in order to promote the vigorous development of the entire bond market. However, due to the limited data and the special situation of our country’s macroeconomic, leading to the result that the empirical conclusion in this paper does not match the theoretical description slightly. Based on the objective circumstances of limited market data of China’s medium-term notes and a relatively little theories, this paper outlooks the studies of the medium-term notes on the basis of insufficient summary.