The Influence Factors Of Our Country Enterprise Bond Credit Spreads

This paper based on the literature reviews that are in the domestic and abroad, research the factors that influence the credit spreads of enterprise bond in China. Analysis the development of the enterprise bond market conditions, And then analysis the influence factors of the China’s enterprise bond credit spreads from the economic level. And meanwhile analyses the micro and macro factors. And then use the Merton structure model, find out the enterprise bond credit spreads’influence factor, obtain the model1. Because our country’ enterprise bond credit spreads’influence factors are more than these factors who are pointed out by the Merton structure model, And also includes many other factors. Therefore, model1is improved, it is concluded that the model2. And then the actual data that are from enterprise bond market are used to test the model1and model2analyzed from the theory section. From the theoretical and empirical research, the results found that our country’s enterprise bond credit spreads’influence factors are more than these factors who are pointed out by the Merton structure model. The explanation power of these factors to our country’s enterprise bond’s credit spreads are only50%. Add other factors; the conclusion is that the explanation ability of all of these factors to our country’s enterprise bond’s credit spreads is more than95%.According to the research from the theoretical and empirical, find that the influence factors of our country’s enterprise bond’s credit spreads include the ratio of the enterprise’s assets, the remaining term of the bonds, risk-free return rate, total assets of the enterprise, the enterprise yield per share, the consumer price index, the money supply, national debt spreads, diffusion index, Csi300index returns, etc. And these factors are the different directions to the credit spreads of the enterprise bonds in China. Among these factors, the asset ratio, enterprise total assets, return of per share, and the money supply, diffusion index are negative influence to the credit spread of the enterprises bond. And the remaining term of the bonds, risk-free return rate, the consumer price index, national debt spreads, Csi300index returns are positive influence to the credit spread of the enterprises bond. And because of the difference of the bonds’term, the influence degree is different. Among them, the asset-liability ratio’s influence to the credit spread is larger with the extension of the term of the bond. And risk free rate’s is smaller with the extension of the term of the bond; the longer the term, the effects are smaller.The influence factors to the credit spread of enterprises bond of our country are not only these factors that represent the company features such as the asset-liability ratio, total assets, per share yield etc, but also include those factors that represent the macroeconomic characteristics such as the money supply, the consumer price index, Csi300index returns, diffusion index, national debt interest spread etc. Our state’s bond market is somehow effective, and are not entirely non-market oriented, but China’s bond markets are not fully market-oriented. The bond markets are liquidity shortages, Interest rate is not mercerization, Investor groups of cognitive ability is not well, and our country’s enterprise bond rating agencies are not perfect, these phenomena exist. So some Suggestions are given out.