Study On The Credit Spread Of Commercial Paper In China

Since2005, the People’s Bank of China to re-open the short-term financing bills market, short-term financing bills market has been rapid development, the size of the market continues to expand, constantly and improve the functioning of markets. Short-term financing bills market active and can not cover up the problems that exist in the short-term financing bills market of financial products is rich enough credit market development is still relatively short history, the risk of credit products have failed to form a reasonable market-oriented pricing mechanism. This requires researchers to conduct empirical research on credit risk factors, the establishment of a suitable risk assessment model to measure the risk of short-term financing bills, it is very urgent for the current short-term financing bills market. The purpose of this study is to study the short-term financing bonds issued spreads short securities lending market participation of all parties to better understand and measure the short-short selling of credit risk, accurate pricing for credit risk; addition, will take advantage of the significant factors structure of credit spreads and the issue of interest rate forecasting model, can take advantage of a predictive model for regulators, issuers and investors to provide reference.The theoretical analysis section of this article first reviews the credit risk research course at home and abroad, and summarize the characteristics and development trend of short-term financing bills, but also to study the short-term financing bills market developments as well as the release of China’s short-term financing bills market spreads situation. Then, combined with the current status quo, the analytical methods used for short-term financing bills theory of credit risk and interest rate risk theory is reviewed, from the theoretical level of credit risk, liquidity risk, investment risk, interest rate risk in the risk-based pricing the impact. And analyzes the impact of the credit risk factors and interest rate risk factors on the issue of the spread and the issue of pricing.14into both the macro and micro factors influencing factors on the basis of theoretical analysis, the issue spreads.The empirical part of the analysis based on the theory of the foregoing factors impact on the issue of the spread. Analysis of short-term financing bonds issued pricing model with reference to the Altman Z-value model, combined with regression analysis and measurement methods, quantitative analysis of the credit spreads influencing factors were analyzed by univariate build a predictive model of credit spreads, and then consider all significant factors in adding dummy variables in the model building, and try the effect of addition, multiplication, mixed dummy variable model, select the best and most valuable theoretical significance of the regression model to predict credit spreads; then built on the basis of the issue of the interest rate forecasting model sample forecast, analyze the effect of the model predictions.Combination of theoretical analysis and empirical tests, the following conclusions:(1) The impact of macroeconomic factors on the issue of spreads are very significant, including the economic situation (climate index to reflect), monetary policy (Ml growth to reflect), benchmark interest rates at home and abroad (with SHIBOR LIBOR to reflect); Secondly, the rating of the short-short selling issued factors issue is very significant, and the issue of scale and the issue of duration of the impact is relatively not enough significant forward; once again, for the analysis of financial factors show financial factors for the issue of the spread of enough significant with only the two factors in the capital structure and solvency of some indicators is significant. This reflects China’s short-term financing bills market financial factors mechanism is not perfect; Finally, the analysis shows that the main issue of the non-financial factors, the industry is not a significant difference in the factors, listed or not, and the corporate nature are significant factors.(2) Establish a short-term financing bonds issued spreads to the issue of interest rate forecasting model. Sample and sample forecasting prediction model can achieve the ideal effect. Model analysis found that the main issue of the nature of the business, its issuance spreads exist significant differences; different corporate nature of the main issue, the issue of the spread-year-old benchmark interest rate change is also showing varying degrees of change; addition, the model of financial factors impact and theory slight deviation, which reflects China’s short-term financing bills market is in a phase of rapid development, its impact mechanism is not perfect on the issue of spreads, subject to the relevant regulatory authorities need to strengthen supervision.In summary, this paper presents the following three recommendations:First, for investors, short-term financing bills market operating mechanism is not perfect, the need to consider more factors to establish an evaluation system, an accurate judgment of the issuance of short securities lending interest rates, which determine the value of their investments. In this paper, the issue spreads prediction model can provide reference.Secondly, management institutions supporting SMEs must direct financing start relentlessly to strengthen market supervision, while the rational development of the market, the rich structure in order to expand the supply of primary market products, build a diversified bond holders structure, increase innovation, reasonable financial innovation, the introduction of foreign advanced mode.Finally, for the issuing company, the main credit rating of the issuer great effect on the issue of spreads, and the credit rating of the entire market, the main issue of short-term financing bills in more than AA-basic, which fully shows that the high credit rating the importance of short-term financing market. The short-term financing bonds issued by credit rating of the main problems have long been an important reason for restricting China’s the short financial markets development. To solve this problem the most effective way they should follow the example of Western countries to accelerate the development of third-party credit enhancement to help enterprises improve their credit rating.