Empirical Study On Credit Spread Of Enterprise Bonds In China

The development of Bond financing is very quickly in recent years. Credit spread could reflect the level of risk of the bond, which is important to bond pricing and investment strategy of the investors. There are several factors that affect credit spread. The current empirical research on these factors have not been unified. In this paper, in order to explore the influencing factors of China’s enterprise bond credit spread, the comprehensive factors on credit spread are put forward in advantage of on foreign mature important theoretical models and empirical research on the basis of our enterprise bond market development situation and the existing domestic research.After theoretical factors are determined in this paper, to study the influence factors and their contribution to credit spread,the paper began to establish macro model of time series and the micro model of cross section data. In general, the empirical results are consistent with previous ones except for one.The innovation of this paper displays in:first, the span length. time interval covers the years when he bond market grew quickly and the2007financial crisis happened. Second of all, explore more and comprehensive influential factors on the credit spreads of enterprise bonds.Third, take the influence of the term structure of interest rates into consideration, the spot yield is employed,so the calculation is more accurate.And use the yield curve the exchange of, which can better represent the entire enterprise bond market. Fourth, there is an empirical result that is different from foreign existing research,but it is explaned reasonably.Paper frame structure is as follows:The first part:introduction. Section1introduces the development path of China’s corporate bond market and system construction situation, lists the current size of the bond market in China and bond varieties, stated the problems existing in the bond market in our country, based on the current economic environment of the outlook for the next step. The second section elaborated this article research on theoretical and practical significance. Section3shows the research objects’ relevant definition,and then expounds the research idea of this article in the fourth quarter in use of the model and methods. Section5presents a study of innovation and the insufficiency.The second part:enterprise bond credit spreads rate were reviewed. This part tells the theories of the research for this article. first of all, according to the composition of credit spreads domestic and abroad research results, summarizes the current research status of the problem, summarized and compared the conclusions and the existing differences and controversy. It mainly displays in the second quarter, and describes the credit risk pricing model:a structured model and simplified model, comparison of the various model progress, also points out the shortages of it. Section3mainly compares two important theories on "the credit spread puzzle".The third part:the influence factors analysis. This part is not only the previous literature review, but is an analysis of the corporate bond market in our country.It puts forward macro factors and enterprise individual five influence factors of corporate credit spread in our country, and discusses the factors likely to affect the credit spreads of the direction.Part four:empirical research designing. Here respectively bases on the VAR model and multiple linear regression empirical analysis on the macro and micro factors. Macroeconomic research is based on the time series data and microscopic study with cross-sectional dataThe fifth part:conclusion and suggestions are combined with the empirical research conclusion.