An Empirical Study Of The Impact Of Corporate Bond Credit Spreads

Besides rate risk, there is credit risk in corporate bonds. The government and investors have concerns to corporate bonds because of its credit risk in a certain extent. So how to correctly know about corporate bonds credit risk is a key factor to have an effect on the growth of corporate bond market. And credit spreads is an important angle.to have reserch on the credit risk.Based on the related theories and literatures, this essay have deep reserch on the factors of credit sread in corporate bond from two sides, theoretical and empirical aspects, with the domestic bond marke. In the empirical reserch, this essay conducts two models, which studies the credit spread factors from the macro-economic and the micro business. About macroeconomic, we adopt the dynamic of the time series data and do multi regression method, auto-regression(AR) model for the long-term, medium-term and short-term bonds. As for the micro business, we use factor analysis to chose main factors and then export a multiple regression equations of micro factors.According to the empirieal researeh, we have the conclusions as follows:in the macro level, the leading factors of credit spread of different period corporate bonds are different:credit spread of long-term and short-term bonds follows a seeond-order auto regressive proeess. The main factors of long-term bonds are risk-free interest rate and exchange rate. The exchange rates and bond trading volume have significant influence on the short-term credit spreads. While the credit spread of medium-term bonds follows a higher order autoregression, and its main factors are risk free rate, treasury yield curve slope, treasury yield curve curvature, exchange rates and Medium-term bonds day trading volume. In the micro level, the main impacts of corporate itself on credit spread are asset-liability ratio, return on assets and net profit growth rate. The three indicators are the symbol of the enterprise’s debt paying ability, profit ability and the growth ability, which make the most impact on its corporate bonds.