Study On The Determinants Of Credit Spreads Of Enterprise Bonds In China’s Interbank Bond Market

Enterprise bonds is an important credit bonds in securities market. Its not only necessary financing tools involving the sources of the company’s capital structure, and fluctuations in the value in the secondary market, constitute the basis for the pricing of credit risk. Enterprise bonds market is booming, so the complexity of determination of its value and the managemant of Credit risk acquires excellent ability of investors. Especially August2008, the outbreak of the U.S. subprime mortgage crisis (Subprime Crisis),which proves the importance and complexity of credit risk management. Enterprise bonds s non-symmetry of the characteristics of its own revenue risk, which makes Credit risk difficult to disperse, and also make it more complex to estimate price. Credit spreads as the core of the pricing of Enterprise bonds s is caused by domestic theorists and practical attention. Domestic and foreign scholars in theoretical circles research has focused on the source and the specific impact factors of the research credit spreads; operation of the practitioners, the long and short credit bonds and interest rate bonds portfolio to enable investors to pay more attention to changes in credit spreads. With the vigorous development of China’s inter-bank bonds market, Enterprise bonds are also developing rapidly, and credit spreads are concerned by the theoretical and pratice. For credit spreads whether from the credit default risk, or the host of other factors are not very clear. In this paper, based on Merton (1974), a structured model as the theoretical basis of credit spreads on enterprise bonds in the inter-bank bond market of our country has carried on the qualitative and quantitative sources and affecting factors of explorationIn research methods, this paper first to analyze the credit spreads on the basic theory, which is deduced based on the Merton structured model of credit spreads in theory formula, that credit spread is a function of variables such as asset volatility and interest rates. But Merton structural model is given under the assumption that in a perfect market analytical solution is considered from the national inter-bank corporate debt market trading, dig deeper into the factors affecting the credit spreads of Enterprise bonds s, the paper and from our corporate aspects of the bond issuance, the amount of Enterprise bonds s hosting trends, issuers structure as well as the investment of the secondary market for Enterprise bonds s, agency structure and transactions of the background of the reality of China’s Enterprise bonds s. Comprehensive theoretical basis and on the real background, this paper presents the credit spreads of Enterprise bonds s in the inter-bank credit risk factors and non-credit risk factors influencing factors are divided into two major aspects. Credit risk factors are divided into two directions, micro-level bond issuance body factors mainly include capital structure and financial leverage as well as the corporate nature of the main issue; macro level systemic risk, including the risk-free rate, inflation, and the added value of industrial investment to reflect the economic cycle, the purchasing Managers Index (PMI). From domestic and foreign literature empirical analysis method, this article from the index level and the inter-bank bond level build timing models and panel data models, quantitative analysis of credit spreads. Comprehensive qualitative and quantitative analysis, this paper the following conclusions:1, the credit risk factors affecting credit spreads, micro-level, reflecting the financial leverage, asset-liability ratio changes in credit spreads on Enterprise bonds s have limited impact. The main issue of Enterprise bonds s in the third chapter analyzes the background of the main state-owned enterprises, and Enterprise bonds s trading substantive event of default had not occurred, which is inseparable from the government’s "implicit guarantee", and thus investment who is willing to be more concerned about the background of the nature of the analysis of bond issuers, so as to "speculate" credit risk in the domestic investment environment of economic structure is more practical.2, the macro level, credit spreads the structured variable interest rate factor is an important factor to affect the credit spreads of Enterprise bonds s. Regardless of the empirical analysis of the level of the index level or the bond, said the10-year bond yields negatively related to the risk of changes in interest rates and changes in the term structure of bond yields on credit spreads. Both reflect changes in the economic environment, investors expect corporate earnings changes reflected changes in credit spreads. Square of the change from the10-year bond yields added, its coefficient is more significant, which is also mean changes in bond yields, the impact of credit spreads is nonlinear.3,Reflect the macroeconomic price indicators ring than inflation, overall inflation qoq and grade Enterprise bonds s, credit spreads are positively correlated with inflation ring than rising or are expected to rise, the credit spreads of Enterprise bonds s of various maturities tend to rise. Inflation indicators and analysis from the level of the bond credit spreads are related to credit debt, government bonds are more sensitive to inflation expectations than4, the volatility of the CSI300Index and the CSI300Index yield in the index level and the bond level. Index perspective, the two have minimal impact on changes in credit spreads. Regardless of the term dimension or rating dimensions empirical analysis suggests that the volatility of the CSI300Index and CSI300index yield regression coefficient approaches zero and not significant. But from the bond level, the volatility of the CSI300Index and the CSI300Index yield credit spreads negative and significant, although the correlation coefficient is smaller. This paper analyzes that the bond level contains personalized information, and more characterizes the relationship between the two. CSI300index trend reflects the changes in the economic cycle, at least the trend of the enterprise inventory cycle can also be seen from the results in the other hand.5, mobility has a negative impact on credit spreads, liquidity, credit spreads will be more narrow, but from the point of view that this effect is not very obvious Empirical results.In this paper, based on the liquidity of the trading frequency changes, characterize the changes in Enterprise bonds s secondary market liquidity, and its change in trend, showing the characteristics of the the strong varieties dependent and time-varying (time-varying). As the inter-bank bond market on behalf of the holders of trading "," over vouchers "means, although the volumes, but does not reflect changes in liquidity caused credit spreads. Fundamentally, China’s inter-bank institutional investors for Enterprise bonds s is still commercial banks, insurance agencies mainly of such general configuration type, compared with not particularly active, so the results of empirical analysis point of view, the flow The nature of credit spreads is not particularly large.6, about35%of the index level empirical model to explain changes in credit spreads, the bond level panel data model can only explain about20%of the change in credit spreads. Have a very close relationship with our bond inter-bank bond market development status of the inter-bank bond market is still the single market, serious institutional investors homogenization, on behalf of the holders of "vouchers" for false turnover of more, including the impact model and can not be circumvented, corresponding weaker explain. On the other hand, the results from the empirical analysis of Enterprise bonds debt rating fitting degree, with decreasing credit quality, the explanatory power of the model enhancements, which is also consistent with the empirical results. Found through the index level and the bond Empirical results demonstrate the results of the overall comparison, both basic compatibility. This shows the soundness of the empirical results, on the other hand also shows that the effectiveness of the CDC in the valuation data overall.