An Empirical Analysis Of The Macro Factors Affecting The Credit Spread Of Medium - Term Notes

Due to its own characteristics, medium-term notes has gradually become an important role of the bond market, favored by investors and financing enterprises. But the research of medium-term notes cannot keep up with the development steps.Credit spreads that is the main different factor of risk free bond prices is the characteristic of bonds that can be defaulted. The credit spread can provide support for investors and issuers of valuation and pricing. Based on the credit spread factors associated with macroeconomic and financial market liquidity factors, we analyzed the influence factors of medium-term notes credit spreads. This paper, on the basis of researches of scholars both at home and abroad, refers to the characteristics of the bond market in China, such as the total amount of investment in fixed assets, the investment of commercial Banks and insurance companies, etc. First of all, this article selects credit spreads from nine kinds of medium-term notes, by different maturities and ratings. Then we do a lot of binary regressions analysis to analysis the relationship between credit spreads and macro-economic index or liquidity index, etc. Secondly, after controlling maturity and rating of credit spreads, this paper show that the economic cycle, risk-free interest rate, and money supply have significant effects on medium-term notes credit spreads by linear stepwise multiple regression analysis. Among them, the fixed assets investment as an important indicator of GDP related indicators has a very significant impact on credit spreads. Finally, the last part of this paper summarizes the results of the study and points out the direction of future research.