The Analysis Of Influence Factors Of The Credit Spreads Of Urban Construction Investment Company’s Bond In China

Central government encourage the local governments to establish qualified financing platforms(Urban Construction Investment company, namely "UCIC") since 2008. Then the UCIC bond grow rapidly. With the rapid expanding of the UCIC bonds scale, the credit risk of UCIC bond attracts more and more attention.This paper first analyzed the factors which could affect the credit spreads of the UCIC bonds from macro and micro aspects, then built empirical models to verify this influence. This paper selected nearly 2000 UCIC bonds from 2006 to 2013 and sorted them in three categories:enterprise bond, medium-term notes and short-term financial bills.This paper first reviews the history and current situation of the UCIC bond, then describe the characteristics of it from different aspects, including size, issue term, issue areas, guarantee and so on. Then this paper added quantitative analysis of the impact of credit ratings on the UCIC bond.This paper first used the classic OLS regression model which take different factors into consideration, then we get a preliminary conclusion.Then this paper did some extended regression.In the basic regression, the dependent variable is credit spreads before tax. In this section, it is replaced by credit spreads after tax. By comparison with the basic regression, we made explanations of the changes of the varoables’ coefficients.At last we used quantile regression model to observe the coefficients of the variables. By this way, we can get a deep understanding of this problem.This paper get some conclusions as following:1、About the macro factors, The slope of the term structure of risk-free interest rate has negative correlation with the credit spreads; The GDP growth has negative correlation with UCIC’s enterprise bonds; The M2 growth has significant positive correlation with the credit spreads.2、About the micro factors, the credit spreads of UCIC bond is significantly influenced by credit ratings. The bond maturity has different effect among different kinds of UCIC’s bonds. The bond marutity has negative correlation with UCIC’s enterprise bond, but it has positive correlation with UCIC’s medium-term notes; The issue size has negative correlation with UCIC’s enterprise bonds.