An Empirical Study Of China’s Corporate Bond Credit Spreads And Macroeconomic Indicators

With the development of China’s corporate bond market, the corporate bond credit spreads attract more and more attention. In foreign markets, which are more mature, credit spreads of corporate bonds have significant relationship with macroeconomic indicators. In this paper, the credit spreads between AAA and AA corporate bonds were paid attention. We analyzed the internal characteristics of corporate bond credit spreads, which revealed the existence of heteroscedasticity in credit spreads series, and there existed a positive effect between lag and itself, and some short-term memory of the series. After that, using VAR method with market data from June 2007 to December 2013, we studied the relationship between China’s credit spreads of corporate bonds with major domestic productive and liquidity indicators. Results showed credit spread negatively correlated with the total savings and risk-free rate. But different with what in developed markets, the relationship between productive indicators and credit spread was not significant, indicating that China’s bond market did not fully play its role of serving productive enterprises, which is related to the imperfection of China’s bond market. Next we use panel data to prove that the path that changes in credit spreads lead to changes in the scale of investment in China is not significant, which suggested why the relationship between credit spreads and productive indicators is not significant. At last, through stepwise regression, we studied the impact of macroeconomic factors on corporate bond credit spreads. It was found that the volatility of the stock market and risk-free interest rate have a negative impact on credit spreads of corporate bonds, but fixed asset investment has a positive impact on corporate debt credit spreads.