An Empirical Study About The Factors Affecting Credit Spread Of Chinese Corporate Bonds

Debt financing is a priority to equity financing in most developed countries, which makes up a great part of direct financing.However, in China, due to the development of history, debt financing market has been unable to grow, unable to play its important role in the development of economy. On the basis of learning and observing a large number of relevant literature, combined with the development process of China’s corporate bonds as well as the actual situation of the bond market, this paper analyzed the micro and macro effective factors to corporate bond credit spreads, which were explained with theoretical derivation and verified with empirical perspective.By reading the relevant literature, this paper selected the micro and macro factors of corporate debt credit spreads in China.In the empirical of micro factors, this paper used mean cross-sectional data of corporate bond credit spreads (13 weeks). This paper extracted the following five factors by factor analysis model:the debt service factor, profit factor, growth factors, cytokines and operating cash flow factor. Multiple regression analysis showed that profitability factors, growth factors and cash flow had a significant impact on credit spreads and were in line with theoretical expectations; debt service factor and operational factors had no significant effect on credit spreads. In the microscopic model robustness test, factor analysis model exhibited excellent robustness, all 15 financial indicators remained in the original common factors. At the same time this paper found that the five factors were limited to explain the credit spreads on June 2013,when it was the money shortage period, so the macro factors analysis will focus on research of this period.In the empirical of macro factors, this paper first used the time-series data of corporate bonds from March 2012 to March 2014, constructed 10 bond portfolios with MATLAB software. Multiple regression analysis showed that the presence of credit spreads and macroeconomic variables cointegrated, which means that the credit spreads and the independent variables have a long-run equilibrium relationship. Judged from the results of multiple regression analysis, there is a significant positive correlation between the risk-free rate and credit spreads, as well as the relation of the national debt and the credit spreads, this result does not meet expectations.The two portfolios, AA and AA-, which rank behind, have a negative correlation with credit spreads, indicating a low credit rating bonds are easier to be effected by valuation. At the same time we find that the money supply has a significant impact on credit spreads, the greater the money supply is, the smaller the credit spreads is a multiple regression analysis of the data before June 2013 was done again to verify this conclusion. We find that when a large change does not occur among other variables,the effects of risk-free rate and the Treasury bill rate will make tremendous changes, which are very closely aligned to the theoretical analysis. By doing multiple regression analysis twice, this paper argues that the money supply and the exchange rate are two relatively stable macroeconomic variables to explain credit spreads, while risk-free rate, long and short term debt have a certain endogenous, the interpretations of credit spreads made with them are not stable enough. Also, this paper argues that the trend of the interest rate market and central bank monetary policy changes lead to a shortage of money on last June, while the money shortage has led to unusual fluctuations in credit spreads.