The Impact Factors Of The Credit Spreads Of Corporatebonds In China

Since the 《Corporate Bond Management Ordinance》 released in 1993, the number of corporate bond issuance increased year by year. It provides direct financing channels for market. With our diverse varieties of corporate bonds and various issuers, accurate measure of credit risk is very important.This paper uses a combination of theoretical and empirical method. On the basis of research results of domestic and foreign scholars, combining the characteristics of China’s corporate bonds and the actual situation. The paper use structured model approach, and increased macroeconomic variables. The article selected the yield to maturity of corporate bonds, short-term financing bonds, medium-term notes, analysis in accordance with the different currency cycle stage. Multiple regression analysis has been done with the risk-free rate, the expected rate, Shanghai Composite Index yield, the volatility of the stock market, credit rating and duration.The conclusions drawn in this article are as follows: The short-term bond yield spreads are positively correlated with the risk-free rate. Medium-term bond credit spreads are positively correlated with the risk-free rate in most of the time. The AA level of medium-term notes has a higher sensitivity with the risk-free rate and the expected rated. The sensitivity of different grade corporate bond yields and medium-term notes are different. Various credit bonds are not related to the yield of the stock market and the volatility of the stock market. All types of corporate bonds has nothing to do with influencing factors.