| In October 2015, the medium-term notes"10 yingli MTN1 "whose original rating was AA+defaulted, which became our country's first case of breach of contract in the medium-term notes market and raised people's attention about the credit risk of medium-term notes. Because the credit spread is an important measure of bond risk profile, the main influencing factors of the medium-term notes credit spreads are of great significance for issuers and investors. This paper argues that because of high threshold of the issued enterprise, the macro factor is the most essential factor influencing China's medium-term notes credit spreads.Firstly, we briefly generalize the current situation of literature and comprehensive about credit spreads, based on reading related domestic and foreign research. Secondly, we summarize the factors influencing the credit spreads of macro to micro, then combine it with the actual situation of mid-term notes market in our country, and we have a summary and analysis of specific factors affecting the medium-term notes credit spread, and put forward the hypothesis. Subsequently, we select critical variables from interest rates, inflation, monetary policy indicators and other relevant economic variables, which builds a multiple regression equation. Then we use a total of 15 groups of credit spreads data which contains different credit rating and remaining term for empirical.It is found that only for those whose credit rating is or beyond AA level macroeconomic factors are the main factors to medium-term notes credit spreads. Among them, the long-term risk-free rate of return and risk-free interest rate term structure are the most important factors, which both shows a negative correlation with credit spreads. On the other hand, CPI also shows a significant influence to medium-term notes credit spread, and they exhibit a positive correlation. Finally, we make a summary and point out the next research direction in the end of this paper. |
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