Research On The Term Structure Of Credit Spreads Of Corporate Bonds In China

The development of corporate bonds gradually expanded,accompanied by the occurrence of default events,credit risk of corporate bonds gradually highlighted,breaking the rigid payment,credit risk has become a major risk in corporate bond market,and in the secondary market,usually using the term structure of credit spreads to measure the credit risk of corporate bonds.The term structure of credit spreads refers to the relationship between the credit spreads of corporate bonds and the time-to-maturity,while the credit spreads is the difference ofthe yield-to-maturity between the corporate bonds and the treasury bonds,which have the same credit rating and equal time-to-maturity.Therefore,this paper aims to understand the credit risk of corporate bonds by analyzing the term structure of credit spreads of corporate bonds in China,which is conducive to the management of credit risk of corporate bonds in the bond market.The paper is divided into four chapters:The first chapter is introduction,elaborated the research background and significance of this article,and summarized the domestic and foreign scholars' literature,so as to get the research ideas and empirical research methods of this paper.The second chapter is to elaborate the concept and theoretical basis of this article,and simply analyze the source of the risk of corporate bonds.The third chapter is the core part ofthis paper.This chapter makes an empirical analysis on the characteristics of the term structure of credit spreads,the influencing factors and the forecasting effect on the economic growth trend.Firstly,the paper analyzes the statistical characteristics of the term structure of credit spreads of corporate bonds in China,and then carries out principal component analysis,and then analyzes the influence factors of the term structure of credit spreads,and finally verifies the forecasting effect on economic growth trend.The fourth chapter summarizes the main conclusions,makes recommendations and prospects according to the conclusion of this paper and the present situation of corporate bond market in China.The main conclusions are as follows:1.The term structure of credit spreads of corporate bonds in China can be explained more than 90%by the level factor and the slope factor,and the macroeconomic factors influencing these two factors are mainly risk-free interest rate and its change and CRB index.2.Empirical found that there are large differences in macroeconomic impact factors of credit spreads of corporate bonds with different rating and different time-to-maturity.The credit spreads of short-term corporate bonds are more affected by macroeconomic factors,and in many cases,macroeconomic factors have a greater impact on credit spreads of A A grade corporate bonds.3.Risk-free interest rate is the most important influencing factor,and has a positive effect.4.The time-to-maturity and credit rating have a very important effect on the term structure of credit spreads.The longer the time-to-maturity,the lower the credit rating and the larger the credit spreads.5.The term structure of credit spreads of corporate bonds has a predictive effect on economic growth.