The Component Of Yield Spread And Its Time-vary Effect In The Inter-bank Bond Market

In financial markets,what cause the difference between the yield to maturity of bond and risk-free rate of return? It is a very important issue for the bond market.Earlier,it was thought that this yield spread was only due to the potential risk of default in the bond,which would give the bondholder some compensation.But follow-up scholars found that in the financial markets this yield spread is greater than the compensation of default risk given to investors.They put forward a "credit spread of the mystery".In recent years,many scholars have found that liquidity factors,term factors,tax factors,etc.can also be used to explain the yield spread.This paper analyzes the structure of the yield spread of bond from the perspective of theory and empirical research,and studies the corporate bonds which are traded on the inter-bank bond market.In the theory part,this paper introduces the basic situation of the inter-bank bond market,and the possible factors that affect the spread and the influence mechanism on the spread.In the empirical section,we analyzed the effect of different factors at different time intervals,using the Markov mechanism to identify different intervals.We use the normalized data,so we can more intuitive to observe the contribution of the different risk factors in the spread.Then,this paper also uses different bond characteristics as the standard for grouping of bonds.Finally,we introduce the cross-terms of different risk factors to study the interaction between different risk factors and the impact on spreads.