An Empirical Study On Credit Spreads And Macro-influencing Factors In Chinese Bond Market

Credit spreads have been used as the direct index reflecting bond credit risk degree and by foreign scholars,with the field of research,analysis of the academic elements of credit spreads gradually from the micro firm level factors to study the macroeconomic indicators level.In recent years due to the rapid development of China's bond market,credit spreads have also attracted more and more attention of scholars,but in the actual analysis found in research results of factors of domestic scholars and foreign literatures macro impact results show a large difference,for why this difference has not yet given a reasonable explain.Therefore,this paper attempts to explain the reasons for the difference based on the actual situation of China's bond market,and comprehensively analyze the relationship between macro factors and credit spreads.This paper selects the macro factors of the inter-bank bond market the duration of each type of credit spreads have been likely to impact on the credit spreads,respectively,to construct the vector autoregression model and cointegration regression model,the final results of the study show that China's bond market credit spreads to the whole is not entirely determined by the overall risk of the bond market,but also reflects the overall market investors the risk tolerance and the future bond market price trend expectations;higher risk-free interest rate and economic growth will lead to the overall bond market credit spreads higher;rising money supply M1 will significantly reduce market credit spreads;stock market inflation and the impact on the bond market credit spreads is not significant in the analysis;different maturity found to explain macroeconomic factors on the credit spread with longer period and Gradually increasing.