Empirical Study On Credit Spread Of Corporate Bond In China

Most of the existing mature research conclusions overseas are not able to explain the trend of corporate bond credit spread in China,because the macroeconomic environment,the development course of the bond market and the market supervision system in different countries are not the same.In addition,there are problems in the bond market in China such as product multiple management,the fragmentation of trading market,and the lack of a mechanism for forming a unified interest rate.Therefore,the article selected the fixed-rate corporate bonds without redeemable and returnable terms of non-financial enterprises from 2010 to 2017 as a sample,started from the macroscopic and microcosmic levels respectively and used quantitative analysis methods.At the macro level,the empirical study show that:1)The industry added value has a significant negative impact on the credit spread,the growth of industry added value reflects the prosperity of the real economy and the increase of investment demand drives the price of bonds to rise and the credit spread narrows;2)The consumer price index has a significant positive impact on the credit spread,the increase in inflation will reduce the investment demand for bonds and increase investor's expectations of tighter monetary policy in the future,the uncertainty and the risk of default increases,meanwhile,the spread of credit spreads.3)Interest rate differential of treasury bonds has a significant negative impact on the credit spread.When the slope of treasury yield curve increases,the expectations of raising interest rate enhance,the macroeconomy is developing and the credit spread narrows;4)Through the VAR model and the related variance decomposition and impulse response function analysis,we find that the effect of the consumer price index,industry added value and the interest rate differential of treasury bonds on the credit spread are all lagging,while the money supply affects the credit spread by affecting the consumer price index.At the micro level,empirical study show that:1)The credit rating,the remaining year to maturity and the first principal component which represents the ability of debt payment have a significant impact on the corporate bond credit spread;2)With the increasing of the remaining year to maturity,the coefficient of the credit rating and the first principal component decrease gradually.Meanwhile,as the bond credit rating decreases,the coefficient of the remaining year to maturity increases as well as the coefficient of the first principal component decreases;3)Comparing the fit of model in different samples shows that the explanatory power of the model increases as the bond credit rating decreases and the remaining year to maturity increases.At the comprehensive level,the empirical results show that when using the company's monthly data as a sample,whether the macro or the micro variables have significant impact on the credit spread,and in line with the theoretical expectations.The model has strong explanatory power,but its regression results have a certain degree of difference from the previous macro-level studies.