An Empirical Study On The Factors Affecting The Credit Spread Of Chinese Corporate Credits

With the development of social economy and the improvement of people's living standard,the issuance of bonds had been the primary way to obtain short-term financing in the international financial market which makes Europe and the United States and other places the size of the the bond market is far beyond the stock market.Bond market as an important part of capital operation,has made important contributions to the stability of the economic situation,to promote the positive and orderly development of financial markets.The corporate bond market is of great significance and value in the financial markets of each country.China's the bond market is in the liquidity,rating system and the legal system are not perfect leading to the development of China's bond market is relatively slow.China's corporate bond market is in a period of rapid expansion.In order to make our financial market a favorable environment for development and atmosphere,it is necessary to strengthen the support of the bond market,especially the listed companies.As the most important measure of credit risk,spreading research is also particularly important.Based on the Chinese corporate bond market,this paper first defines the corporate bonds concepts.Then,according to the real economic environment and throughout the study of the credit spreads of domestic and foreign bonds,this paper argues that it can be divided into two categories: one is the common research focusing on the macroscopic conditions,another is the microscopic research that focuses on the characteristics of the enterprise itself.The macro factors mainly include interest rate factors,economic environment factors,micro factors,including the company value factors.This paper analyzes the relevant factors affects the variables of the corporate credit spread.In the empirical study,this paper first selected eight indicators,the time range of 2012-2016.Macroeconomic indicators selected a representative interest rate,the stock market volatility,etc..Micro-indicators selected the company value,bond period.And the credit rating as a control variable,respectively,to return.In this paper,the descriptive statistics,the stability test and the correlation between the variables are analyzed,and the multiple regression is established.Then we will select the bonds according to the credit rating is divided into AA / AA + / AAA,respectively,to return to observe the same bond rating how to affect the credit spreads.Through the analysis,we mainly get the following conclusions:(1)risk-free interest rate,short-term treasury interest rate spread,CPI,exchange rate,bond period,the company's stock market value of the impact of credit spread significantly,indicating that the macroeconomic and credit spreads are closely related;(2)Yield and the Shanghai Composite Index yield,the volatility of the credit spread in the 1% quantile of the results were not significant,in the 5% of the Shanghai Composite Index yield is significant,while the Shanghai Composite Index volatility is only 10% Under the number of money with the spread of significant explanation.On the one hand,China's capital market liquidity is relatively low.There is a large information asymmetry between the stock market and the bond market so the relevant situation can not be effectively transmitted.On the other hand also urge our country to improve the capital market.(3)the value of the company is an important indicator of corporate credit spreads,overthrow the "bond market risk-free" misunderstanding.(4)credit rating is an important variable of corporate bond credit spread,the two were negative correlation that the corporate bond credit spread AA> AA +> AAA,.Higher rating bonds are usually lower than the credit rating of the bond credit spreads.Although China's credit rating system is not perfect,but its role has begun to highlight.Finally,the paper summarizes the whole paper and puts forward this paper,which can be used for further research.