The Influencing Factors And Spillover Effects Of Credit Spread Volatility

Since the 1990s,China's financial system has been gradually established,which has supported the rapid growth of macro-economy in recent years.In the bond market,due to a low outstanding and a low default rate,the academia have focused on the risk-free interest rate.However,with the rapid expansion of the credit bond market and frequent debt defaults,it is extremely important to understand the credit risk of bonds scientifically.This paper takes the credit spread volatility of the credit bond market between 2015 and 2018 as the main research object,and conducts two studies.Firstly,study the influencing factors of credit spread volatility by using the garch-midas model.Secondly,measure and analyze the contagion effect of credit spread volatility by using the spillover index method.According to the empirical results,the level of macroeconomic variables and volatility of macroeconomic variables have a significant impact on the long-term components of credit spread volatility,and economic policy uncertainty is also an important factor affecting the long-term components of volatility.In view of that mechanism of impact,macroeconomic fluctuation will have an impact on the production and operation activities of the enterprise,and further affect the debt service ability of the enterprise and cause the credit spread to fluctuate.And the intensity of spillover effect,our country's credit bond market linkage degree is higher,but as the bond credit rating is abate,spillover index also gradually reduced.The possible reason is the lack of liquidity in low-grade bonds.Investors mainly buy and hold bonds to maturity,and there is a lack of market transactions,which limits the contagion effect of volatility between industries.At the same time,the manufacturing industry and real estate industry have a higher degree of linkage with other industries and have a higher spillover effect.Further research shows that monetary policy and market liquidity level have higher explanatory power on volatility spillover effect.In order to increase the robustness of the model,this paper adjusted the relevant parameters and found that the research conclusion was still robust.