The Impact Of Macroeconomic Fluctuation On The Credit Spreads Of Corporate Bond

Since the first default in the bond market in 2014,the number of bond defaults has increased year by year.As of December 31,2018,among the 175 bonds that have materially defaulted,73 corporate bonds accounted for 41.71%of the total.The main type of default.The credit spread is an important indicator to measure the risk status of bonds.Studying the influencing factors of corporate bond credit spreads is of great significance to both issuers and investors.In this context,this paper focuses on the impact of macroeconomic fluctuations on the credit spread of corporate bonds.First,it comprehensively combs and integrates relevant literatures at home and abroad,analyzes the current situation of China's corporate bond market,and analyzes the impact of corporate bond credit spreads.The main factors and the impact of macroeconomic fluctuations on the credit spread of corporate bonds.On this basis,the quarterly data of corporate bonds issued by listed companies in 2007-2018 will be used,and the factors affecting the company's characteristics,industry characteristics and bond characteristics will be controlled.The spread analysis establishes the OLS model with the indicators of macroeconomic fluctuations for empirical analysis.The results show that:(1)Macroeconomic fluctuations have a significant impact on the credit spread of coprorate bonds.Specifically,the credit spread of corporate bonds follows the market for investors.The expected change is negative.The monetary policy affects the bond credit spread through the two channels of money and credit.The volatility of money supply and the volatility of various loans of financial institutions,the greater the credit spread of corporate bonds.(2)Through sub-sample research,it is found that in the face of macroeconomic fluctuations,non-state-owned enterprises need to provide higher yields than state-owned enterprises to attract investment,and corporate bonds with a debt rating of AA and below need to provide ratio.Corporate bonds with higher debt ratings have higher yields to attract investment.(3)By introducing the intercourse of the nature of corporate property rights and macroeconomic fluctuations,this paper also finds that compared with non-state-owned enterprises,when state-owned enterprises face the inflation rate and the slope of the yield curve of government bonds rises,the corporate bond credit issued by them The spread of spreads is smaller than that of non-state-owned enterprises.