Research On The Influencing Factors Of Credit Spread Of Credit Bonds In China

China’s market originated from "People’s Victory Convertible Bonds" in 1950.After the reform and opening up,national debt,enterprise bonds,exchange and interbank bonds were issued one after another.The medium-term note market launched after 2005 has now become the largest credit bond in the interbank market.In the past two years,under the background of financial deleveraging and macroeconomic downturn,the credit risk caused by the superimposition of corporate operating conditions due to the false high rating is also increasing.In recent years,bond default incidents have occurred frequently.At present,most of the credit spreads are on corporate bonds and corporate bonds.There are few studies on the credit spreads of inter-bank medium-term notes,so it is particularly important to study the credit spreads of bills.This paper reviews the research history of credit risk measurement model,and then combs the research status of domestic and foreign experts and scholars on the factors affecting credit spreads.Then it summarizes the credit model based on multivariate and combined with regression model,using different levels of factors to analyze the credit spreads.This paper takes the medium-term bills issued between banks from 2012 to 2018 as the research sample.After eliminating the unqualified data,the paper chooses the three-year,five-year and seven-year bond data of AA,AA+ and AAA levels to construct the regression model.Then,through regression analysis,the paper comprehensively studies the influence of relevant factors from macro to micro aspects on the credit spreads of medium-term notes.The regression results show that deposit reserve Gold,consumer index,overnight repurchase rate,corporate attributes,bond issuance scale and other factors have significant impact on the credit spreads when bonds are issued.Subsequently,we grouped 3935 data samples according to bond issuance years and bond issuance ratings,and conducted robustnessThe results show that the impact factors of different rating bonds on credit spreads are also different,but in general,each factor has a significant impact on bonds with different maturities and ratings.Risk-free interest rates have different effects on different rating bonds.Risk-free interest rates are positively correlated with AA-rated bonds and negatively correlated with AA+ rated bonds and AAA rated bonds.The main reason is that when risk-free interest rates rise,investors demand higher risk compensation,which leads to the increase of credit spreads,while investors allocate high-rated bonds leads to the decline of interest spreads on high-rated bonds.Corporate attributes have a significant impact on the maturity rating bonds,and state-owned enterprises have lower credit spreads than private enterprises.Finally,this paper puts forward the corresponding countermeasures and suggestions,and also points out the shortcomings of this study,and looks forward to the future research directions.