Analysis Of The Factors Affecting The Credit Spread Of China's Credit Bonds

In 2018,in the face of the intricacies of the international political and economic environment and the arduous task of developing and reforming domestic reform tasks,the Sino-US trade friction has gradually shown pressure on China's economy.In this context,the authorities have repeatedly stressed the need to attach great importance to the increase in economic downward pressure.The problem of enterprise management difficulties,while emphasizing the need to deepen the supply-side structural reform requirements,optimize the financing structure and credit structure,and enhance the financial services entity's economic capabilities.The stable development of the financial market has a direct driving effect on China's current economic development,and debt financing is an important way of social financing.Credit spreads play a decisive role in the pricing of credit bonds.Therefore,studying the spread of credit can help investors,bond issuers and regulators better identify the risks of bonds in investment financing.This paper takes corporate bonds,corporate bonds,and medium-term notes as samples,and selects the quarterly panel data from 2016 to 2018.From the three aspects of credit risk,liquidity risk and systemic risk,this paper analyzes the impact credit by theoretical and empirical analysis.The factor of credit spreads.The results show that: First,the credit spread of corporate bonds is affected by micro credit risk and macro risk.Credit rating and current ratio have a negative impact on credit spread,while stock market index,PMI and M1 logarithm are both Credit spreads have a positive impact.The remaining maturity,risk-free interest rate,and maturity structure all have a significant impact on credit spreads,as well as lower credit spreads for state-owned enterprises.The degree of interpretation of the model is between 50% and 90%,and the interpretation is better.Secondly,the credit spread of corporate bonds is affected by macro risks,and the money supply has a significant positive impact on corporate bond spreads.The risk-free rate and the coupon rate have a significant impact on corporate bond spreads,and the spreads of state-owned enterprises are significantly smaller.The interpretation degree of the model is 64%,and the interpretation effect is general.Third,the spread of medium-term notes is mainly affected by liquidity factors,in which the absolute value of the logarithm of liquidity indicators is significantly positive.The risk-free interest rate in the control variable is significantly negative,and the coupon rate is significantly positive,both of which have a significant impact on the spread.The average degree of interpretation of the model is 33%,and the overall interpretation is poor.In addition,the research results of state-owned enterprises and private enterprises show that the credit rating,risk-free interest rate and its term structure have significant negative impact on the spread of state-owned enterprises.The positive factors include macro risk three factors and coupon rate.The factors that have a significant positive impact on private enterprises are mainly the money supply M1 and the coupon rate.In addition,this paper uses the method of replacing the time lag variable to test and replace the explanatory variable.The overall conclusion has not changed substantially,indicating that the result is also robust.Finally,at the end of the paper,the paper summarizes the paper and proposes the future research direction.