Term Structure Of Credit Spread Of Chinese Corporate Bonds

Over the last decade,more attention has been paid to the analysis of the influencing factors of credit spreads.According to the Basel II Accord,credit risk model can be used as the basis of bank capital regulation.The analysis of the relationship between credit spreads and macroeconomic variables is of great theoretical significance to the construction of credit risk model.In addition,credit spreads are of great theoretical significance to the analysis of default probability and business.Credit spreads are influenced by many macroeconomic factors.But for the effect of macroeconomic factors,scholars' conclusions are different.The difference of their conclusions may be due to the different samples and time intervals of their respective studies.Foreign scholars have shown that macro factors have different effects on the term structure of different credit spreads,while the term structure of interest rates of different rating corporate bonds in China is different.The similarities and differences of macro-factors on the credit spreads of different rating bonds need to be further studied.Credit spreads are defined as the difference between corporate bonds and risk-free bond yields.In this paper,we mainly study the relationship between the term structure of credit spreads of corporate bonds with different ratings and macroeconomic factors,which is divided into five parts.The first part is the introduction,which mainly introduces the background and significance of this topic,and summarizes the relevant literature at home and abroad.Finally,it elaborates the research ideas and innovations of this paper.The second part summarizes the relevant literature.Firstly,the traditional theory of term structure of interest rate is sorted out.Then,the different models of term structure of interest rate proposed in recent years and the evolution of models are sorted out.The advantages and disadvantages of different models and their application scope are analyzed.Finally,this paper combs the research on the influence of different scholars on the term structure of interest rates,and sorts out the macro and micro factors respectively.The third part mainly introduces the relevant concepts of term structure of credit spreads.Firstly,it introduces the classification of bonds and defines the object of this study.Secondly,it analyses the risk sources of corporate bonds.Finally,it introduces the traditional theory of term structure of interest rates and the concept of term structure of credit spreads of corporate bonds.The fourth part introduces several models of credit spreads,which are constantly improved and expanded in the original Nelson-Siegel,and introduces the development and application of the models,in order to prepare for the follow-up empirical research.The fifth part is the empirical analysis.The mixed-frequency Nelson-Siegel model is used to fit the credit spreads of different rating enterprises bonds,and the effects of different models are compared.Then the impulse response and variance decomposition of the results are carried out to analyze the interaction between macroeconomic factors and term structural factors.The sixth part is the conclusion and suggestion.It mainly summarizes the conclusions and reasons reflected by the empirical results.Then it puts forward some policy recommendations based on the research results,and looks forward to the follow-up research.This paper draws the following conclusions: Firstly,using the mixed Nelson-Siegel model of quarterly GDP data to fit the credit spreads of each rating and maturity sample is better than using the same-frequency Nelson-Siegel model of monthly industrial added value,which shows that the model using mixed GDP data contains more information about the term structure of corporate debt credit spreads.Secondly,for the same period,the fitting effect of the model on the credit spreads of BBB + grade corporate bonds is better than that of A grade corporate bonds,which shows that the model has better fitting effect on the term curve of the credit spreads with horizontal or upward inclination shape.The dynamic time series of the level factor,slope factor and curvature factor of the credit spreads of enterprise bonds are estimated respectively.Compared with their empirical proxy variables,the trend of the level factor of AAA corporate bonds and A corporate bonds is close,while that of A corporate bonds and BBB+ corporate bonds is close,and the value of the level factor of A-level corporate bonds and BBB+ corporate bonds is also close.The results show that the term structure of credit spreads of higher-rated corporate bonds is obviously different from that of lower-rated corporate bonds.The average level of spreads of lower-rated corporate bonds is much higher than that of higher-rated corporate bonds.Credit spreads of AAA corporate bonds fluctuate mainly around 0.The slope factor of AA-grade corporate bonds is slightly smaller than that of AAA grade corporate bonds,while the slope factors of A-grade and BBB+ corporate bonds are mainly concentrated in negative intervals,and BBB+ is lower than A.This shows that the shape of the credit spreads curve of AAA corporate bonds is horizontal,and the spreads of AA corporate bonds are slightly upward,with lower ratings of A-grade and BBB corporate bonds.Credit spreads curve of grade-I corporate bonds has a clear upward trend,and the lower the rating,the higher the slope.Finally,through impulse response and variance decomposition analysis of three factors of credit spreads term structure and macroeconomic variables,it is found that macroeconomic factors have significant interaction with each rating term structure factor,which provides new empirical support for our in-depth study of the impact of macroeconomic fundamentals and credit spreads.Generally speaking,based on the existing literature,this paper uses the mixed-frequency term structure model to model the credit spreads,reveals the new mechanism of the term structure factors of credit spreads and macroeconomic factors.The research work of this paper provides support for the theoretical research and practical work of the term structure of interest rates.