The Influence Of Economic Policy Uncertainty On Credit Spread Of Corporate Bonds

As one of the main financing methods of enterprises,corporate bonds play an increasingly important role in economic activities.In this context,the pricing of corporate bonds and the factors affecting their price changes have also attracted more and more attention..Credit spread is one of the most important basis for bond pricing.It is of great significance to study corporate bond credit spread and its influencing factors.As an important means of national regulation and control of the economy,the changes of economic policy will have a significant impact on the macroeconomic environment,thus affecting the operation and profit of enterprises,and the value of stocks and bonds issued by enterprises will also be reassessed by investors.The uncertainty of economic policy can reflect the change of economic policy,which will have an important impact on the credit spread of corporate bonds.At present,the domestic research on bond credit spread is mainly focused on corporate bonds,and the influencing factors on credit spread are also mainly concentrated in macroeconomic indicators such as GDP,PPI,corporate profitability,financial leverage and other micro indicators.No one has studied the impact of economic policy uncertainty on corporate bond credit spreads.This paper takes this issue as the core and makes a preliminary study on it.This paper takes 2756 bonds issued by Shanghai Stock Exchange and Shenzhen Stock Exchange from January 2010 to December 2018 as the research object,and classifies the samples according to industry,whether it is option-embedded bonds,the attribute of the issuer and the credit rating of the issuer.The uncertainty index of China's economic policy released by Baker et al is taken as the explanatory variable,and the term structure of interest rate,stock index,bond remaining maturity and other factors are taken as control variables.With reference to Collin-Dufresneetal 's model of influencing factors of corporate bond spreads,this paper first studies the correlation between economic policy uncertainty and corporate bond credit spreads,and then uses the method of time series data analysis.The influence of economic policy uncertainty on the overall interest rate spread of corporate bonds is studied.Finally,the panel data analysis method is used.In this paper,the influence of economic policy uncertainty on the credit spread of different corporate bonds and different categories of corporate bonds is studied,and the robustness of the results is tested.According to the empirical results of this paper,whether from the overall level of corporate debt or the individual level of corporate debt,there is a significant negative correlation between the uncertainty of economic policy and the credit spread of corporate debt,that is,the greater the uncertainty of economic policy.The smaller the bond credit spread,the smaller the uncertainty of economic policy,the greater the bond credit spread.From the specific classification,the negative correlation between economic policy uncertainty and bond spread is the most significant in real estate and construction enterprises,but not significant in manufacturing enterprises.In the classification outside the industry,the negative correlation between economic policy uncertainty and corporate bond credit spread is more significant in state-owned enterprises,option-embedded bonds and highrating bonds.The main innovation of this paper is that this paper takes corporate bonds as the research object,adopts the uncertainty index of economic policy of Baker et al for the first time,and studies the impact of uncertainty of economic policy on credit spread of corporate bonds from the overall level and individual level of corporate bonds.