The Influence Of Economic Policy Uncertainty On Credit Spreads Of Chinese Corporate Bonds

As a direct financing tool,bonds are an important channel for companies to obtain funds,and they are also the main investment targets in the financial market.The Chinese bond market has long-term rigid redemption expectations.However,with the “11 Super-day Debt” in 2014,it was unable to pay interest on schedule,breaking the bond market practice,and the bond market volatility has since increased.In 2018,a number of corporate bond defaults broke out in the market,which had a major impact on the bond market.At the same time,with the acceleration of economic restructuring by the government since 2018,Sino-US trade frictions have intensified,and economic policies have been constantly changing to cope with the complex economic environment,leading to increased economic policy uncertainty,to the corporate and bond markets.It has a significant impact,so it is of practical significance to study the impact of economic policy uncertainty on corporate bond credit spreads in this context.The main content of this paper consists of three parts.Firstly,this paper expounds the theory of corporate bond credit spread and economic policy uncertainty,analyzes the transmission mechanism of economic policy uncertainty affecting corporate bond credit spread;secondly discusses China's economic policy uncertainty index and the development status of corporate bond market And analyze the linkage relationship between the two;finally,the empirical analysis of this paper,this paper sets the model based on the structural model proposed by Merton(1974),and adopts the economic policy uncertainty compiled by Baker(2016)et al.As a proxy variable of economic policy uncertainty,the index selects the credit bonds issued by Chinese listed companies from January 2008 to September 2018 as a sample to explore the impact of economic policy uncertainty on corporate bond credit spreads.The empirical results show that,unlike the mature bond market in the West,the credit spread of Chinese corporate bonds has a negative correlation with the uncertainty of economic policy,showing the opposite trend.Due to the existence of rigid redemption expectations,when economic policy uncertainty increases,market investors regard corporate bonds as safe-haven assets,increasing the credit spreads caused by their investment,thereby offsetting the increase in economic policy uncertainty caused by corporate bonds.The impact of increased credit risk.Through the group empirical analysis of state-owned enterprises and non-state-owned enterprises,it is found that the uncertainty of economic policies between state-owned enterprises and non-state-owned enterprises has a more significant impact on their bond credit spreads.At the same time,it is found that the impact of economic policy uncertainty on the credit spread of high-grade corporate bonds is more significant than that of low-grade corporate bonds.The innovation of this paper mainly includes two aspects.On the one hand,it is the innovation of research perspective.From the perspective of economic policy uncertainty,this paper studies its impact on the credit spread of corporate bonds,and enriches the relevant research content to a certain extent.On the one hand,it is the innovation of variable selection.This paper chooses the Economic Policy Uncertainty Index(EPU)as the proxy variable of economic policy uncertainty.Compared with the previous scholars' choice of macroeconomic variables or official turnover,it represents economic policy uncertainty.The EPU index can provide more sample data and eliminate the impact of economic uncertainty.