The Influence Of International Factors On The Pricing Of Chinese Dollar Bonds

Since 2011,the monetary policy for Chinese companies to issue bonds overseas has been relaxed,and the RMB is in the appreciation stage,which is conducive to reducing the cost of debt repayment.After the “money shortage” in June 2013,the financing cost of the domestic open market has continued to rise,difficulties in issuing bonds in the domestic open market.In order to meet the capital needs,domestic companies need to broaden the financing channels urgently.Based on the analysis of the current situation,issuance process,issuance method,policies and regulations of the Chinese dollar bond market,and the particularity of the Chinese dollar bond market,this paper analyzes and studies the factors affecting the pricing of Chinese dollar bonds due to the change of internationalization factors.The data selected the Chinese dollar bonds issued by all domestic enterprises in the bloomberg system from 2011 to 2019,and selected the RMB/dollar exchange rate(REER),foreign exchange reserve(FER),federal funds rate(RARE),QDII investment amount(QDII),dollar money supply(M2)and friction dummy variable(TW)as explanatory variables.The selection of control variables is divided into macro factors and micro factors.The macro factors are GDP,CPI,general budget revenue,and the micro factors are bond credit RATING(RATING).The VAR model was established for empirical research.First of all,internationalization factors have a significant impact on the pricing of Chinese dollar bonds.Compared with domestic macro market factors,GDP and CPI,these factors are not the endogenous cause of changes in Chinese dollar debt.The factors of internationalization,such as dollar money supply,trade friction and credit rating,are granger causality of the credit spreads of Chinese dollar bonds,indicating that the change of internationalization factors will cause the change of bond credit spreads.Secondly,the RMB/us dollar exchange rate(LnREER),trade friction(LnTW),debt rating(LnRATING)and QDII investment(QDII)have negative impacts on the credit spread(LnCREDITSPREAD),while foreign exchange reserve(LnFER),federal funds rate(LnRATE)and us dollar money supply(LnM2)have positive impacts on the credit spread(Ln CREDITSPREAD).The federal funds rate and credit rating have the most significant impact on bond credit spreads.