Research On Influencing Factors Of Corporate Bonds Credit Spreads In China

Corporate bonds is an important varity of the bond market, and also a basic mode for corporate financing.Recent years, domestic sustained rapid economic growth and regulatory policy support made native corporate bonds market grow rapidly.As the vigorous development of corporate bond market, people paid more and more attention on the credit risk of corporate bond.In the secondary market, credit spreads are generally considered to be the representative of the corporate bond credit risk.Thus, researching to the influence factors of native corporate bond credit spreads can be helpful to control and manage risks more comprehensively.The paper researches the influencing factors of native corporate bond credit spreads from the macro and micro perspective.Firstly, through summarizing the related literature and theory at home and abroad,combining with native conditions and native corporate bond market situation,we selected the macro and micro economic factors.Then, in the macro perspective, we classified all bonds sample according to industry dimensions, made multiple regression analysis to all of the corporate, industrial corporate and public corporate respectively to determine the macro influencing factors.And then,we introduced the vector regression model to research the dynamic relationship between industry and public credit spreads and related variables.Finally, in the micro perspective, we used factor analysis method to reduce the micro factors including manageme(?)t of the corporate, etc into a few public factors,then made the multiple regression model to determine the micro influencing factors.Through the empirical research, we reaches a conclusion:In the macro aspect, native corporate bonds credit spreads are influenced by short-term interest rates, long-term interest rates, stock index returns and fixed assets investment growth notably. The industrial corporates credit spreads are influenced by stock index returns, fixed assets investment growth, long-term interest rates, money supply growth and exchange rate notably.The public corporates credit spreads are influenced by short-term interest rates, steel output growth and money supply growth notably.In the micro aspect, native corporate bonds credit spreads are influenced by profit ability, short-term debt paying ability, expire for the rest of the time and total assets turnover notably.