An Analysis Of The Macro Factors Of Credit Spreads Of Inter - Bank Corporate Bonds

Corporate bond currently is one of the most important ways of corporate financing. In recent years with the rapid development of corporate bond financing market, It has a great impact on the credit risk of the whole market. Acting as the benchmark for credit risk, credit spread is of great significance for research:conducive to making investment decisions and risk management for the investors, benefiting the enterprise managers by helping them determine the coupon rate and the right time for issuing, supporting the regulators by assisting in predicting the event of default and guarding against systemic financial risks.This paper firstly finds out the macro-economic factors which affect credit spreads by reviewing the domestic and international literature and then calculates the credit spreads for bonds with different duration and different credit rating by using bond yield curve. A regression analysis was done to find out the relationship between the macroeconomic factors and credit spreads as well as the macro-economic factors which affect credit spreads significantly. According to the empirical results, for bonds with short terms of maturity but with different credit rating, the macro-economic factors which influence variation of credit spreads significantly are almost the same. For bonds with long terms of maturity but with different credit rating, the macroeconomic factors which influence variation of credit spreads significantly are quite different; For bonds with the same credit rating but with different terms of maturity, the macroeconomic factors which influence variation of credit spreads significantly are quite different. The results of this research is of great significance for credit bond pricing by helping market stakeholders in understanding the influence of macroeconomic factor on credit spreads from the macroeconomic perspective.