Empirical Research On The Credit Spread Of Commercial Paper

Since2005the People’s Bank of China restarted the business of Commercial Paper(CP), CP was widely noted by all kinds of entities in the market because of its lower distribution costs and lower barriers of issuance. In recent years its market scale was rapidly expanded, and it has become the main bond for issuance and trading of China’s capital market ranked. With the market continues to expand, the marketization of pricing for issuance interest rate brings new problems for both sides of financing. The main purpose of this study is through the combination of qualitative analysis and quantitative testing phase, conducts the research to CP issuance credit spread in our country, tries to find out the main factors affecting credit spread, and construct prediction model of credit spread for the significant factors, finally perform Out-of-Sample test. Hope that through this study the paper can provide some reference for issuers and market participants.In this paper the previous research results at home and abroad were referenced. Combining with the current development situation of CP business the paper performed the empirical research. It used the issued data of CP from2010to2013, attempted to take SHIBOR as the benchmark interest rate, and performed the correlation analysis by using the credit levels of CP, whether listed, industry, ownership, single issue scale as the variables, and selected the relevant indicators to establish econometric model, performed multiple linear regression analysis. Through the analysis the paper draws the following conclusion:credit spread is highly related to SHIBOR. Effect to credit spread is very significant by the issuer credit rating. Higher the issuer credit rating is, lower the issuing credit spread of CP is. The credit rating of rating agency is very important to the valuation of credit spreads. In our country, the enterprise’s ownership will determine the credit spreads of CP. State owned enterprises rely on government credit, the CP issued by them usually preferred by the investors. Application of the credit spread model issue rate and the actual issuance spreads of CP issued in the second half of2013are compared and tested, it proved that the model constructed by the paper has certain directive function to the credit spread of CP. Finally, from perfecting market mechanism of break a contract, improving credit rating system, strengthen the supervision of underwriting institution, marketization promotion about issuing and pricing mechanism and so on, this paper puts forward some suggestions to promote the healthy development of CP market.