The Empirical Reseach On Determinants Of Corporate Bond Credit Spreads In Chinese Exchange Market

The Chinese bond market is developing rapidly to become the third largest bond market with the accumulated bond balance constituting of 37 trillion RMBs in 2014 end. While Chinese corporate bond market only occupies 2 percent with the accumulated bond balance of 66 billion since the first corporate was issued in Shanghai Exchange. With the promotion of interest rate liberalization and the construction of multi- level capital market in China,the analysis of the credit spreads of corporate bond not only can help the accurate bond pricing in the primary market,but also can help the bond investment in the secondary market.This paper generally review related theories and empirical analysis about the credit spread. We find there are so many different influencing factors and many results are contradictory because of different research method. But overall, since the “credit spread puzzle”, we can conclude not only the default risk but the non-credit risk factors,like macroeconomics factor are influencing the credit spread.According to the academic literature and the realities of Chinese corporate bond, we reduce all the influencing factors to macro-level factors, capital market factors and micro-level factors. We use the multiple linear regression to make empirical analysis of corporate bond credit spreads. The empirical results show the credit rating, CPI and term-structure slope have significant impact, and the other factors coefficient are not that significant. We give some prospects at last.