Empirical Analysis On The Determinants Of Credit Spread Of Corporate Bonds In China

2014,11 ChaoRi Bond became the first public offering of default bonds in China,rigid payment is broken.Since August 2015,there have been many credit default events.Corporate bonds that have low default risk are also affected.Corporate bond spreads are affected by what factors,how to determine the future of the second market credit spreads,how to avoid risks and other issues,getting more and more attention by investors.On the basis of previous research results,this paper makes an empirical study on the influencing factors of credit spreads,from credit risk factors,liquidity risk factors,macro risk factors respectively.Selected from June 2013 to September 2016,the 40 monthly data of the 47 corporate bonds for panel regression.On this basis,a regression pricing model is established for the credit spreads of corporate bonds traded on the secondary market.Using of static spreads and policy financial bonds to calculate credit spreads innovatively,which is excluding the impact of interest rates and tax factors.Through empirical research,the following conclusions are drawn.In the level of credit risk,the remaining period is positively correlated with credit spreads,bond rating,ROE and asset-liability ratio is negatively correlated with credit spreads.At the macro level,the credit spreads of corporate bonds are negatively correlated with the risk-free interest rate and inflation rate,positively correlated with PMI,stock market volatility and loan rate.In the level of liquidity risk,liquidity factors have no significant impact.