The Impact Factors About Credit Spread Of Chinese Corporate Bonds

The corporate bonds in china have experienced a rapid development by reason that government departments gradually relax the relevant policies.Corporate bonds take up a large proportion in both financing scale and quantity in the bond market of China.Especially the CSRC issued 'Management law for the corporate bond issuance and trading' in 2015,which expanded the issuing body of corporate bonds from public company to corporate juridical person.In consequence,the issuing form,issue period as well as places for bond circulation have obtained full relaxation and expansion.Since July 2015,the release situation of corporate bond market is quite hot where it has a more than 100%year-on-year growth in issuing quantity and more than 600%in issuing scale(fund-raising scale)in 2015 and 2016.However,frequent bond defaults,artificially high credit ratings and other related credit risk problem has occurred with the development of corporate bond market.In this background,the paper researches the influences of China's corporate bond credit spreads.This article introduces the study history of the credit risk measurement model in the first place.The model can be divided into classical credit classification techniques,multivariate credit risk discriminant model and modern credit risk discriminant model.We summarized the current research status of the credit spread influence factors,both in China and abroad.Then we combined the actual situation of the corporate bond market in China,brought the impact factors of the macroeconomic environment level,micro influence factors of company level and the influence factors of single bond issue level into the model and proceeded a series of theory analysis.All above work is based on the development of Chinese corporate bonds,the tendency of credit spread and the multivariate credit risk discriminant model.Next,we built a multivariate linear regression model and brought the theoretical analysis of related variables included in the empirical model.The paper chooses the corporate bonds which was issued in Shanghai and Shenzhen Stock Exchange in 2008-2016 as the original sample of research.Results show that the reserve requirement ratio and the risk-free rate in macroeconomic environment level;company property,relevant industry and return on total assets in the micro company level;interest rate type,issuance,bond rating in single bond issuance level has a significant impact on the credit spreads of company bonds.The sample bonds are divided into groups in accordance with the credit rating and empirically tested in the way of multivariate linear regression.The regression results show that different credit rating bonds have different influence factors to credit spreads,but in general macro,micro and single level are covered.The most common point is that company's property(state or non-state)has a significant impact on credit spreads of all rating bond.State-owned enterprises are more likely to obtain lower credit spreads than non-state-owned enterprises.