Research On The Determinants And Prediction Of Credit Spreads Of Medium-term Notes In China

Since the issuance of the inter-bank bond market in 2008,the medium-term notes have played an increasingly important role as a financing tool in the market as a latecomer.Medium-term notes As with all credit debts,there is a credit spread phenomenon that is higher than the risk-free rate spread in order to compensate investors for the risk of default on the issuer of medium-term notes.Therefore,the credit spread can be used as a means of investors to infer the medium-term notes of the credit risk situation,so as to make the most favorable investment decisions.In the academic world,there is a lot of research on the credit spreads of credit debt,but it has not yet reached a unified conclusion.The study of the factors affecting the credit spreads of the medium-term notes and the process of their impact will help investors in the selection of investment varieties and investment points.At the same time,it will help the regulators to formulate a market-accepted guidance price,Which will help make our credit transactions more smoothly.At present,there are few academic studies on the credit spreads of domestic medium-term notes,and there is little lack of research on the reality of the existence of medium-term paper market in China on the basis of empirical research.Therefore,this study will help Enrich the existing research results.This paper firstly analyzes the concept,development course and risk factors of the medium-term notes in China,and then makes an empirical study on the factors affecting the credit spreads of the medium-term notes in China.Finally,the author uses the medium-term notes credit spread factors Multi-factor model is used to predict the credit spread.In order to achieve a more comprehensive study of the factors affecting the credit spreads,this paper summarizes the factors that may affect the credit spreads of China’s medium-term notes from three aspects: First,macroeconomic factors,including import and export growth indicators,RMB effective exchange rate,Real estate related indicators,Shibor,etc.;Second,the medium-term notes market own factors,such as medium-term notes market liquidity,medium-term notes supply and demand situation;Third,from the structural model to consider the impact factors,such as risk-Interest rate term structure indicators.This paper chooses the credit spreads generated by the AA grade,AA + level and AAA grade medium-term note yield curve of the central treasury bond registration and settlement company as the research object.Firstly,the influencing factors of the credit spreads of these three types of mediumFinally,based on the factors influencing the credit spread of the medium-term notes,the multi-factor model is used to forecast the credit spreads of the medium-term notes.The empirical results show that the forecasting curve and the true value curve are basically the same,and most of the credit spreads are less than the actual value,and the better forecasting effect is achieved...