Macroeconomic Uncertainty,Monetary Policy And Credit Spreads Of Corporate Bond

To develop the direct financing of the bond market and to build a clear level of capital market is the focus of China’s current financial reform.Bond financing is one of the important ways of corporate finance,and the healthy development of the bond market is conducive for expanding the financing tools and scale of small and medium enterprises,and gradually improve the capital market development.It is of great significance to analyze and study the macroeconomic uncertainty and the effect of monetary policy on the credit spread of corporate bonds under the situation that the corporate bonds are rigidly broken and the macroeconomic uncertainty is increasing.Based on the macroeconomic uncertainty,through the three channels of monetary policy:monetary channels,credit channels and bank risk-taking channels,at the same time from the perspective of the whole banking sector and the asset allocation of bank risk-taking,through theoretical analysis and empirical test,study the macro-uncertainty through the three channels of monetary policy affects the corporate bonds credit’s specific path and mechanism.The results show that:(1)Macroeconomic uncertainty has an influence on the credit spread of corporate bonds,the higher the macroeconomic uncertainty,the greater the credit spread of corporate bonds;the lower the macroeconomic uncertainty,the smaller the credit spreads of corporate bonds.(2)Monetary policy has an impact on corporate credit spreads,loose monetary policy to reduce corporate credit spreads,tight monetary policy to improve corporate credit spreads.The monetary policy affects the credit spreads of corporate bonds through three channels:monetary channels,credit channels and bank risk-taking channels.The impact path includes the balance sheet effect,the value effect,the income and valuation effect and the chase proceeds effect.Loose monetary policy improves corporate balance sheet,corporate value,business and increase the risk-taking of bank.To make Banks and other investors underestimate the credit risk of bonds,increase the risk appetite and risk tolerance of corporate bonds,and reduce the credit spreads of corporate bonds.On the other hand,tightening monetary policy deteriorates corporate balance sheets,reduces corporate value,deteriorates business conditions,reduces the risk-taking of bank and improves corporate bonds Credit spreads.(3)Macroeconomic uncertainty will affect the corporate bonds through monetary policy channel.The impact path includes macroeconomic uncertainty will increase the uncertainty of corporate stock price,led to fluctuations in corporate value,while increasing the uncertainty of business,thereby weakening the monetary channel effect of reducing the credit spreads.At the same time,the increase of macroeconomic uncertainty will reduce corporate loans,reducing corporate liquidity will deteriorate the corporate balance sheet,while reducing investment and profit opportunities,thereby weakening the credit channel effect of reducing the credit spreads.The increase in macroeconomic uncertainty will enable banks to reduce credit assets.Bank financial institutions in order to maintain the target income will reduce the credit assets and increase the relative security assets of bonds,thus underestimating the credit risk of bonds.Bond prices increasing leads to reduce bond yields,credit spreads narrow,thereby strengthen the risk-taking channel effect of reducing the credit spreads.On the contrary,the lower the degree of macroeconomic uncertainty,the stronger the monetary channel effect and the credit channel effect of reducing the credit spreads;the lower the degree of macroeconomic uncertainty,the weaker the risk-taking channel effect of reducing the credit spreads.(4)Macroeconomic factors(risk-free interest rate and stock market volatility),and bond micro factors(bond credit ratings,property rights,corporate leverage,company size and corporate profitability)have influence on corporate bond credit spreads.In this paper,according to the previous credit spread model we join the macroeconomic factors and the bond micro factors as a control variable,found that macro factors and bond microeconomic factors have strong explanatory power on China’s bond credit spreads.According to the results of this study,we put forward the following related policy suggestions:(1)In formulating monetary policy,the People’s Bank of China needs to take the macro-prudential supervision duties of monetary policy into account and to reduce the macroeconomic uncertainty,to reduce the uncertainty of macroeconomic,to ensure the stability of financial markets,to reduce monetary policy and economic unintendedness,and to reduce the deviation of risk assets in order to facilitate corporate financing.(2)When the macroeconomic uncertainty increases,risk appetite and asset adjustment of bank financial institutions can reduce the weakening effect of macroeconomic uncertainty on monetary channel and credit channel.The monetary authorities should make reasonable window guidance to the banking and financial institutions to prevent the impact of macroeconomic uncertainty on monetary policy.(3)Enterprises can prejudge the central bank’s monetary policy and its effect according to the current economic situation and monetary policy,thus grasping the best financing opportunities,taking the initiative in the risk and operation of company,reducing the financing cost,and improving the company’s decision-making ability.This paper is divided into five parts:the first part,the introduction.This part elaborates the research background and the significance of the research,the domestic and foreign research on the macroeconomic uncertainty,the monetary policy transmission channel and the bond credit spread,the thoughts and framework of the thesis research and the improvement and defects compared to previous literature.The second part,theoretical analysis.This part introduces the credit spreads,macroeconomic-uncertainty and related concepts,then expounds the influence mechanism of monetary policy on credit spreads and the influence of macroeconomic uncertainty on bond credit spreads.The second part,theoretical analysis.This part first introduces the credit spreads,macroeconomic uncertainty and related concepts of corporate bonds,analyzes the relevant theories of macroeconomic uncertainty,and then expounds the influence mechanism of monetary policy on the credit spreads of bonds and the influence of macroeconomic uncertainty on monetary policy.The third part,we use GARCH(1.1)model to construct macroeconomic uncertainty basing on the monthly data,the ARCH-LM test is carried out by unit root test,and the macroeconomic uncertainty index is constructed by GARCH(1.1)model.The fourth part,the panel model empirical analysis.Based on the data of corporate bonds in 2008-2015,the FGLS estimation method is used to test the theoretical analysis and analyze the hypothesis by empirical test theory.At the same time,the variables were replaced with a robustness check.The paper analyzes the influence of macroeconomic uncertainty on the credit spread of corporate bonds through monetary policy channels,and shows that the impact of macroeconomic uncertainty on corporate bonds exists.The fifth part,conclusions and policy recommendations.