Research On Credit Spread Of Chinese Corporate Bonds

Corporate bonds came out in 2007.After more than 10 years of development,the market has been rapidly expanding,and the amount of issuance has gradually surpassed the medium-term notes and targeted debt financing tools in the inter-bank market,becoming the main method of corporate bond financing.However,all kinds of problems followed.The bond market suffered frequent defaults,and the default subjects spread from private enterprises to state-owned enterprises,indicating that China's "rigid payment" will be broken step by step,and the market needs to return to rational judgment of enterprise value.The study of credit spreads on corporate bond issuance will help the bond market to rationalize its pricing and has long-term significance for the development of the bond market.This paper first reviews the credit pricing model of corporate bonds,reviews the relevant theories of credit risk model in detail,and summarizes the influencing factors of credit spreads at home and abroad as the theoretical basis of the paper.And then introduced the development of China's corporate bond and the size of the market situation,combining previous research results,I selected respectively from the macro level and micro level,the corresponding index credit spreads are analyzed theoretically,the influence mechanism,and builds multivariate linear regression model,adopt the method of stepwise regression empirical test on the influencing factors.Finally,the sample was compared and analyzed according to the rating groups,and the applicability of the model to different rating credit spreads was tested,and reasonable economic explanations were given.This paper takes corporate bonds issued publicly in Shanghai and shenzhen from 2012 to 2017 as the research object?The reason why we choose 2012-2017 as the analysis period is that corporate bonds have developed rapidly after 2012.This period covered the rapid development stage of corporate bonds,with large sample size and strong timeliness.The selection of indicators is more comprehensive and systematic,and the indicators at the macro level can basically reflect the macro fundamentals and capital level.The micro index is selected from two aspects:financial index and non-financial index.ROO7 of the seven-day reverse repurchase rate was deliberately added in the study of macro factors,because the volatility of domestic bond market spreads is increasingly affected by liquidity,which is different from the previous studies on the influence factors of corporate bond credit spreads by domestic and foreign scholars.Through the regression results of macro and micro factors,it can be seen that the risk-free interest rate,seven-day reverse repurchase interest rate at the macro level,the property rights of the company at the micro level and the asset-liability ratio have significant influence on the credit spread.Judging from the indicators reflecting the macro fundamentals,the RF risk-free interest rate has covered the macroeconomic fundamentals,making the impact of other macro fundamental indicators on the credit spreads relatively limited.In terms of indicators reflecting capital,ROO7 of the seven-day reverse repurchase rate is more sensitive to changes in the market capital level than M2,and in the case of tight capital level,liquidity premium increases,thus causing credit spreads to expand.From the micro perspective,the main factors influencing the credit spread of corporate bonds are the property property of the company and the asset-liability ratio of the company.Other indicators have a general interpretation of credit spreads,which to some extent reflects the low marketization degree of domestic corporate bond risk pricing.In the comparison of the influential factors of credit spreads among different ratings,we can see that the influential factors among different ratings are also slightly different,but the property right of state-owned property has a significant impact on all rated bonds.According to the model analysis,the adjustments R square of the regression model were 0.2295,0.476 and 0.563 respectively.The model has a stronger interpretation of highly rated bonds,which is mainly due to the relatively low proportion of state-owned enterprises in low-rated bonds.Besides the property rights of the company,investors may pay more attention to the industry in which the company is located,credit enhancement measures,term terms of interest rates,etc.,which can be further studied in the future.