The Macro Influence Factors Of Corporate Bond Credit Spread In China Bond Market

With the decline of macroeconomic growth rate,credit risk events frequently emerge,the volatility of credit spread becomes a noticeable uncertainty of the investment efficiency of credit bonds.The research of macro influence factors of credit spread can serve the investors’ credit bonds allocation strategy,and help them to judge the relative investment value of the credit bonds.In this paper,we have reviewed the movements of the credit spreads from 2008 to 2014,and find that the macro factors of credit spread mainly come from the fundamentals,policy,liquidity area,the supply and demand of credit bond and the investors’ appetite for risk.On this basis,this paper further constructed a macro analysis framework of credit spread,the economic fundamentals have an indirect effect on the credit spread,and the policy,liquidity,supply and demand of credit bond,the investors’ appetite for risk have direct effects on the credit spread.According to the macro analysis framework,we use the credit spread of corporate bonds as the dependent variables,and choose variables from the fundamentals,policy,liquidity area,the supply and demand of credit bond and the investors’ appetite for risk as independent variables to build a macro analysis model.Studying on the corporate bonds with different rating and duration in interbank and exchange market,this paper found that: The deposit reserve rate,the slope of term structure and the proportion of general fund investors are three significant factors of the credit spread,which can explain the credit spread between 30% and 70%.The credit spread has a positive relation with the deposit reserve rate and the slope of term structure,and a negative relation with the proportion of general fund investors in the credit bond investment.In general,credit bonds with longer period and lower rating tend to have a higher statistic significance in this model.Corporate bonds in the exchange market have a higher statistic significance than corporate bonds in the interbank market.In addition,credit risk events have been an important short-term factor of credit spread.