Analysis Of Factors Affecting Credit Spread Of Green Corporate Bonds In China

Green corporate bonds have grown at a faster rate since the first release in May2016.In recent years,the default in the bond market will inevitably have a negative impact on such new bond varieties.Therefore,studying the factors affecting the credit spread of green corporate bonds and rationally formulating the issue price are of great significance to the green bond market.Through the combing of domestic and foreign literatures,this paper believes that macro factors,coupon factors and financial factors are the main reasons affecting credit spreads.Firstly,the mechanism of the influence of various factors on credit spread is analyzed,and then quantitative analysis is used to do empirical research.From the results of empirical analysis,it is found that: 1.At the macro factor level,the interbank lending rate is significantly positively correlated with the credit spread,and the industrial added value is significantly negatively correlated with the credit spread.2.At the level of coupon factors,the issue scale,the issuer's credit rating,the underwriter's credit rating,the nature of property rights and the credit spread were significantly negatively correlated,and the issue period was significantly positively correlated with the credit spread.3.At the financial factor level,the profitability and operational capacity represented by principal component 1 are significantly negatively correlated with credit spreads.The asset size and profitability represented by principal component 3 are significantly negatively correlated with credit spreads.4.At the factor level: the coefficients of each indicator change,but the correlation is basically the same.The four indicators of the consumer price index,the stock market return rate,the underwriter credit rating,and the solvency ability represented by the principal component 2,which have not been empirically verified,are explained in the article.On the whole,the changes in credit spreads are affected by indicators at all levels,which are consistent with the actual situation and have strong empirical interpretation capabilities.