Empirical Study On Influencing Factors Of Credit Spread Of China's Asset Backed Securities

Under the background that the downward pressure on the economy in our country is still relatively large,some enterprises have difficulties in operation and the debt risks are aggravating.Therefore,the government further strengthened its support to asset securitization businesses such as corporate receivables,financing leases and other property rights so as to cope with the economic situation that the scale of corporate debts increased rapidly and the debt burden was aggravating.Based on the above background,it is of great significance to explore the influencing factors of the credit spread of China's asset-backed securities in order to enrich the relevant theories in China's bond market,optimize the allocation of resources of enterprises and reduce the financing cost of enterprises.This article takes the largest issue of credit asset-backed securities and enterprise asset-backed securities from 2014 to 2017 as the research object and establishes a multiple regression model by quantitative analysis to examine the impact of various factors on the credit spread of asset-backed securities.The research on the influencing factors of the micro-bond itself shows that the effect of credit rating,issuance scale and maturity on the credit spreads of the two types of asset-backed securities is the most significant.The impact of credit rating and issue size on credit spread is negative,while the maturity impact on credit spread is positive.Among the other explanatory variables,there is a significant negative correlation between the credit asset-backed securities,the subsidiary ratio,the number of classified bonds and the interest payment method and the credit spread.The effect of the number of underwriters on the credit spread is not significant.For the corporate asset-backed securities,The regression coefficient of proportion and enterprise type index items is significantly negative,while the amount of classified bonds and underwriters influence insignificant credit spread.The regression results of macroeconomic factors show that the regression coefficient of the household consumption price index and the industrial added value is significantly negative compared with the same period of last year.In addition,there is no significant correlation between money supply,producer price index and credit spread.In the conclusion and suggestion part,this article makes suggestions from five aspects: credit enhancement,credit rating,risk isolation,access mechanism and economic policy.In terms of credit enhancement,we should vigorously promote the development of a professional external credit enhancement institution in our country and develop a professional financial guarantee company.In the aspect of credit rating,we should give full play to the role of credit rating to reveal risks.In the aspect of risk isolation,we must establish and improve Risk isolation mechanism to circumvent the default risk of lower credit level companies;access mechanism,to relax the access system of asset-backed securities issuer,but should be to prevent the transitional packaging of asset-backed securities and institutional innovation;in economic policy It is necessary to implement relatively sound economic policies to maintain the steady development of the macroeconomy and reduce the credit risk of asset-backed securities.