The Determinants Of The CDB Bond Yield Spread

It has been more than thirty years since central government recovered to issue treasury bond in 1981.During this period,our bond market has a great development.In the bond market,the issuance and varieties are increasing.China's bond market has a strong attraction for both domestic and foreign investors.CDB bond and treasury bond are based on government credit,and they have same credit risk.However,there are obvious differences between the maturity rate of them.This thesis will explore the determinants of CDB bond yield spread.So it combines the foreign research theory with Chinese market,and provides advice to investors.This thesis chooses 160 CDB bond from January 2005 to April 2018.The variables from three aspects: macro factor,liquidity and capital market factor.Firstly,using panel fixed effect model to study the CDB bond yield spread.Secondly,analyzing the changes in the degree of liquidity impact during the crisis and normal periods.Thirdly,dividing into groups according to issuance and coupon rate.Finally,making the robustness test.We find that liquidity factors,macro factors and capital market factors all have an impact on the spreads.Among them,the instantaneity of transactions and the depth of the market have a strong impact.At the same time,in the crisis period,the impact is more significant.