Research On The Relationship Between Corporate Bond Pricing And Shadow Bank Leverage

Although a relatively complete corporate bond pricing model has been formed after years of development,it is actually based on the western market system.As the fastest growing emerging economy in the world,China's Bank centered indirect financing market system is significantly different from the western capital market centered direct financing market system.Because of the rapid development of off balance sheet business in China in recent years,it has a great impact on the whole banking system,especially bond as the main investment direction of shadow banking assets,so the impact of shadow banking system on bond price has also entered the researchers' attention.This paper mainly studies the relationship between the maturity yield of Chinese corporate bonds and the shadow leverage of banks.Firstly,based on the debt to equity ratio of banks,this paper constructs the measurement index of shadow leverage of banks for the first time,and adds it to the corporate bond pricing model;secondly,it explores the short-term and long-term effects of bank shadow sub leverage in the process of corporate bond pricing through the empirical test of least square regression,robust regression,VAR model and Markov two mechanism conversion model,and it also plays an important role for banks According to different market conditions,shadow leverage studies the differences in the pricing process of corporate bonds with different ratings.Finally,through the discussion and summary of the empirical research process,it enriches the corporate bond pricing model and provides the possible direction for later researchers.The main conclusions of this paper are as follows: first,bank shadow leverage has a significant impact on corporate bond pricing process,and has a negative correlation with corporate bond maturity rate in the short term;second,bank shadow leverage has a lag effect on corporate bond maturity rate,and has the largest impact in the lag second period;third,bank The impact duration of bank shadow leverage on junk level corporate bonds is longer than that on investment level corporate bonds,and the impact is stronger.Fourthly,the impact of bank shadow leverage on corporate bond pricing process is different in different market environments,that is,the impact on corporate bond pricing process is greater under the stable operation of the market Fifth,the influence of bank shadow leverage on the pricing process of investment grade corporate bonds and junk grade corporate bonds in different market environments is slightly different,that is to say,for investment grade corporate bonds,the effect of bank shadow leverage on the market stability conditions is greater than that in the market volatile environment,while that of junk corporate bonds The performance of shadow leverage is the opposite.