Do Macro Factors Affect Credit Spreads On Credit Bonds?

The credit spread in the bond market has always been the focus of scholars at home and abroad.Because the credit spread directly reflects the size of the credit risk of credit bonds,it is an objective indicator that can directly measure and distinguish the risks of different bonds and is easy to obtain.Such a convenient and clear indicator has an important guiding role for bond market investment.Since the early development of the bond market,numerous scholars at home and abroad have conducted in-depth research and development on the question of "what factors determine the credit spread",but the research conclusions of domestic and foreign scholars are quite different.The research conclusions of scholars at home and abroad show that the credit spread of credit bonds is roughly affected by the objective default risk factors represented by the bond itself and the company’s fundamentals,and the objective systemic risk factors that affect the entire bond market or financial environment.The academic circles have done relatively mature research on these two types of objective factors,but they have ignored the influence of subjective emotional factors on credit spreads.Therefore,this paper attempts to add subjective macro factors on the basis of traditional macro factors to comprehensively analyze the changing relationship between my country’s credit bond credit spread and macro factors.The main highlight of this paper is that it believes that the investor sentiment factor in behavioral finance theory should be a subjective macro factor that affects credit spreads,because there are many shadows of investor behavior behind the changes in bond prices and returns in actual investment.Therefore,this factor should not be ignored,but should be investigated.Therefore,this paper adds investor sentiment indicators on the basis of the existing objective macro factors,which is helpful to supplement the research on the application of behavioral finance theory in the bond market.In addition,this paper uses a variety of research models and research methods such as VAR,ARDL and PCA in the empirical method,and uses the principal component analysis method to ingeniously construct an investor sentiment index that can measure subjective sentiment.The method explores the influence of various macro factors on the credit spread of credit bonds,and finally regresses each type of credit spread to obtain more detailed research conclusions.The research results show that the credit spread of my country’s credit bonds changes inversely with economic growth factors;the positive change of monetary policy factors will reduce the credit spread;the inflation factor has a positive relationship with the credit spread;There are differences in the impact of interest spreads.The impact of short-term risk-free interest rates on credit spreads is negative,while the impact of long-term risk-free interest rates on credit spreads is positive;the impact of investor sentiment factors on credit spreads is significantly negative,indicating that In addition to the stock market,the bond market is also affected by the synergy of investor sentiment.Subjective macro factors should be taken into account when pricing bonds,which will help explain some of the "puzzles" in the capital market.