Economic Policy Uncertainty And Corporate Credit Spreads

Since 2015,the scale of China’s corporate bond market has expanded rapidly,and the role of bond financing in the capital market has become increasingly prominent.The development of the bond market has been put in an important position in the government work reports over the years.At the same time,the frequent occurrence of bond default events has aroused widespread concern of scholars.The size of the credit spread can reflect the level of the credit default risk of bonds.Studying the macro and micro factors that affect the credit spread of bonds is of great significance to the risk pricing of financial assets and the stable development of the bond market.In recent years,the deterioration of the external development environment and the transformation of the internal development dynamics,coupled with the institutional characteristics of the economies in transition,China’s macroeconomic development is facing opportunities and challenges.The government has taken a number of measures,including monetary policy,fiscal policy and industrial policy,to calm economic fluctuations.However,the specific content,direction and timing of policy adjustment are often unpredictable,and enterprises and household sectors lack stable expectations,resulting in uncertainty of economic policy.Economic policy uncertainty will have an important impact on macro and micro economic entities,which will inevitably affect the cost of corporate bond financing.Based on this,this paper mainly studies whether and how the uncertainty of economic policy affects the credit spread of corporate bonds,and attempts to explore the potential impact channels and the heterogeneity of the impact.Taking the annual data of bonds issued by listed companies in China’s Shanghai and Shenzhen stock markets from 2008 to 2021 as a sample,this paper empirically tests the impact of the uncertainty of economic policy on the credit spread of corporate bonds using a two-way fixed effect model that controls the industry and year.Secondly,it examines the level of enterprise risk taking and the role of corporate tax avoidance,and examines the impact of heterogeneity according to the nature of property rights,debt rating,equity concentration and region.On the endogenous issue,a double difference model is constructed to infer the cause and effect of supply-side structural reform and Sino-US trade friction as exogenous shocks of economic policy uncertainty.In addition,the robustness regression between the replaced explained variable and the replaced explained variable is also carried out.Finally,puts forward recommendations.The research results of this paper show that: first,the uncertainty of economic policy has a significant positive impact on the credit spread of corporate bonds.This conclusion is still significant in the exogenous policy impact test based on supplyside structural reform and Sino-US trade friction.In addition,it is still valid in the robustness test of replacing economic policy uncertainty index and corporate credit margin calculation index.Second,the uncertainty of economic policy can indirectly affect the credit spread of corporate bonds through the level of corporate risk bearing and corporate tax avoidance.The improvement of economic policy uncertainty will lead to the increase of corporate risk bearing and corporate tax avoidance,while the improvement of corporate risk bearing and corporate tax avoidance will lead to the expansion of corporate bond credit spread.Third,the lower the credit rating of bonds,the lower the concentration of corporate equity,and the greater the impact of economic policy uncertainty on the credit spread of non-state-owned enterprises in the non-eastern region.On the premise of the conclusions,this paper puts forward the following recommendations: First,reduce the uncertainty of economic policy and promote the predictability of economic policy.Second,expand the multi-level financing channels of enterprises.Third,we should pay attention to the coordinated development of regions and treat private enterprises equally.Fourth,we should emphasize the construction of enterprises themselves.