| Credit spread plays a very important role in the practice of credit risk analysis.The negative effect of economic policy uncertainty on enterprise financing is mainly through debt financing rather than equity financing.The occurrence of credit bond default events is more frequent,but due to the low degree of marketization of credit rating market and the high proportion of seller rating,the early warning mechanism of credit rating in the bond market lags behind,and the secondary credit spread is more sensitive,which can quickly reflect the risk and investor sentiment in the bond transaction price,which can better reflect the corporate debt risk and the recognition of investors.It is necessary to pay attention to the secondary credit spread of credit bonds.Therefore,this paper finally takes the corporate credit spread as the research object.Using the corporate bonds of 2011 to 2020 which are published by A-share listed companies in China as a sample,this paper uses the economic policy uncertainty index constructed by Steven et al.(2019).Focusing on the credit risk of enterprises in debt instrument bonds this study discusses the impact of economic policy uncertainty on the bond spreads,reveals its transmission mechanism and explores the moderating role of corporate social responsibility scores in this effect.Through empirical research,this paper finds that economic policy uncertainty will make bond spreads wide,the level of corporate credit risk will be increased.Investors are going to reduce confidence in companies’ ability to repay debts on time.Moreover,this expansion effect is asymmetric.This increasing effect is more obvious for non-state-owned companies and companies with low credit ratings.In addition,if enterprises can actively fulfill corporate social responsibility and have high CSR score,the impact of economic policy uncertainty on credit spread can be effectively alleviated.This mitigation effect remains effective after excluding the sample of state-owned enterprises.Equity concentration can make enterprises to quickly respond to the impact of uncertainty and bring them prudent business decisions,which benefit creditors,so equity concentration can inhibit this expansion effect.When economic policy uncertainty increases,enterprises are willing to increase the level of short-term debt long-term use and risk taking,which will eventually lead to an increase in credit spread.On the one hand,frequent policy changes have led to tightening market liquidity,so enterprises cannot get enough long-term capitals.The short-term debt for long-term use will lead to the continuous rolling of short-term debt to support long-term asset investment.The risk of enterprise capital chain broken is increasing.On the other hand,high EPU reduces information transparency prompting managers to prefer high-risk investment projects and rising corporate operating risks.These aspects would make bond investors share risks and ask for more compensation.In the end,this paper discusses the endogeneity problem in the research,replaces the calculation method of quarterly economic policy uncertainty and corporate credit risk.The results support the main research conclusions.This paper enriches the research on the influencing factors of credit risk of corporate debt instruments.In terms of data selection,Steven et al.(2019)adopted the China EPU Index based on mainland newspapers and optimized in combination with China’s actual situation.Hence the data this paper used is more suitable for the research on the credit risk of debt instruments of A-share listed companies.It is found that the CSR score can help enterprises cope with changes in economic policies,give investors confidence,lower credit risk and stabilize their corporate bond price.Moreover,it is verified that short-term debt and long-term use are a path mechanism for economic policy uncertainty to expand corporate credit spread,indicating that mismatch of investment and financing terms is not a preferred measure to deal with uncertainty.On the contrary it will worsen credit risk of enterprises. |
