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The Analysis on Credit Spread Determinants of Chinese Enterprise Bond and Corporate Bond
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중국 기업채와 회사채 신용스프레드 결정요인에 관한 연구

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Type
Academic journal
Author
Journal
한국무역연구원 무역연구 무역연구 제15권 제1호 KCI Accredited Journals
Published
2019.1
Pages
399 - 419 (21page)

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The Analysis on Credit Spread Determinants of Chinese Enterprise Bond and Corporate Bond
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Research history (2)

2019

The Analysis on Credit Spread Determinants of Chinese Enterprise Bond and Corporate Bond
Jun-Jin Kim ,  이재현 무역연구 2019.01 Academic journal

2018

The analysis on credit spread determinants of chinese enterprise bond and corporate bond
김준진 금융학과 2018.01 Thesis
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Abstract· Keywords

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The enterprise bond is basically the corporate bond. However, it has a different characteristic in that it mainly supports government financing for Chinese economic development. We analyse credit spread determinants of enterprise bond and corporate bond by using WIND system data from 2013 to 2018, which is the period when the volume of both bond types grew very rapidly. We use random effect panel regression. We find that factors related with default probability such as credit score and profitability have the same effect with theoretical expectation. However, there is a different or opposite effect between both bond types for GDP growth rate, inflation and debt ratio. Since the purpose of enterprise bond issues is supporting financing for economic development such as infrastructure, the enterprise bond spread has a negative effect for inflation and debt ratio, and a positive effect for GDP growth. We find there is no significant evidence for government premium proxied by the major shareholder dummy variable, which implies that the market poses its confidence at the profitability of the private sector rather than the government premium in the Chinese bond market.

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References (16)

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Altman, E. I. / 1968 / Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy / Journal of Finance 23(4):589~609 google schola Dai, G. Q. / 2011 / The Analysis on the Macroeconomic Factor in Chinese Enterprise Bonds / Journal of Finance and Economics 37(12):63~73 google schola Delianedis, G. / 2001 / The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors / University of California at Los Angeles google schola Fisher, L. / 1959 / Determinants of Risk Premiums on Corporate Bonds / Journal of Political Economy 67(3):217~237 google schola 김은영 / 2018 / 원유시장 충격과 중국 증권시장 수익률 간의 관계 분석 / 무역연구 14(2):569~581 dbpia

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