Model Formulation and Empirical Analyses on the Macro Factors Affecting Credit Spreads of Enterprise Bonds in China

This paper selects the yield difference between the enterprise bonds and national debts circulated in Shanghai Stock Market as the credit spreads. Multiple regression model and time series model are separately used to analyze the key factors affecting credit spreads of our enterprise bonds both in static and dynamic status by quantitative and qualitative methods. And im-pulse response function is applied into testing the degree of influence affected by various factors. The result shows that some factors, such as CPP, GDP, Short term interest rate, Long term interest rate, Stock market returns and volatility, have some important influence on the research about the variety of the credit spreads of our enterprise bonds. The conclusions reveal the mechanism of changes of credit spreads, which could provide the decision support for the investors and managers.