A study on the factors affecting credit spreads of corporate bonds from the perspective of credit risk

Abstract

From the perspective of the credit risk, this paper discusses the factors affecting credit spreads of different credit risk corporate bonds. The study chooses the credit rating as the standard to measure the credit risk of corporate bonds. The sample of daily data covers the period from August 2013 to December 2015 and we use Merton model to analyze the different influencing factors. The empirical results show that the yield curve slope, stock market volatility and 3 months SHIBOR and credit spreads are positively related; the risk-free interest rate and credit spreads have significantly negative correlation, but they are not stable; stock market credit spreads are not significant and while for different credit rating of corporate bonds, the macroeconomic variables have different impacts.