Research on the Determinants of China’s Corporate Bond Credit Spreads

DOI

10.2991/icetms.2013.308How to use a DOI?

Keywords

Credit Spread, Structural Model, European Put Option

Abstract

Based on Merton structural model of corporate bond credit spreads, this paper estimates the China’s expected credit spreads from credit risk measurement perspective. The structural model underestimates the predicted result shows that corporate bond credit spreads. Through the dynamic empirical analysis, we find that there still exists a close correlation between corporate credit spreads and output/inflation indicators when the credit risk was eliminated. It shows positive association with bond supply and stock volatility will generate negative spillover effects on corporate bond market. Bond maturity and the company’s operating leverage show significant positive correlation to the difference between actual and estimated credit spread while the credit rating exhibits a negative correlation.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Heyi Li
AU  - Zhengxin Bei
AU  - Chao Ma George
PY  - 2013/06
DA  - 2013/06
TI  - Research on the Determinants of China’s Corporate Bond Credit Spreads
BT  - Proceedings of the 2013 Conference on Education Technology and Management Science (ICETMS 2013)
PB  - Atlantis Press
SP  - 1138
EP  - 1142
SN  - 1951-6851
UR  - https://doi.org/10.2991/icetms.2013.308
DO  - 10.2991/icetms.2013.308
ID  - Li2013/06
ER  -