Research on the Determinants of Chinas Corporate Bond Credit Spreads

摘要：

　　Based on Merton structural model of corporate bond credit spreads, this paper estimates the Chinas 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 companys operating leverage show significant positive correlation to the difference between actual and estimated credit spread while the credit rating exhibits a negative correlation.

关键词： Credit Spread Structural Model European Put Option

作者: Li Heyi Bei Zhengxin George Chao Ma

作者单位: School of Business,Soochow University Soochow,China Cornell University Ithaca,NY 14850-2488.USA

会议类型: 国际会议

会议名称: 2013 International Conference on Education Technology and Management Science(ICETMS2013)2013年教育技术与管理科学国际会议

会议地点: 南京

会议语种:英文

页码: 609-613

在线出版日期: 2013-06-08（万方平台首次上网日期，不代表论文的发表时间）