Оценка влияния волатильности фондового рынка РФ на кредитные спреды российских корпоративных облигаций

This paper exploits the implied information of data collected from credit spreads of Chinese corporate bonds and systemic and idiosyncratic risk factors. We compute contribution of risk factors to credit spreads of Chinese corporate bonds by establishing the unbalanced panel data model, identify the key factors impacting the size of credit spreads of corporate bonds. Knowledge extracted by data mining is helpful to investors for reasonable pricing of bonds and making rational investment decisions. When selecting variables, the unbalanced panel data model is used to calculate the Zero-volatility credit spreads, which are more accurate. We use term structure adjusted return of bond index as the systemic risk factor of corporate bond market, the three Fama/French systemic factors as the systemic risk factors of stock markets and idiosyncratic stock/bond volatility and idiosyncratic bond value-at-risk as the idiosyncratic risk factors. Empirical analysis of corporate bonds sampling China’s listing Corporation issued and traded on Shanghai Stock Exchange from 2008 to 2011 shows that the size of credit spreads is mainly determined by the systemic risk factors of bond market, i.e. risk factors of stock market make very little contribution to the spread; the idiosyncratic risk factors also contribute. An interesting phenomenon is that we find that the relationship between idiosyncratic stock volatility and credit spread is negative, which is contrary to extant research while the relationship is positive and mainly focuses on impact of risk factors on credit spread of corporate bond.

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.

Insider selling and credit spread of corporate bonds

Purpose: The economy has entered a new normal in China and the transformation and upgrading of the economic structure has exacerbated the risks in the financial market. This study aims to investigate economic policy uncertainty and corporate bond credit spreads in China. Methodology: A total of 3,265 corporate bonds derived from Chinese A-share listed firms between 2011 and 2020 are explored, and the dynamic unbalanced panel one-step system Generalised Method of Moments is used. Findings: The results indicate that economic policy uncertainty has a significantly positive relationship with credit spreads of corporate bonds and different dimensions of economic policy uncertainty, including monetary policy uncertainty. Fiscal policy uncertainty also has a significantly positive relationship with credit spreads. Originality: This study discovers the impact of economic policy uncertainty on corporate bond credit spreads in China, contributing insights into sustainable financial practices. Keywords: Credit Spreads of Corporate Bonds; Economic Policy Uncertainty; Monetary Policy Uncertainty; Fiscal Policy Uncertainty; Executive Compensation. Citation: Kang, W., Zulkafli, A.H. and Mia, A. (2024): Economic Policy Uncertainty and Corporate Bond Credit Spreads in China: Insights from a System GMM Approach on Sustainable Financial Practices. World Journal of Entrepreneurship, Management and Sustainable Development, Vol. 20, Nos 3-4, pp.265-282.

ECONOMISTS have long agreed that the rate of interest on a loan depends on the risks the lender incurs. But how lenders estimate these risks has been left largely to conjecture. This paper presents and tests a hypothesis about the determinants of risk premiums on corporate bonds. By risk premium is meant the difference between the market yield on a bond and the corresponding pure rate of interest. My hypothesis is as follows: (1) The average risk premium on a firm's bonds depends first on the risk that the firm will default on its bonds and second on their marketability. (2) The "risk of default" can be estimated by a function of three variables: the coefficient of variation of the firm's net income over the last

Asymmetric determinants of corporate bond credit spreads in China: Evidence from a nonlinear ARDL model

There is a significant linkage relationship between corporate bond credit spreads and macroeconomic indicators. Exploring the dynamic and time-varying relationship between the two can better control and adjust market risks at the macro level. Selecting the 2010-2019 quarterly data, and establishing the TVP-VAR model of macro indicators and credit spreads, the following conclusions are drawn: (1) Credit spreads are counter-cyclical. (2) The degree of response of credit spreads and macroeconomic indicators in years with large economic fluctuations is significantly higher than in years when the economy is stable, and tends to be stable for a long time. (3) PMI and risk-free interest rates have a significant negative impact on credit spreads in the long term, and CPI has a relatively low contribution rate to the fluctuation of credit spreads. Based on this, targeted recommendations such as the implementation of prudent macroeconomic policies are provided to provide a basis for corporate bond pricing, regulators to control market risks, and to formulate relevant development strategies, and to promote the healthy development of the corporate bond market.

Credit Spreads on Sterling Corporate Bonds and the Term Structure of UK Interest Rates

With the exponential development of an ecological and sustainable economy and society, the concept and practice of environmental, social, and governance (ESG) investments are being popularized in the capital market of China. ESG disclosure is an important supplement to financial disclosure and plays an increasingly significant role in asset pricing. In this paper, we selected corporate bond data in China’s secondary bond market from 2015 to 2020, and introduced the Nelson–Siegel model to study the influence of ESG disclosure on corporate bond credit spreads in the secondary market. This model passed robustness tests when we used alternative data fitted by the modified Nelson–Siegel model. Results show that ESG disclosure significantly reduces credit spreads on corporate bonds in the secondary market. State ownership and industry play significant roles in moderating the impact of ESG disclosure on corporate bond credit spreads. Specifically, the ESG disclosure of non-state-owned companies and companies in non-high-pollution and -energy-consumption industries has a greater impact on reducing corporate bond credit spreads. Therefore, we urge regulatory departments to establish a sound ESG disclosure evaluation system, and the issue companies to improve the quality of their ESG disclosure, especially non-state-owned companies, and those in non-high-pollution and -energy-consumption industries. Corporate bond investors would benefit from integrating ESG information into their investment decision-making process.

Macroeconomic News Announcements and Corporate Bond Credit Spreads

This paper focuses on how economic variables affect Baa corporate bond spreads in the US from January 1990 to December 2018. Credit spreads in this paper are defined as the Baa corporate bond yield minus the Aaa corporate bond yield, and are explained by four variables which are interest rates, the slope of yield curve, the stock market volatility and the economic environment. Cointegration analysis and VAR model are used in this paper to estimate the effects of the determinants of the credit spreads in the long-run and in the short-run respectively. The impacts of the industrial production index and the slope of yield curve on the Baa credit spread are negative, and the impacts of 10 year Treasury bond rate and the stock market volatility on the credit spreads are positive in the long run. In the short-run dynamic relationship, the impact of the industrial production index and the 10 years Treasury bond interest rate are negative for the credit spreads, and the slope of yield curve and stock market volatility are positive for the Baa credit spreads.

This study emphasizes on analysis of the macro factors of the credit spreads (CS) of the fixed-rate corporate bonds of non-financial enterprises.Firstly, industry growth (IG) has a significant negative impact on CSs. IG reflects the prosperity of the real economy. The increase of investment demand promotes the rise of bond prices and narrows the CSs; Secondly, consumer price index (CPI) has a significant positive impact on CS. On the one hand, the increase of inflation will reduce bond investment demand, on the other hand, it will increase investors' expectations of future tightening monetary policy. Uncertainty increases while default risk rises and CS widen. Thirdly, spreads of treasuries have a significant negative impact on CS. When the slope of the treasury yield curve increases and the expectation of interest rate increases, macro-economy is in an upward stage, and CS narrow. Fourthly, the analysis of VAR, variance decomposition and impulse response function show that the impact of CPI, IG and interest rate difference of national debt on spreads has time lag. While money supply affects CS by affecting CPI. This study discusses the CS which is very important for the asset allocations of investors. The investors and market participants should consider the macro-factors while invest in corporate bonds.

The impact of analysts’ attention and research reports’ attention on corporate bond credit spreads in China

Corporate yield spreads and real interest rates

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.