Abstract
The purpose of this study is to analyze the impact of ambiguity on credit spreads, help investors to clarify the quantitative impact of ambiguity on the bond market, so that investors can make better use of ambiguity to make the most economic decisions in future investment activities.We obtain relevant data of maturing corporate bonds in China's bond market, measure the degree of ambiguity through bid-ask spread, explore the internal relationship between ambiguity and credit spreads through VAR model, and explore the impact of volatility of two variables, ambiguity and credit spreads, on each other through impulse analysis. We find that there is a negative correlation between ambiguity and credit spreads, and the unit change of ambiguity will bring huge fluctuations to credit spreads.
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