중국 기업채와 회사채 신용스프레드 결정요인에 관한 연구

• 영문명: The Analysis on Credit Spread Determinants of Chinese Enterprise Bond and Corporate Bond
• 발행기관: 한국무역연구원
• 저자명: 김준진(Jun-Jin Kim) 이재현(Jae-Hyun Lee)
• 간행물 정보: 『무역연구』제15권 제1호, 399~419쪽, 전체 21쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2019.02.25

영문 초록

The enterprise bond is basically the corporate bond. However, it has a different characteristic in that it mainly supports government financing for Chinese economic development. We analyse credit spread determinants of enterprise bond and corporate bond by using WIND system data from 2013 to 2018, which is the period when the volume of both bond types grew very rapidly. We use random effect panel regression. We find that factors related with default probability such as credit score and profitability have the same effect with theoretical expectation. However, there is a different or opposite effect between both bond types for GDP growth rate, inflation and debt ratio. Since the purpose of enterprise bond issues is supporting financing for economic development such as infrastructure, the enterprise bond spread has a negative effect for inflation and debt ratio, and a positive effect for GDP growth. We find there is no significant evidence for government premium proxied by the major shareholder dummy variable, which implies that the market poses its confidence at the profitability of the private sector rather than the government premium in the Chinese bond market.

목차

Ⅰ. 서론

Ⅱ. 중국 기업채권과 회사채의 비교

Ⅲ. 실증분석

Ⅳ. 결론

키워드

Credit Spread Chinese Bond Market Enterprise Bond