Dependence of credit spread and macro-conditions based on an alterable structure model.

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ID: 31890
2018
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Abstract
The fat-tail financial data and cyclical financial market makes it difficult for the fixed structure model based on Gaussian distribution to characterize the dynamics of corporate bonds spreads. Using a flexible structure model based on generalized error distribution, this paper focuses on the impact of macro-level factors on the spreads of corporate bonds in China. It is found that in China's corporate bonds market, macroeconomic conditions have obvious structural transformational effects on bonds spreads, and their structural features remain stable with the downgrade of bonds ratings. The impact of macroeconomic conditions on spreads is significant for different structures, and the differences between the structures increase as ratings decline. For different structures, the persistent characteristics of bonds spreads are obviously stronger than those of recursive ones, which suggest an obvious speculation in bonds market. It is also found that the structure switching of bonds with different ratings is not synchronous, which indicates the shift of investment between different grades of bonds.
Reference Key
xie2018dependenceplos Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Xie, Yun;Tian, Yixiang;Xiao, Zhuang;Zhou, Xiangyun;
Journal PloS one
Year 2018
DOI
10.1371/journal.pone.0196792
URL
Keywords Keywords not found

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