The Effect of Guarantee on Bond Issue Spread: An Empirical Study

Abstract

Abstract: Based on the sample of listed credit bonds in Chinese market during 2008-2014,this paper investigates the effect of bond guarantee on bond issue yield spread,and also its relationship with the credit rating,the type of guarantee,and macro-economy. The results show that the bond guarantee can reduce the issue yield spread of bond,but the size of effects are different with credit rating and guarantee method. We also find that the reductions of bond issue yield spread by guarantee are time varying,and influenced by economic growth,and the event of bond defaults.

Key words: Bond Guarantee, Issue Yield Spread, Credit Enhancement

摘要： 以2008年至2014年间我国发行的信用债券为研究样本,考察担保对债券发行利差的影响效果及其与债券信用等级、担保方式、宏观经济变量等因素的关系。研究结果显示,担保能够在一定程度上降低债券的发行利差,但降低的效果在不同信用等级、不同担保方式的样本之间存在差异。另外,担保降低债券发行利差的效果还受经济状况、信用违约事件发生等因素的影响而具有时变性。

关键词: 债券担保, 发行利差, 信用增级

CLC Number:

F830.91

ZHANG Xueying, JIAO Jian. The Effect of Guarantee on Bond Issue Spread: An Empirical Study[J]. , 2017, 33(2): 48-57.

张雪莹, 焦健. 担保对债券发行利差的影响效果研究[J]. 财经论丛, 2017, 33(2): 48-57.

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