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

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 impac...

Full description

Saved in:
Bibliographic Details
Published inPloS one Vol. 13; no. 5; p. e0196792
Main Authors Xie, Yun, Tian, Yixiang, Xiao, Zhuang, Zhou, Xiangyun
Format Journal Article
LanguageEnglish
Published United States Public Library of Science 03.05.2018
Public Library of Science (PLoS)
Subjects
Bonding strength
Bonds
Capital structure
Corporate bonds
Corporate structure
Default
Dependence
Econometrics
Economic aspects
Economic models
Economics
Financial analysis
Financial markets
Forecasts and trends
Gaussian distribution
GDP
Gross Domestic Product
International finance
Investments
Macroeconomics
Markets
Monetary policy
Normal distribution
Ratings
Ratings & rankings
Securities analysis
Social Sciences
Speculation
Stock exchanges
Stock markets
Treasuries
China
Online AccessGet full text

Cover

More Information
Summary: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.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
Competing Interests: The all authors were involved in study design and the interpretation of study results. There are no patents, products in development or market products to declare. This does not alter our adherence to all the PLOS ONE policies on sharing data and materials. The other authors have no conflicts of interest to declare.
ISSN:1932-6203
1932-6203
DOI:10.1371/journal.pone.0196792