The Determinants of the Nondefaultable Spreads of Corporate Bonds: Evidence from China

Table 9

Impact of macrovariables.

Model	1	2	3	4	5	6	7	8	9	10	11	12
C	0.2153	0.1716	0.4121	0.7383	0.2056	0.7311	0.2094	0.6477	1.1909	1.1874	1.4116	1.2038
	(4.68)	(3.58)	(7.09)	(7.47)	(4.32)	(5.98)	(4.55)	(4.55)	(7.24)	(7.22)	(9.33)	(7.40)
Vol_diff	−0.0014	−0.0013	−0.0013	−0.0013	−0.0014	−0.0016	−0.0015	−0.0013	−0.0013	−0.0013	−0.0013	−0.0013
	(−3.59)	(−3.45)	(−3.44)	(−3.45)	(−3.54)	(−4.01)	(−3.81)	(−3.32)	(−3.43)	(−3.42)	(−3.48)	(−3.42)
Range_diff	0.0821	0.0794	0.0788	0.0735	0.0815	0.0818	0.0866	0.0750	0.0682
	(1.92)	(1.85)	(1.84)	(1.72)	(1.90)	(1.91)	(2.02)	(1.75)	(1.60)
Amihud_diff										0.1779	0.1769	0.1786
										(2.65)	(2.64)	(2.66)
BML_Vol	−0.0056	−0.0061	−0.0061	−0.0079	−0.0057	−0.0056	−0.0044		−0.0083	−0.0083	−0.0092	−0.0084
	(−5.28)	(−5.64)	(−5.72)	(−6.99)	(−5.34)	(−5.29)	(−3.90)		(−6.87)	(−6.89)	(−7.86)	(−7.02)
SML_Range	−0.4888	−0.4637	−0.3327	−0.2812	−0.5349	−0.2313	−0.2592		−0.0843	−0.0810	−0.2119
	(−5.49)	(−5.19)	(−3.57)	(−2.95)	(−5.04)	(−2.19)	(−2.41)		(−0.72)	(−0.69)	(−1.91)
Year102		0.1141						0.0635	0.1262	0.1236	0.1138	0.1247
		(3.26)						(1.26)	(2.48)	(2.42)	(2.23)	(2.45)
Month3			−0.0907					−0.0523	−0.0369	−0.0377	−0.0473	−0.0379
			(−5.53)					(−2.12)	(−1.50)	(−1.53)	(−1.93)	(−1.54)
S10year				0.1276				0.1025	0.1395	0.1387	0.1067	0.1428
				(5.97)				(4.27)	(5.51)	(5.48)	(4.53)	(5.80)
CPI					0.0111			0.0800	0.1045	0.1042	0.0967	0.1020
					(0.80)			(4.76)	(6.03)	(6.02)	(5.62)	(5.99)
GDP						−0.0766		−0.0397	−0.0701	−0.0697	−0.1168	−0.0698
						(−4.55)		(−1.58)	(−2.76)	(−2.75)	(−5.45)	(−2.75)
M0							−0.0156	−0.0308	−0.0193	−0.0191		−0.0204
							(−3.79)	(−6.11)	(−3.49)	(−3.46)		(−3.90)
Vol_diff × coupon	0.0002	0.0002	0.0002	0.0002	0.0002	0.0002	0.0002	0.0002	0.0002	0.0002	0.0002	0.0002
	(3.09)	(2.96)	(2.94)	(2.97)	(3.04)	(3.49)	(3.29)	(2.87)	(2.91)	(2.92)	(2.99)	(2.92)
Adj-R^2 (%)	1.3540	1.4942	1.7830	1.8564	1.3487	1.6405	1.5476	2.1232	2.8054	2.8696	2.7119	2.8771

The table shows the impact of macrovariables on the nondefault spread. Year102 is the difference between the 10-year Treasury rate and the 2-year Treasury rate. Month3 is the 3-month Treasury rate, and S10year is the spread between the bond market index yield and the 10-year Treasury rate. CPI is the consumer price index, and GDP is gross domestic product. M₀ is an increase in cash in circulation. The meanings of the other variables are consistent with those in Tables 2 and 8. The cross-term is the interaction between liquidity and credit risk. The sample period is July 2006 to June 2016. The t-statistics are given in parentheses, and , , and represent significance at the 10%, 5%, and 1% level, respectively.