Finance and Credit

Analyzing the influence of different economic variables on the yield spread of ruble-denominated corporate bonds

Vol. 24, Iss. 7, JULY 2018

Received: 16 May 2018

Received in revised form: 1 June 2018

Accepted: 27 June 2018

Available online: 27 July 2018

Subject Heading: Securities market

JEL Classification: E43, E44, G12, G18

Pages: 1669–1688

Sultanov I.R. National Research University Higher School of Economics, Moscow, Russian Federation

Importance The article analyzes the influence of different economic variables on the yield spread of Russian ruble-denominated corporate bonds. The research was conducted on the data of the primary bond market.
Objectives The purpose of the study is to build econometric models enabling to explain how and what variables influence the yield spread of ruble-denominated corporate bonds and to estimate the economic significance of the influence.
Methods The empirical part of the study includes a graphical analysis, its results are used to determine the functional form of the dependence. Then, I build the best econometric models calculated under the least square method and estimate the economic significance of the influence of different variables on corporate bonds' yield spread.
Results The paper presents two econometric models. The first model does not account for structural changes over time, the second one does.
Conclusions and Relevance The influence of certain variables depends on certain period of the economy. Furthermore, the variables that are specific for a particular issue have a more significant impact on the yield spread of corporate bonds as compared with other considered variables.

Keywords: corporate bond, yield spread, ruble-denominated bond, bond market


  1. Militskova T.M. [The impact of specific determinants on corporate bond yield spreads]. Korporativnye finansy = Corporate Finance, 2013, vol. 7, no. 2, pp. 46–63. (In Russ.)
  2. Cenesizoglu T., Essid B. The effect of monetary policy on credit spreads. The Journal of Financial Research, 2012, vol. 35, iss. 4, pp. 581–613.
  3. Krishnamurthy A., Vissing-Jorgensen A. The aggregate demand for treasury debt. Journal of Political Economy, 2012, vol. 120, no. 2, pp. 233–267.
  4. Reilly F.K., Wright D.J., Gentry J.A. An analysis of credit risk spreads for high yield bonds. Review of Quantitative Finance and Accounting, 2010, vol. 35, iss. 2, pp. 179–205.
  5. Matsui K. Accounting year-end dispersion and seasonality in the Japanese corporate bond market. Applied Economics, 2011, vol. 43, iss. 26, pp. 3733–3744.
  6. Hong Y., Lin H., Wu C. Are corporate bond market returns predictable? Journal of Banking and Finance, 2012, vol. 36, iss. 8, pp. 2216–2232.
  7. Hibbert A.M., Pavlova I., Barber J., Dandapani K. Credit spread changes and equity volatility: Evidence from daily data. The Financial Review, 2011, vol. 46, iss. 3, pp. 357–383. URL:
  8. Shaw K. CEO incentives and the cost of debt. Review of Quantitative Finance & Accounting, 2012, vol. 38, iss. 3, pp. 323–346.
  9. Huang H.H., Huang H.-Y., Oxman J. Stock liquidity and corporate bond yield spreads: Theory and evidence. The Journal of Financial Research, 2015, vol. 38, iss. 1, pp. 59–91. URL:
  10. Yap Chee Jin, Ganon G. Announcement effect on the credit spreads of US dollar Malaysian bonds. Review of Pacific Basin Financial Markets & Policies, 2011, vol. 14, no. 3, pp. 449–484. URL:
  11. Elliott J., Ghosh A., Moon D. Asymmetric valuation of sustained growth by bond- and equity-holders. Review of Accounting Studies, 2010, vol. 15, iss. 4, pp. 833–878.
  12. Chen T.-K., Liao H.-H., Huang H.-C. Macroeconomic risks of supply chain counterparties and corporate bond yield spreads. Review of Quantitative Finance & Accounting, 2014, vol. 43, iss. 3, pp. 463–481. URL:
  13. Kecskés A., Mansi S.A., Zhang A. (Jianzhong). Are short sellers informed? Evidence from the bond market. The Accounting Review, 2013, vol. 88, iss. 2, pp. 611–639. URL:
  14. Mansi S.A., Maxwell W.F., Miller D.P. Analyst forecast characteristics and the cost of debt. Review of Accounting Studies, 2011, vol. 16, iss. 1, pp. 116–142.
  15. Chuluun T., Prevost A., Puthenpurackal J. Board ties and the cost of corporate debt. Financial Management, 2014, vol. 43, iss. 3, pp. 533–568. URL:
  16. Nashikkar A., Subrahmanyam M.G., Mahanti S. Liquidity and arbitrage in the market for credit risk. Journal of Financial & Quantitative Analysis, 2011, vol. 46, no. 3, pp. 627–656.
  17. Chiou C.-L., Hung M.-W., Shu P.-G. Foreign direct investment in emerging markets: Bondholders' perspective. Emerging Markets Finance & Trade, 2013, vol. 49, iss. S4, pp. 5–16.
  18. Tsung-Kang Chen, Yi-Ping Liao. The economic consequences of disclosure quality under SFAS No. 131. Accounting Horizons, 2015, vol. 29, iss. 1, pp. 1–22. URL:
  19. Gopalan R., Song F., Yerramilli V. Debt maturity structure and credit quality. Journal of Financial & Quantitative Analysis, 2014, vol. 49, no. 4, pp. 817–842. URL:
  20. Shuto A., Kitagawa N. The effect of managerial ownership on the cost of debt: Evidence from Japan. Journal of Accounting, Auditing & Finance, 2011, vol. 26, iss. 3, pp. 590–620. URL:
  21. Venkiteshwaran V. Are underrated bonds underpriced? Biased ratings and corporate bond pricing. Banking & Finance Review, 2013, vol. 5, iss. 1, pp. 77–89.
  22. Batta G., Ganguly A., Rosett J. Financial statement recasting and credit risk assessment. Accounting & Finance, 2014, vol. 54, iss. 1, pp. 47–82.
  23. Michayluk D., Zhao R. Stock splits and bond yields: Isolating the signaling hypothesis. The Financial Review, 2010, vol. 45, iss. 2, pp. 375–386. URL:
  24. Han S., Moore W., Shin Y., Yi S. Unsolicited versus solicited: Credit ratings and bond yields. Journal of Financial Services Research, 2013, vol. 43, iss. 3, pp. 293–319. URL:
  25. Blankespoor E., Linsmeier T.J., Petroni K.R., Shakespeare C. Fair value accounting for financial instruments: Does it improve the association between bank leverage and credit risk? Accounting Review, 2013, vol. 88, iss. 4, pp. 1143–1177. URL:
  26. Ambrose B.W., Cheng Y., Dolly King T.-H. The financial crisis and temporary liquidity guarantee program: Their impact on fixed-income markets. Journal of Fixed Income, 2013, vol. 23, iss. 2, pp. 5–26. URL:
  27. Cai K. Effect of being a fallen angel on bond ratings and yields. Journal of Trading, 2013, vol. 8, iss. 2, pp. 7–13. URL:

View all articles of issue


ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 24, Iss. 7
July 2018