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Economic variables impacting the corporate bonds' yield spread of the BRICS countries

Vol. 25, Iss. 5, MAY 2019

Received: 27 February 2019

Received in revised form: 13 March 2019

Accepted: 28 March 2019

Available online: 30 May 2019

Subject Heading: Securities market

JEL Classification: G12, G18, E43, E44

Pages: 1141–1165

https://doi.org/10.24891/fc.25.5.1141

Sultanov I.R. Independent Researcher, Moscow, Russian Federation
BigIskander@gmail.com

https://orcid.org/0000-0003-1226-3791

Subject The article analyzes the impact of economic variables on the yield spread of corporate bonds of the BRICS countries (Brazil, Russia, India, China, South Africa). The list of considered economic variables includes global and macroeconomic variables, indicators of stock market, bond market, issuer and issue specific variables.
Objectives The purpose is to reveal variables that have a significant impact on the yield spread of corporate bonds in the BRICS countries, and identify differences, depending on issuer location.
Methods I selected variables based on literature review and availability of data for research. Then I built econometric models and estimated them by using the least squares method. After that, I built additional econometric models and estimated their parameters. This enabled to unveil differences in the influence of certain variables.
Results The total number of built econometric models of different specifications is 15. I found variables, which have a material effect on the yield spreads of corporate bonds in the BRICS countries. Furthermore, I disclose how the influence of some variables differs, depending on the location of the issuer company.
Conclusions and Relevance In general, the impact of the most variables is consistent with the findings of studies obtained in other corporate bond markets. However, there are some exceptions. Also, there are differences in the impact of some variables subject to issuers' domicile.

Keywords: corporate bond, yield, yield spread, BRICS, bond market

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