Impact of Credit Rating on the Bond Market Based on TIC Model

Table 7

Regression analysis of credit spread.

	(1)	(2)	(3)	(4)
	Wtic	Wtic	Wtic	Wtic
Crdrate	−0.851
	(−17.310)
Stcr		−0.738
		(−18.477)
Ltcr			−0.711
			(−18.801)
SL				−0.422
				(−20.248)
Bndyer	−0.575	−0.569	−0.560	−0.556
	(−25.844)	(−25.647)	(−25.231)	(−25.164)
Bndtype	0.063	0.033	−0.062	−0.000
	(0.556)	(0.289)	(-0.550)	(−0.004)
Acisuquty	−0.011	−0.013	−0.009	−0.008
	(−4.054)	(−4.850)	(−3.356)	(−3.066)
Term	−0.095	−0.104	−0.093	−0.085
	(−3.838)	(−4.241)	(−3.785)	(−3.498)
Crdeem	0.439	0.475	0.474	0.498
	(1.878)	(2.040)	(2.042)	(2.154)
Crtsell	−1.003	−1.017	−1.029	−1.054
	(−12.081)	(−12.283)	(−12.449)	(−12.795)
Whcrsmak	1.080	1.205	1.073	1.058
	(9.969)	(11.370)	(9.999)	(9.930)
Mpervolt	−0.001	−0.001	−0.001	−0.001
	(−1.537)	(−1.253)	(−1.279)	(−1.053)
Matrdd	0.005	0.004	0.004	0.004
	(9.047)	(8.776)	(8.445)	(8.452)
_cons	1177.548	1164.335	1144.611	1139.094
	(26.302)	(26.064)	(25.636)	(25.622)
N	6359	6359	6359	6359
R^2	0.313	0.317	0.318	0.324
Adj. R^2	0.312	0.316	0.317	0.323

t statistics in parentheses. , , .