中国债券利差对宏观经济指标的预测能力研究
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摘要
债券市场是中国第二大投融资市场,国内外研究都表明债券利差包含了宏观经济的预测信息,但对中国债券利差预测能力的研究较少,且大多停留在传统债券利差的研究阶段,亟待构建具有显著预测效力的新指标。本研究结合我国国情,采用自下而上的方法,构建了适合我国实际情况的新债券利差,即民营企业信用利差指数。通过检验新指标与已有债券利差对宏观经济指标的预测能力,发现民营企业信用利差指数对宏观经济变量具有最好的预测能力,是中国债券市场的关键利差。通过构建VAR模型,发现债券市场冲击将提高实体企业融资成本,减少固定资产投资,降低物价水平,继而引起经济增速放缓。本研究构建的民营企业债券利差指数可以为宏观调控发挥预警和参考作用。
Bond market is the second largest financial market in China. Previous studies have shown that the bond spreads contain information predictive of macroeconomy,but few studies focus on how predictive Chinese bond spreads are and most of them still stick to traditional bond spreads. It is necessary and urgent to construct new and powerful predictive bond spread indicators. This paper applies the ground-up approach to construct a new representative credit spread index,namely private enterprise credit spread index. We find that the private enterprise credit spread index has the best predictive ability compared with traditional spreads,and it is the key spread index of the Chinese bond market. By establishing the VAR model,we find that the impact of the private enterprise spread will raise the financing cost of the real economy,and reduce both the investment in fixed assets and the price level,thus causing the economic growth to slow down. Besides,the private enterprise spread index will play a role in the macroeconomic monitoring.
Bond market is the second largest financial market in China. Previous studies have shown that the bond spreads contain information predictive of macroeconomy,but few studies focus on how predictive Chinese bond spreads are and most of them still stick to traditional bond spreads. It is necessary and urgent to construct new and powerful predictive bond spread indicators. This paper applies the ground-up approach to construct a new representative credit spread index,namely private enterprise credit spread index. We find that the private enterprise credit spread index has the best predictive ability compared with traditional spreads,and it is the key spread index of the Chinese bond market. By establishing the VAR model,we find that the impact of the private enterprise spread will raise the financing cost of the real economy,and reduce both the investment in fixed assets and the price level,thus causing the economic growth to slow down. Besides,the private enterprise spread index will play a role in the macroeconomic monitoring.
引文
[1]鲁晓琳,郭琨,董志.经济虚拟化背景下经济增长与通货膨胀的互动机制研究[J].管理评论,2018,30(1):14-23
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[16]冷奥琳,张俊瑞,邢光远.公司对外担保违约风险传递机理和影响效应研究---基于上市公司债券利差数据的实证分析[J].管理评论,2015,27(7):3-14
[17]林文达.供给侧改革对煤炭行业债券投资的影响分析[J].管理评论,2017,29(6):53-60
[18]Wang Z.,Yan Y.,Chen X.Time and Frequency Structure of Causal Correlation Networks in the China Bond Market[J].European Physical Journal B,2017,90(7):137
[19]孙玉莹,闫妍.基于压力测试的我国某商业银行房贷违约率评估[J].系统工程理论与实践,2014,34(9):2235-2244
[20]Shao Y.,Herna'ndez R.,Liu P.Government Intervention and Corporate Policies:Evidence from China[J].Journal of Business Research,2015,68(6):1205-1215
[21]Pessarossi P.,Weill L.Choice of Corporate Debt in China:The Role of State Ownership[J].China Economic Review,2013,26(1):1-16
[22]Shailer G.,Wang K.Government Ownership and the Cost of Debt for Chinese Listed Corporations[J].Emerging Markets Review,2015,22(1):1-17
[23]He Z.,Krishnamurthy A.Intermediary Asset Pricing[J].American Economic Review,2013,103(2):732-770
[2]佟爱琴,马星洁.宏观环境、产权性质与企业非效率投资[J].管理评论,2013,25(9):12-20
[3]Brunnermeier M.,Sannikov Y.A Macroeconomic Model with a Financial Sector[J].American Economic Review,2014,104(2):379-421
[4]Kishor N.K.,Koenig E.F.Credit Indicators as Predictors of Economic Activity:A Real-time VAR Analysis[J].Journal of Money,Credit and Banking,2014,46(2-3):545-564
[5]Gertler M.,Lown C.S.The Information in the High-yield Bond Spread for the Business Cycle:Evidence and Some Implications[J].Oxford Review of Economic Policy,1999,15(3):132-150
[6]Jermann U.,Quadrini V.Macroeconomic Effects of Financial Shocks[J].American Economic Review,2012,102(1):238-271
[7]Gilchrist S.,Zakraj2ek E.Credit Spreads and Business Cycle Fluctuations[J].The American Economic Review,2012,102(4):1692-1720
[8]Mishkin F.S.What does the Term Structure Tell Us about Future Inflation?[J].Journal of Monetary Economics,1990,25(1):77-95
[9]Mody A.,Taylor M.P.Financial Predictors of Real Activity and the Financial Accelerator[J].Economic Letters,2004,82(2):167-172
[10]Gilchrist S.,Yankov V.,Zakraj2ek E.Credit Market Shocks and Economic Fluctuations:Evidence from Corporate Bond and Stock Markets[J].Journal of Monetary Economics,2009,56(4):471-493
[11]Faust J.,Gilchrist S.,Wright J.H.,et al.Credit Spreads as Predictors of Real-time Economic Activity:A Bayesian Model-averaging Approach[J].Review of Economics&Statistics,2013,95(5):1501-1519
[12]Ponka H.The Role of Credit in Predicting US Recessions[J].Journal of Forecasting,2017,36(5):469-482
[13]Okimoto T.,Takaoka S.The Term Structure of Credit Spreads and Business Cycle in Japan[J].Journal of the Japanese and International Economies,2017,45(3):27-36
[14]Bleaney M.,Mizen P.,Veleanu V.Bond Spreads and Economic Activity in Eight European Economies[J].Economic Journal,2016,126(598):2257-2291
[15]纪志宏,曹媛媛.信用风险溢价还是市场流动性溢价:基于中国信用债定价的实证研究[J].金融研究,2017,440(2):1-10
[16]冷奥琳,张俊瑞,邢光远.公司对外担保违约风险传递机理和影响效应研究---基于上市公司债券利差数据的实证分析[J].管理评论,2015,27(7):3-14
[17]林文达.供给侧改革对煤炭行业债券投资的影响分析[J].管理评论,2017,29(6):53-60
[18]Wang Z.,Yan Y.,Chen X.Time and Frequency Structure of Causal Correlation Networks in the China Bond Market[J].European Physical Journal B,2017,90(7):137
[19]孙玉莹,闫妍.基于压力测试的我国某商业银行房贷违约率评估[J].系统工程理论与实践,2014,34(9):2235-2244
[20]Shao Y.,Herna'ndez R.,Liu P.Government Intervention and Corporate Policies:Evidence from China[J].Journal of Business Research,2015,68(6):1205-1215
[21]Pessarossi P.,Weill L.Choice of Corporate Debt in China:The Role of State Ownership[J].China Economic Review,2013,26(1):1-16
[22]Shailer G.,Wang K.Government Ownership and the Cost of Debt for Chinese Listed Corporations[J].Emerging Markets Review,2015,22(1):1-17
[23]He Z.,Krishnamurthy A.Intermediary Asset Pricing[J].American Economic Review,2013,103(2):732-770