信用价差对宏观经济变化的预测能力研究——来自国内银行间债券市场的证据

The Predictive Power of Credit Spread for Macroeconomic Changes

在以前学者研究的基础上,本文对信用价差对宏观经济变量的预测模型进行了改进,首次将不同信用等级企业债的信用价差引入模型,并利用国内银行间债券市场的交易数据进行了实证检验,结果表明较之基于利率期限结构和基于信用价差的宏观经济模型,该模型对宏观经济变量的变动有更好的解释和预测能力。本文同时构建了基于协整理论的长期均衡模型,进行了脉冲响应分析,结果表明长期企业债信用价差对宏观经济变量变动的解释和预测能力较稳定。在此研究基础上,本文提出了一定的政策建议。

This paper improves the macroeconomic predict model of credit spread, on the basis of former researchers, introducing the credit spread of different ratings for the first time. After empirical research on the data from domestic inter-bank, this paper concludes that improved model has more predictive power compared to the model based on the term structure of interest rates or simple credit spread. This paper establishes the integration- based long-term equilibrium model and conducts Impulse Response Analysis, which indicates the credit spread of long-term bond has more stable predictive power. After all, this paper has given some policy recommendations.