我国企业债信用价差期限结构中的货币政策含义

Implications of Monetary Policy on the Term Structure of China's Corporate Bonds Credit Spreads

本文通过主成份分析法构建企业债信用价差期限结构的二因子动态过程,并基于无约束VAR模型利用脉冲响应分析对企业债信用价差期限结构与货币政策变量、通货膨胀率和工业增加值之间的关系进行实证研究。研究结果表明,企业债信用价差期限结构对货币政策变动有较强的反应能力,信用价差期限结构能够有效预测未来实体经济增长,冲击响应分析结果与理论基本相符。因此,企业债信用价差期限结构能为货币政策的制定与实施效果的评估提供一些有价值的前瞻性信息。

The thesis constructs a two-factor dynamic process of the term structure of the corporate bonds credit spreads via principal component analysis.Based on the VAR model without constraint and the impulse response analysis,it makes an empirical study on the relationship between the term structure of corporate bonds credit spreads and monetary policy variables as well as that between industrial value added and the inflation rate.The results show that the term structure of corporate bonds credit spreads has strong response to monetary policy changes and can effectively forecast the growth of entity economy based on the fair agreement of impulse response results with the theoretical assumption.In conclusion,valuable forward-looking information could be expected on the formulation and assessment of monetary policy from the corporate bonds credit spreads term structure.