中国债券利差对宏观经济指标的预测能力研究

Research on How Predictive Chinese Bond Spreads Is of Macro Economic Indices

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.