货币政策冲击视角下债券利差对经济增长的影响研究

The Impact of Bond Spreads on Economic Growth:From the Perspective of Monetary Policy Shocks

债券是资本市场支持实体经济的重要工具,债券收益率曲线也隐含了宏观经济运行信息和货币政策意图。为了准确识别债券利差通过货币政策传导机制对经济增长的影响效果,以国债日交易数据刻画债券期限利差、以企业债券日交易数据构建债券信用利差,并选取货币政策、信贷规模、债券利差和经济增长共4类经济变量构建TVP-VAR模型,研究货币政策冲击下债券信用利差、期限利差与经济增长的动态时变关系。结果表明:信用利差和期限利差对于货币政策都存在潜在的传导机制,在短期均可作为研判经济波动的领先指标;但是由于利率作为传导中介的时滞性,信用利差对于通货膨胀的跟踪程度较弱。因此,提出相关政策建议:一是充分挖掘信用利差信息,加强货币政策对经济的预调微调;二是进一步完善债券市场自身建设,提升市场信息映射经济预期的准确性;三是加快信用体系基础设施建设,为经济发展和市场建设提供基础支撑。

Bond is an important tool for capital market to support real economy,among which,bond yield curve also implies macroeconomic operation information and monetary policy intention.In order to accurately identify the effect of bond spreads on economic growth through the transmission mechanism of monetary policy,this paper chooses to construct bond term spreads with daily trading data of treasury bonds and bond credit spreads with daily trading data of corporate bonds,and selects four types of economic variables:monetary policy,credit scale,bond spreads and economic growth to construct a TVP-VAR model to investigate empirically the dynamic time-varying relationship between bond credit spreads,term spreads and economic growth under the impact of monetary policy.The results show that both credit spreads and term spreads have potential transmission mechanisms for monetary policy and can be used as leading indicators of economic fluctuations in the short run;however,due to the time lag of interest rate as a transmission intermediary,credit spreads are weaker than term spreads in tracking inflation.Therefore,this paper puts forward the following policy recommendations:First,fully exploit the information of credit spreads to strengthen the pre-adjustment of monetary policy to the economy.We suggest tapping the economic expectation observation function of credit spreads in the bond market,strengthening the daily operation of monetary policy based on credit spread signals,and providing a more stable and continuous monetary and financial environment for economic growth.Second,further improve the construction of the bond market itself to enhance the accuracy of market information mapping economic expectations.The further improvement of the bond market will not only provide direct financing support for various financing entities,but also provide more accurate tracking feedback of market information on economic expectations,which will help the transmission of macro-control policies and thus promote high-quality economic development.Third,accelerate the construction of credit system infrastructure to provide basic support for economic development and market construction.We suggest strengthening the construction of credit system infrastructure,such as credit collection and guarantee,to provide more basic support for credit investment and financing to promote economic development.