不确定性冲击、信用利差与中国经济波动

Uncertainty Shocks,Credit Spreads,and Economic Fluctuations in China

目前中国经济面临极大的不确定性,为了更好应对经济不确定性及其产生的金融违约风险,系统性地评估不确定性冲击对中国经济波动的影响具有重要意义。本文利用中国企业债市场数据构建信用利差指标,实证分析发现信用利差与产出呈负相关、与不确定性指标呈正相关。同时,本文构建局部均衡模型,在理论层面阐明不确定性冲击通过信用利差影响经济波动的传导机制,并证实信用利差包含识别不确定性冲击的信息。最后本文构建新凯恩斯主义动态随机一般均衡模型,将信用利差数据纳入贝叶斯估计,结果表明2007年第二季度至2015年第四季度,不确定性冲击可以解释中国人均实际GDP增长率波动的13.04%,不确定性冲击的模拟数据对中国经济波动具有一定预测能力。

China’s economy is currently facing substantial uncertainty.To better address economic uncertainty and the resulting financial default risks,it is crucial to systematically assess the impact of uncertainty shocks on economic fluctuations in China.This paper first utilizes data from the Chinese corporate bond market to construct a credit spread index.Empirical analysis reveals a negative correlation between the credit spread index and aggregate output,and a positive correlation between the credit spread index and uncertainty indicators.Secondly,by constructing a partial equilibrium model,theoretical analysis elucidates the transmission mechanism through which uncertainty shocks impact economic fluctuations via credit spreads.These results suggest that the credit spread data should be considered for estimating uncertainty shocks.Finally,by including the credit spread index in a Bayesian estimation of a New Keynesian dynamic stochastic general equilibrium model,it is found that during the period from 2007Q2 to 2015Q4,uncertainty shocks account for 13.04%of the fluctuations in China’s per capita GDP growth rate.Overall,economic uncertainty remained stable and manageable during this period.The simulated data of uncertainty shocks exhibit certain.