信用价差期限结构与宏观经济相关性研究

发布时间：2017-12-31 10:32

本文关键词：信用价差期限结构与宏观经济相关性研究　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来,我国债券市场的发展步入了快车道,债券成交额不断增加,交易主体不断拓展,中小企业集合债、短期融资券和超短期融资券等新品种不断涌现,不仅为企业提供了直接融资的新渠道,也完善了我国资本市场的发展,形成了股票市场和债券市场共同发展的新局面。然而,国内外的经济始终处于不断的变化中,如何在纷繁复杂的资本市场中寻找能够反映未来经济变动的信号、准确预判未来经济形势的走势就成为了政策制定者和各类投资者等市场参与者所关注的课题。作为资本市场的重要组成部分,债券市场能够及时的反映其他宏观经济变量的变动,债券价格中蕴含的利率期间结构与宏观经济的相关性受到市场参与者的高度重视。在国债、金融债券等利率债券快速发展的同时,信用债券也取得了长足的发展,交易额、流动性不断上升,在原有企业债、公司债的基础上陆续推出中小企业集合债、短期融资券和超短期融资券等债券品种,这为我国信用利差的研究提供了充足的数据和研究基础。关于信用价差期限结构与宏观经济的相关性,国外学者普遍认为信用价差是预测宏观经济的先行性指标,而国内关于信用价差期限结构的研究多集中于对信用价差的理论分析及决定因素的分析,对于信用价差期限结构与宏观经济相关性的实证研究却鲜有涉及,对于利用期限结构模型构建信用价差期限结构曲线的研究更是凤毛麟角,在此背景下,本文对信用价差期限结构与宏观经济相关性进行较为深入的研究。本文主要分为五个部分对信用利差期限结构与宏观经济相关性进行研究。第一部分为绪言。在阐述本文选题背景和选题意义的基础上,对与本文研究相关的国内外文献进行了综述,交待本文的内容结构、研究方法和创新点等。第二部分是信用价差与宏观经济相关性的理论分析。本文分别通过分析信用价差与经济增长、通货膨胀、货币政策和资本市场等四大类变量的相关性,从理论上得出信用价差与经济增长、货币政策呈负相关关系,而与通货膨胀呈正相关关系,信用价差与资本市场的关系不确定；并希望通过实证研究论证理论分析的准确性。第三部分是信用价差期限结构的构建。本文运用Fama-Bliss方法剥离出上海证券交易所中企业债、公司债和国债的收益率数据,利用AFDNS模型拟合出信用债券和利率债券的收益率曲线,并构建了信用价差综合指数。第四部分是信用价差期限结构与宏观经济相关性的实证分析。首先基于前文理论分析选取反映宏观经济的四大类共计6个指标,并将信用价差综合指数纳入模型构建相关性分析的样本空间。其次根据实证研究的需要,本文选取月度数据进行处理,并对数据进行季节性的调整。再次利用VAR模型,采用协整检验、Granger因果检验、脉冲响应和方差分解等方法,考察信用价差期限结构与宏观经济变量之间是否存在相关性。第五部分是结论与政策建议。通过本文理论分析与实证研究,信用价差期限结构与宏观经济之间存在相关性,宏观经济的变动能够影响信用价差的变动,而信用价差能够提前反映宏观经济的变动,具有较好的先行性。但由于我国债券市场的分割等原因,信用价差的预测效果并不十分理想,还存在一些与理论相悖的情况,本文进一步提出了提高信用价差预测能力的政策建议。通过本文的研究分析可以得出信用价差期限结构与宏观经济之间存在相关性,信用价差对宏观经济具有较好的预测能力,所以应将信用价差期限结构纳入宏观经济的先行指标中。与此同时,信用利差的预测效果还不是十分理想,应进一步完善我国债券市场,以使信用价差期限结构成为更有效的宏观经济预测指标。
[Abstract]:In recent years, the development of China's bond market into the fast lane, the bond turnover increased, trading subject continues to expand, SME debt collection, short-term financing bonds and ultra short-term financing bonds and other new varieties are emerging, not only provides a new channel for direct financing for enterprises, but also improve the development of China's capital market. The formation of a new situation in the stock market and bond market common development. However, the domestic and foreign economy is always in constant change, how to find the signal can reflect the future economic changes in the complexity of the capital market, accurately predict the trend of the future economic situation has become policy makers and investors and other market participants the concern. As an important part of the capital market, the bond market can timely reflect changes in other macroeconomic variables, the interest rate period contains bond prices Correlation between structure and macro economy is highly valued by market participants. In government bonds, financial bonds and other interest rate bonds rapid development at the same time, credit bond has made considerable development, trading volume, liquidity is rising, in the original basis of corporate bonds, corporate bonds launched SME debt collection, short-term financing bonds and ultra short term financing bonds and other varieties of bonds, this provides sufficient data and research basis for the study of China's credit spreads.
Regarding the relationship between the credit spread term structure and macro economy, foreign scholars generally believe that the credit spread is the leading indicators of macroeconomic forecasting, analysis and Research on the term structure of credit spreads are more focused on the theoretical analysis and decision of credit spread factors, empirical studies on the relationship of credit spread term structure and macro economy are rarely to research on constructing the credit spread term structure curve using the term structure model is very rare, under this background, in-depth research on the correlation of credit spread term structure and macro economy.
This article is mainly divided into five parts to study the correlation between the term structure of credit spreads and the macro economy.
The first part is the introduction. In this paper the background and meaning, summarizes the related research of the domestic and foreign literature, explain the content and structure of this thesis, research methods and innovation.
The second part is to analyze the correlation between credit spreads and macroeconomic theory. This paper analyzes the credit spread and economic growth, through inflation, monetary policy and capital market between four categories of variables, that credit spreads and economic growth theoretically, there was a negative correlation between the monetary policy and inflation was positively correlated with relationship, relationship credit spreads and capital market uncertainty; and hope that the accuracy through empirical research to prove the theoretical analysis.
The third part is the construction of the credit spread term structure. This paper uses stripping out the enterprise in the Shanghai stock exchange bonds Fama-Bliss, corporate bonds and bond yield data, using the AFDNS model of credit bonds and interest rate bonds yield curve, and construct a credit spread index.
The fourth part is the empirical analysis of the correlation of credit spread term structure and macro economy. Based on the above theoretical analysis are selected to reflect the four categories a total of 6 macroeconomic indicators, and the credit spread index into the model correlation analysis of the sample space. Secondly according to the empirical research, this paper selects the monthly data, and the seasonal adjustment of the data again. By using VAR model, cointegration test, Granger causality test, impulse response and variance decomposition method, the correlation between the effects of the credit spread term structure and macroeconomic variables.
The fifth part is the conclusion and policy suggestion. Through the analysis and empirical research on this theory, there is a correlation between the credit spread term structure and macro economy, macroeconomic fluctuation can affect the credit spread changes, while credit spreads can reflect the changing of macro economy in advance, has the first good. But because of China's bond market segmentation the reason, the prediction effect of credit spreads is not ideal, and there are still some theory, this paper further puts forward improving credit spread prediction ability of policy recommendations.
Through the study of this article can draw the correlation between credit spread term structure and macro economy, credit spreads has good prediction ability on macro economy, so it should be included in the credit spread term structure macroeconomic leading indicators. At the same time, the prediction effect of credit spreads is not ideal, we should further improve China's bond market. In order to make the credit spread term structure become more effective macroeconomic forecasting index.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

【参考文献】