A New Credit Spread to Predict Economic Activities in China  

作　　者：WANG Lei NIE Changhong WANG Shouyang 

机构地区：[1]School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China [2]Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China

出　　处：《Journal of Systems Science & Complexity》2019年第4期1140-1166,共27页系统科学与复杂性学报（英文版）

基　　金：supported by Chinese Academy of Sciences under Grant No.Y82901DEA2

摘　　要：In recent years,the relationship between bond spreads and macro economy has been studied extensively by economists in western countries.However,few attentions were paid on this topic in China.This essay regards Chinese bond market as a complex system and constructs bond indices for China with the bottom-up approach.The authors use the data of 3,205 non-financial corporate bonds from February 2010 to October 2017 and construct a new spread noted as the PE SOE spread.The authors find that the PESOE spread has a negative impact on economic activities and has the best predictive ability at short-run forecasting horizons,owing to the institutional superiority of the stateowned enterprises in China.The Treasury bond yields are found to have the best predictive ability at long-run horizons.Both spread shock and Treasury yield shock could lead to deflation and declines in economic activities,and the Treasury yield shock has a more severe and persistent impact on the economy due to the financial accelerator mechanism.PESOE spread is proved to be a better indicator for Chinese corporate bond market and can be widely used not only in future Chinese economic studies,but also for Chinese government’s macroeconomic monitoring and warning.In recent years, the relationship between bond spreads and macro economy has been studied extensively by economists in western countries. However, few attentions were paid on this topic in China. This essay regards Chinese bond market as a complex system and constructs bond indices for China with the bottom-up approach. The authors use the data of 3,205 non-financial corporate bonds from February 2010 to October 2017 and construct a new spread noted as the PE SOE spread. The authors find that the PESOE spread has a negative impact on economic activities and has the best predictive ability at short-run forecasting horizons, owing to the institutional superiority of the stateowned enterprises in China. The Treasury bond yields are found to have the best predictive ability at long-run horizons. Both spread shock and Treasury yield shock could lead to deflation and declines in economic activities, and the Treasury yield shock has a more severe and persistent impact on the economy due to the financial accelerator mechanism. PESOE spread is proved to be a better indicator for Chinese corporate bond market and can be widely used not only in future Chinese economic studies,but also for Chinese government’s macroeconomic monitoring and warning.

关 键 词：Chinese BOND market CORPORATE BOND SPREADS CREDIT SPREADS financial accelerator private ENTERPRISES STATE-OWNED ENTERPRISES 

分 类 号：O1[理学—数学]