中国信用市场情绪对宏观经济变动的影响分析  

An analysis of the influence of China’s credit market sentiment on macroeconomic fluctuations

作　　者：刘顺通 陆凤彬[2,3] 魏云捷 LIU Shuntong;LU Fengbin;WEI Yunjie(School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China;Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China;Center for Forecasting Science,Chinese Academy of Sciences,Beijing 100190,China)

机构地区：[1]中国科学院大学经济与管理学院,北京100190 [2]中国科学院数学与系统科学研究院,北京100190 [3]中国科学院预测科学研究中心,北京100190

出　　处：《系统工程理论与实践》2021年第12期3090-3100,共11页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金青年科学基金项目(71801213);国家自然科学基金委员会基础科学中心项目(71988101);中国科学院预测科学研究中心;国家数学与交叉科学研究中心资助。

摘　　要：行为金融理论认为信用市场情绪变化是造成宏观经济波动的重要原因.本文采用高收益率企业债与国债信用利差来代理信用市场情绪对国内生产总值(GDP)增速进行回归分析,检验了信用市场情绪对宏观经济波动的影响.实证研究发现:1)滞后一年的企业债信用利差上行能够预测当期GDP下行、工业增加值增速下降、企业部门杠杆率上升,变换样本时间区间或加入控制变量后研究结论仍然稳健;2)高收益率债券的发行份额能够有效地拟合滞后一年的信用利差,是信用市场情绪的重要代理变量;3)向量自回归(VAR)模型进一步验证了本文的实证结论,利差冲击会造成产出和消费下降,对投资的影响有限.本文构建的信用利差指标和高收益率债发行份额指标可以为宏观经济预警和分析提供一定的支撑,为经济政策制定者和投资者提供一定的参考.Behavioral finance theory holds that the change of credit market sentiment is an important cause of macroeconomic fluctuations.In this paper,high yield corporate bonds issuance share and bond credit spreads are used to agent credit market sentiment to analyse the impact of credit market sentiment on the fluctuations of macroeconomic.The empirical study shows that the increase in credit spreads on corporate bonds with one-year lag can predict the decline in Gross Domestic Product(GDP),Industrial Value-Added(IVA)growth,and the increase in corporate leverage level.Results remain robust with different time span and regression variables.Besides,the study also shows that issued share of high yield bond is a good agent variable for market sentiment.The VAR model confirms the previous relationship and confirms the conclusion that the spread shock will cause the main observed value of the real economy to go down.The credit spread index and high-yield bond issuance share index constructed in this paper can provide some support for macroeconomic warning and analysis and provide some reference for economic policy makers and investors.

关 键 词：企业债利差 行业利差 宏观经济波动 金融市场情绪 行为金融理论 

分 类 号：F222[经济管理—国民经济] F562