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由于违约风险的存在,企业债收益率和国债收益率之间会出现差值,即信用价差,信用价差的大小不仅取决于企业自身经营状况,还与宏观经济环境与整体运行情况密切相关。本文选取2007—2015年间的月度数据对信用价差和宏观经济的相互关系进行实证分析,从经济增长、通货膨胀、货币政策和资本市场中选择具有代表性的宏观经济变量,构建VAR模型,发现各宏观经济变量对信用价差均有显著影响,同时信用价差具备对未来宏观经济变动趋势的预测能力。最后,针对实证研究结论,提出相关政策建议。
Due to the existence of default risk, there will be a difference between the return on corporate bonds and the yield on government bonds. That is, credit spreads and credit spreads depend not only on their own operating conditions but also on the overall macroeconomic environment and overall operation. This paper selects the monthly data from 2007 to 2015 to analyze the relationship between credit spread and macroeconomy, selects representative macroeconomic variables from economic growth, inflation, monetary policy and capital market, builds a VAR model and finds that each Macroeconomic variables have a significant impact on credit spreads, while credit spreads have the ability to predict the future macroeconomic trends. Finally, for the conclusion of empirical research, put forward relevant policy recommendations.