The Research On The Forecasting Ability Of Credit Spreads On Macro Economic Trend

On2008, the subprime crisis of American caused by the global financial crisis has gradually gone, but the impact of this crisis on the global economy still makes people shiver all over, then the European sovereign debt crisis made us identified the importance and complexity of credit risk management. Credit spreads the bond yield to maturity and the risk-free interest rate as a difference to judge the credit product relative value, recently has received more and more attention. Under the background of the financing structure in China is changing from indirect financing to direct financing, credit spreads as direct financing risk is an important measure index, eliminate the risk free interest rate effect, to achieve efficient risk pricing. At the same time, credit spreads implies a lot of information about economy, especially whether the economy is boom or not in the future. So the credit spread can be used as a measure of the macro economic trend and that becomes a subject worth further study.With the development of our national economy and the improvement of the financial market, credit bond market has been rapid development. As an indispensable part of the enterprise survival and development, the bond financing plays a more important role than ever in the financial market. When the financial crisis exploded in2008, our country issued the medium-term notes as innovative financing tools to further broaden the bond market of our country. In March2012, the circulation of short-term commercial papers, medium-term notes and enterprise bonds had reached458billion Yuan in our country. That circulation of the bonds has provided sufficient data for my research.At present, foreign study about the forecasting capability of credit spreads on macroeconomic has shown that the credit spreads is a good index to forecast the macroeconomics, but the domestic academician mostly focus on the research on the determinants of credit spreads instead of the credit spreads on macroeconomic forecasting ability. In consideration of that, my paper will focus on the forecasting capability of credit spreads.This paper is divided into six parts. The first part is introduction. In this part I introduced the background and significance of my topics and reviewed the related literature at home and abroad. And this involves some basic concepts, at last presented the contents and structure of this thesis and my research methods and innovation.The second part is an initial observation and analysis on the basic trend between credit spreads and the macro economic. First, briefly introduces the development of China’s bond market has provided sufficient data for the following research. Then, briefly introduce the development of the macro economic in our country in recent years. Through the preliminary observation and comparison of credit spreads and the macro economic trend, we can see that there is a certain negative correlation between them.The third part is the theoretical analysis of the impact of credit spreads. This paper analyses the impact of credit spreads on investment, consumption and investment multiplier effect, and then analyses the impact of credit spreads on macro economy. And based on this, my paper raises the viewpoints that empirical analysis need to verify.The fourth part is the credit spreads forecasting model on macroeconomic. Firstly, choose data for the positive analysis. My paper chooses credit spreads in different maturity and different credit rating of short-term commercial papers, medium-term notes and enterprise bonds and the credit spreads index. Secondly, the data processing, make the data in the same frequency and make seasonal adjustment to the macro economic data. Thirdly, construct the cumulative annual rate of economic growth in the future and use the least square regression method to inspect the credit spreads prediction ability on the macro economic trend.The fifth part is the empirical analysis. Through the above model I conducted the empirical test and got a conclusion that credit spreads can predict the macro economic trend effectively. But not all the results are effective, and this thesis analyses the reasons. The bond market in our county needs to be improved further. The sixth part is the conclusion and policy suggestion. Through this research a conclusion can be drawn that credit spreads has good prediction ability, so we should improve our bond market to improve the forecasting ability of credit spreads. Then, this paper further puts forward a series of suggestions to perfect China’s interbank bond market, in order to make the credit spread to become more effective macroeconomic forecasting index.