The Information Of Economic Growth Implied In The Corporate Bonds Credit Spread Term Structure Of Our Country

In recent years, Chinese corporate bond market has obtained a rapid development. The market system is getting more and more formalized, the market continues to expand the scale, the degree of marketization continuously improves, the enthusiasm of investors to participate in is increasing. Corporate bond as enterprise’s external direct financing tool in the financial market plays an increasingly important role, market participants participate in market activities based on the acquired information and expected information, the final result of participating activities is to form the equilibrium price, namely enterprise external financing premium-corporate bond credit spread. Therefore, corporate bond credit spread may contain the expected information of the market participants, the future economic growth is very important information among them, the proper expectation can make investors keep proper income-risk ratio. Accordingly, this paper firstly makes theoretical analysis about the relationship between the corporate bond credit spread and economic growth from the view of external finance premium, and empirical test about the economic growth information implicated in corporate bond credit spread of China.Corporate bond credit spread is the price which the external financing price beyond the risk-free rate of return because of the risk of the enterprises’financing project, when enterprise has external financing activities, also called the external financing premium of enterprise. Enterprise external finance is vulnerable to the entity economy environment, this makes the academia keep studying the entity economic information which implied in the corporate bond credit spread for a long time, they had drawn some positive conclusion, and found that Corporate bond credit spread certainly contains the expected future economic growth information, however, the existing literatures mostly study foreign mature corporate bond market. Along with Chinese corporate bond market develops rapidly. Does the corporate bond credit spread imply the future economic growth information? and to what extent?This paper combs out the research context of the corporate bond credit spread, based on a large number of the related research literature about the relationship between macro economic financial indicator and corporate bond credit spread, this paper extracts the key argument as a part of the theoretical basis. Then, from the view of the external finance premium, this paper analyses the theory of relationship between the corporate bond credit spread and economic growth by constructing partial equilibrium model and general equilibrium model. Finally, this paper selects the secondary corporate bond market trading data, through the general time sequence model and LAR algorithm model, empirically analyses the corporate bond credit spread’s prediction ability to economic growth and relatively to the other financial indicators, this draws a empirical conclusion that Chinese corporate bond credit spread implies economic growth information.Through the above research, this paper finds that the corporate bond credit spread has a strong prediction ability to the economic growth for the medium-term level, and the AA level’s is more stronger than the AAA level’s. In addition, corporate bond credit spread shows its strong prediction ability relative to other macro economic financial indicator. On this basis, this paper proposes some suggestions of the development of corporate bond market in China, in order to improving the market maturity extent, perfecting the market mechanism, promoting the market development, and also puts forward to taking corporate bond credit spread as one of the macro economic financial indicators.