The Research On The Interaction Between Term Structure Of Credit Spreads And Macroeconomy

In recent years, Chinese bond market has developed into the fast lane. The bond trading volume and participation body continue to increase; Kinds of new varieties, such as SMEs set bond, Short-term Commercial Paper and Super&short-term Commercial Paper and so on, are emerging. This not only provides the new channels of direct financing for the enterprise, but also improves the development of capital market in our country. So the common development of stock market and bond market is achieved. Domestic and foreign economic, however, is always in constant change. How to find signals that can reflect the future economic fluctuation in the complicated capital market and how to predict accurately the future trend of the economic situation are of universal concern to policy makers, all kinds of investors and other market participants. As an important part of capital market, the bond market can timely reflect changes in other macroeconomic variables. The correlation of macroeconomic variables and the interest rate term structure in bond prices is paid high attention to by market participants. With rapid development of Treasury bonds and financial bonds, credit bond also makes a rapid.growth, whose trading volume and liquidity is rising. On the basis of the original corporate bonds and corporate bonds, new varieties such as SMEs set debt, Short-term Commercial Paper and Super&short-term Commercial Paper and so on, are provided. This provides ample data and research base for the research on credit spreads.About the correlation of term structure of credit spreads and macro-economy, the foreign scholars generally think that credit spreads is leading indicators of macroeconomic. however the domestic research on term structure of credit spreads are focusing on the theory of credit spreads and the analysis of determinants; The empirical study on macroeconomic relevance are rarely involved; The research on building a credit spread term structure curve by using the term structure model is more rare. In this context, this paper makes more in-depth research on the relevance of term structure of credit spreads and macroeconomic.This paper is divided into five parts. The first part is exordium. On the basis of selected topic background and the selected topic significance, this paper reviewed the related to this article research literature at home and abroad, and explains the contents of the structure, research methods and innovative points, etc.The second part is the theoretical analysis of correlation of the credit spreads and macroeconomic. This paper theoretically concludes that credit spreads are negatively related to economic growth, the monetary policy, and positively correlated with inflation, the relationship between the credit spreads and capital market uncertainty through the analysis of credit spreads and economic growth, inflation, monetary policy and capital market variables, the four categories of relevance. And the paper hopes to demonstrate the accuracy of the theoretical analysis by the empirical study.The third part is the construction of term structure of credit spreads. By Fama-Bliss method, this paper strips out yield data from corporate bonds, corporate bonds and Treasury in the Shanghai stock exchange, and fits the yield curve by using AFDNS model. Finally, the paper constructs the comprehensive index of credit spreads.The fourth part is the empirical analysis on the correlation of the term structure of credit spreads and macroeconomic. Firstly, based on the four categories of a total of six macroeconomic indicators in previous theoretical analysis, the paper puts comprehensive index and credit spreads into the model and constructs the sample space. Secondly, according to empirical research, this article selects monthly data processing, and the data are seasonal adjusted. Again by using VAR model, Granger causality test, impulse response and variance decomposition method, the paper confirms whether there is the correlation between the term structure of credit spreads and macroeconomic variables.The fifth part is conclusion and policy suggestions. By theoretical analysis and empirical research, in this paper, the conclusion is that there are correlation between the term structure of credit spreads and macroeconomics. Changes of the macroeconomic can affect the change of credit spreads; And credit spreads can reflect changes in the macroeconomic ahead of time, and has good predictive. But because of segmentation of Chinese bond market, the prediction effect of credit spreads is not very ideal. And there is also something contrary to the theory. This paper further puts forward the policy suggestions to raise the capacity of prediction of credit spreads.This article can conclude that there is correlation between the term structure of credit spreads and macroeconomics. Credit spreads on macroeconomics has good prediction ability. So the term structure of credit spreads should be incorporated into the leading indicators of macroeconomic. Meanwhile, credit spreads prediction effect is not very ideal. So China securities market should be further perfected. And to make the term structure of credit spreads to become more effective macroeconomic forecasting index.