Changes In Credit Spreads Of Corporate Bonds And Macroeconomic Volatility

Since August 2007 the outbreak of the US subprime mortgage crisis, it triggered a global financial crisis. Although the crisis so far has been gradually far away, but the global economic influence this crisis has brought to is still shudder. Then the European sovereign debt crisis also highlights the importance of the credit risk management. Once credit markets appeared chaos, financial asset price changes will be rapid response, the change to the economic downturn has early warning role. Credit spreads refers to premium that investors asked to provide additional compensation for higher risk-free return when in the credit risk, the index to judge the relative value of credit products and measure the degree of match between the benefits and risks is of great significance, because its eliminating the influence of the risk-free profits and implements the effective pricing of risk, itself also contains a lot of economic information, therefore, whether credit spreads as a measure of macroeconomic leading indicator of future movements or not gets more and more attention of scholars both at home and abroad in recent years and they also expand relatively rich relevant studies. Including a large number of empirical studies have found that the credit spreads of the bond changes on macro economy has stronger ability to predict future movements, and the index is superior to the commonly used general predictor. While domestic researches mainly focus on the determinants of credit spreads,less on the relationship between the changes in credit spreads and macroeconomic volatility research. With the development of our country’s economy and financial market gradually perfect, our country’s financing structure changes from the indirect financing to direct financing, credit bond market becomes the indispensable financing channels for the enterprise’s survival and development. The bond market’s scale has also been of an unprecedented rapid development. This provides a research basis and abundant data to the study of our country’s credit spreads. In this background, the relationship between the changes of enterprise bond credit spreads and macro economic trends were studied in this paper.This paper is divided into five parts to study the relationship between the enterprise bond credit spreads and macroeconomic. The first part puts forward the problems and the significance of the study, research purpose and scope, structure arrangement and the research method of this article. The second part reviews the related literature on credit spreads at home and abroad. The third part is about the general analysis of corporate credit spreads, including the basic theory of corporate credit spreads on calculation and analysis of the reality of corporate credit spreads. The fourth part we build the overall index of the credit spreads and the basic statistical analysis of the index. Fifth part from the perspective of empirical analysis, we establish the VAR model and the impulse response and variance decomposition to study the forecasting ability of the corporate credit spreads to the fluctuation of macroeconomic, and a comparison is made with the interest rate term structure theory in this part.Through the study of this article analysis, corporate credit spreads has stronger ability to predict the macro economic situation, and credit spreads as a leading indicators to measure of the tendency of economic has a realistic significance.