信用价差与中国宏观经济波动——基于一种新构建的信用价差指数的实证研究

本文基于Gilchrist (2009)的自下向上方法,利用中国二级市场上企业债券的交易数据,构建了一种新的信用价差指数即GZ指数,并用其预测宏观经济变量的波动状况.实证研究表明,包含GZ指数的实证模型对大部分宏观经济变量的未来波动有着显著的解释能力.具体而言,在各种预测期限下,包含信用价差的模型对未来消费、产出与通货膨胀的变化有着较为显著的预测能力,其拟合优度远高于不合信用价差变量的模型的拟合优度.

Credit Spread and Chinese Macro Economy Fluctuation: An Empirical Study Based on a New Constructed Credit Spread Index

With the method of "bottom-up" of Gilchrist(2009)this paper construct a credit spread index,named GZ index and uses the GZ index to forecast the fluctuation of macroeconomic variables.The result shows that the model,which includes the GZ index,has the significant power to explain the fluctuation of most macroeconomics variables in the future.To explain specifically,under different forecasting horizons,the model including credit spread variables has significant power to explain the fluctuation of consumption,production and inflation,and its fitting degree is far higher than the model which does not include the credit spread variables.