The predictive power of yield spread: evidence from wavelet analysis

This paper examines whether the spread between long- and short-terminterest rates contains information about future economic activity in India. Using the yields on securities with maturities ranging from three months to ten years, we construct five different yield spreads at shorter end, longer end, and policy relevant area of the yield curve. We study the predictive power of each of these spreads for output growth within aggregate and time scale framework using wavelet methodology. We find that predictive power holds only at lower frequencies for the spreads which are constructed at shorter end and policy relevant areas of yield curve. However, spreads which are constructed at the longer end of the yield curve do not seem to have predictive information for output growth.     

我国企业债券信用利差宏观决定因素研究

文章以Merton(1974)的结构化模型为基础,基于2000年2月至2010年9月的面板数据,对影响我国沪深债市企业债券信用利差因素进行了实证研究。研究结果表明,GDP指数和M1发行量对企业债券信用利差的影响为正,无风险利率和收益率曲线斜率的影响为负。此外,模型的解释力明显随信用级别的降低而提高,且加入非线性变量和前期变量后模型的拟合度大幅提高,说明新模型更加符合实际情况。     

Sovereign Reputation and Yield Spreads: A Case Study on Retroactive Legislation

This paper uses recent legislation in Austria to establish a link between sovereign reputation and yield spreads. In 2009, Hypo Alpe Adria International, a bank previously co‐owned by the regional government of Carinthia, had been nationalized by Austria's central government in order to avoid a default triggering multi‐billion Euro local government guarantees. In 2015, special legislation retroactively introduced collective action clauses allowing a haircut on both the bonds and the guarantees while avoiding formal default. We document that legislative and administrative action designed to partly abrogate the guarantees resulted in a loss of reputation, leading to higher yield spreads for sovereign debt. Our analysis of covered bonds uncovers an increase in yield spreads on the secondary market and a deterioration of primary market conditions.     

How do experts forecast sovereign spreads?

This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents consider the expected evolution of the fiscal balance—and other economic fundamentals—to be significant drivers of the expected bond yield differential over a benchmark German 10-year bond. Our main result is that a projected improvement of the fiscal outlook significantly reduces expected sovereign spreads. This suggests that credible fiscal plans affect market experts’ expectations and reduce the pressure on sovereign bond markets. In addition, we show that expected fundamentals generally play a more important role in explaining forecasted spreads compared to realized spreads.     

转移支付均等化条件分析——基于转移支付与地方经济增长的关系

文章运用近16年的转移支付数据验证了龚六堂2000年的观点,即中央政府对地方政府的转移支付率与地方经济增长率之间是"倒U型"的关系。并在此基础上进一步推导出地方经济增长和中央政府对地方政府的转移支付之间也存在着这样"倒U"关系。用这种关系解释两个问题:第一,转移支付对地方经济增长有部分正的刺激作用,无论是富裕地区还是贫穷地区,中央政府都应该对其地方政府给予转移支付,同时转移支付也不是越多越好,也应该有个量的限制,当地方政府的收益足够大时,转移支付对经济增长的刺激就不再那么明显,反而会抑制地方经济增长;第二,从新的角度分析转移支付均等化实现的条件,即富裕地区较贫穷地区较早的进入"倒U"曲线的边际收益递减阶段时,才可能实现均等化。     

Monetary policy and corporate bond yield spreads

Firm characteristics, economic conditions and policy regimes are the key determinants that most researchers have used to explain corporate bond yield spreads. In this article, we examine whether monetary policy shocks are also important determinants given their ability to affect default risk, risk aversion and liquidity premiums. Using a Vector Autoregression (VAR) with long-run monetary neutrality, we find that monetary policy shocks do, in fact, account for a large portion of the variation in corporate bond yield spreads.     

Animal spirits: the effect of economic expectations on economic output

The public is characterized as able forecasters of future economic performance. They engage in rational expectations. Empirical evidence exists to bolster the claim. This article considers the possibility that the public does more than predict economic output. They may engage in a self-fulfilling prophecy where belief about the future economy translates into personal financial behaviour (e.g., consumption and investment) that actually drives economic performance. After controlling for rational expectations with elite forecasts, leading indicators and past economic performance, it is shown that between 5% and one-third of the variance in economic output can be explained by prospective economic sentiment. This result has broad implications for electoral behaviour research.     

Disentangling the Predictive Power of Term Spreads under Inflation Targeting

Under inflation targeting, S. Cho and J. Lee (2014, Inflation targeting and predictive power of term spreads. Seoul Journal of Economics, 27, 391–419), A. Estrella (2005, Why does the yield curve predict output and inflation? The Economic Journal, 115, 722–744) and P.L. Siklos (2000, Inflation targets and the yield curve: New Zealand and Australia versus the US. International Journal of Finance &; Economics, 5, 15–32) have reported that the predictive power of yield spreads for future inflation decreases in inflation targeting countries. In this paper, we decompose the yield spread into the expectations hypothesis component and the term premium, and find that the decrease in the predictability is mostly due to the deterioration of information embedded in the expectations hypothesis component. Our finding reveals that if inflation targeting is successful in achieving its main goal, then the expectations for future inflation are anchored at the target inflation rate (or range), and thereby the predictive contents of the term spreads regarding future inflation decrease.     

Assessing the predictive power of financial spreads in the euro area: does parameters instability matter?

In the empirical literature there is wide consensus that financial spreads cannot constitute a broadly based assessment on future output growth and inflation because the bivariate estimated regressions are not stable over time and lead to relatively poor out-of-sample forecasting performance (e.g. J Econ Liter 41:788–829, 2003). This conclusion arised for the USA, as well as for several European countries. In this paper we check whether the marginal predictive content of some financial spreads (the slope of the yield curve, the reverse yield gap and the credit spread) for macroeconomic forecasting in the euro area can be recovered using techniques taking into account potential parameters instability. We set up a quarterly Bayesian vector autoregression model with time-varying coefficients, comprising both target variables, as well as other monetary policy indicators, to serve as a benchmark. Then, the properties of the spreads as leading indicators are assessed by augmenting this benchmark BVAR with the spreads, one at a time. We find time variation of the coefficients to be a relevant issue in our model, especially for forecasting output growth, but financial spreads continue to have no or negligible marginal predictive content for both output growth and inflation. Overall, our results confirm that there is no ready-to-use financial spread that can replace an encompassing multivariate model for the prediction of target variables in the euro area.      

对新疆财政收入状况的分析与判断

近年来我国财政收入增长快于经济增长这一现象引起了世人的普遍关注，并由此引发了对财政收入与经济增长是否协调、企业负担是否加重等问题的思考。从税收负担、地方政府可支配财力、转移支付的公平效果进行分析，可得出结论：新疆财政收入增长过快的同时也加重了企业负担，且受新疆特定产业结构和分税制的影响，地方财力有所削弱。对此应当从产业政策和完善转移支付制度等方面进行调整。     

Risk Shocks and Credit Spreads

What moves corporate bond credit spreads? This paper employs a novel statistical method to extract the shock that accounts for the maximal amount of the forecast error variance of credit spreads over a given forecast horizon. I find that the extracted shock can explain a substantial portion of unpredictable fluctuations in credit spreads. In particular, impulse response functions indicate that it has a significant adverse effect on economic activity and financial markets, and closely resemble those of the risk shock as reported in Christiano et al. (2014). To investigate this interpretation more formally, I identify the risk shock using the VIX index as a measure of uncertainty proposed by Bloom (2009) and show that surprisingly, the two shocks are intimately related despite using different identification procedures. This finding implies that the risk shock is the main driver of movements in credit spreads, providing empirical evidence on their strong linkages with macroeconomic dynamics, as well as on their roles in presenting valuable information about future economic activity.     

Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence

This paper deals with transition mechanisms through which financial market conditions affect real economic growth in the Euro area. The informational content of financial variables for predicting real economic growth is assessed, allowing for asymmetric responses to shocks. A nonlinear framework is developed based on a smooth transition model for which the effects of shocks can vary across business cycles when financial indicators modify both the endogenous and state variables. Global financial variables are shown to significantly affect real growth in the Euro area, particularly during periods of recession. Changes in stock market index and yield slope have asymmetric effects on real growth. In recessionary periods, the slope of the US yield curve does not have a significant impact on growth in the Euro area.     

Forecasting recessions using financial variables: the French case

In this article, we focus on the ability of two financial variables—the yield curve spread and the euro–US dollar exchange rate—to predict French recessions over the period 1979–2010. First, we propose a turning point chronology for the French business cycle based on a classical conception of economic cycles and a non-parametric dating algorithm applied to the real GDP series. Second, static and dynamic probit models are developed and estimated to produce the recession probabilities. In-sample results show that the dynamic specification performs better than the static one and, above all, that the exchange rate has a stronger predictive power than the yield curve. Out-of-sample results finally confirm the predominant role assigned to the exchange rate in predicting the latest recession occurred in 2008.     

西部大开发税收优惠政策实施效果评估

本文通过对西部开发税收优惠政策与地区经济增长、企业生产经营行为以及地方财政收入关系的评估分析,认为西部开发税收优惠政策对经济增长具有明显促进作用,对企业资产利润率提高也具有显著正效应.但从2002年到2004年西部开发税收政策对西部经济增长促进效应不断降低.最主要的原因是政策涉及的垄断企业多,市场化企业少;能源开发、环境污染严重企业享受多,实现地方可持续发展企业享受少;优惠税额主要促进了中央大型能源开采垄断企业,大多数有利于西部地区经济可持续发展的支柱产业得不到有效支持.所以提出:西部开发税收优惠政策在覆盖面上应做有增有减,并做出延长政策时效等调整.     

经济发展中政府的财政行动逻辑及其影响

近年来,中央和地方政府的财政行动主要是为了获得拉动经济快速增长的资本积累。具体表现为:地方政府高度倚重土地财政收入,并将其作为拉动经济增长的投资资金;同时,中央和地方均高度重视通过政府投资来拉动经济增长。然而,政府的财政行动却导致中国经济陷入未来增长的不确定和发展环境不公的困境。作为应对,政府应在财政公共化的框架下逐步完成省以下分税分级财政体制的构建、规范土地出让金用途,以及建立以公共服务为导向的干部政绩考核制度。     

Contemporary Economics and Policy Issues in the U.S.

This paper outlines a variety of contemporary policy issues facing the U.S. economy. These issues include impediments to sustained economic growth and reduced unemployment, such as tax uncertainty and ill-conceived federal income tax policies. In addition, it provides an overview of four studies that deal with such topics as budget deficits and reduced economic freedoms, the implications of raising property taxes as a source of funds for revenue-starved local governments, the regional impacts of the world-wide recession for a specific locality in the U.S., namely, Hampton Roads, Virginia, and the relationship between yield curve inversion and the incidence of recession.     

Uncertainty and liquidity in corporate bond market

We examine the uncertainty–liquidity connection in the corporate bond market. Using monthly corporate bond data from 2005 to 2010, we construct proxies for parameter uncertainty by using firm-level parameters generated from a structural model of corporate debt. We find that uncertainty about firm parameters decreases trading volume but increases bid-ask spreads and price bouncing in the cross-section and across time. In addition, the panel VAR results show that parameter uncertainty has negative forecasting power for future bond liquidity, with greater uncertainty in the current month leading to lower trading volume, higher bid-ask spreads and higher price fluctuations on subsequent months. We conclude that parameter uncertainty is one of the underlying factors giving rise to the high level of illiquidity in the corporate bond market.     

数字经济与企业战略变革——基于A股上市公司的经验证据

企业战略变革是转变经济增长方式、促进产业转型升级的有效途径。在数字经济蓬勃发展的背景下,本文基于企业战略变革这一理论视角,选取2011—2021年A股上市公司数据,实证检验数字经济对企业战略变革的影响效应及其作用机制。研究发现,首先,数字经济发展程度越高,越能提升企业战略变革水平,这一结论在选取历史数据作为工具变量及稳健性检验后仍然成立;其次,当内部董事会独立性与外部媒体关注度越高时,强化了数字经济发展程度与企业战略变革之间的正向关系;进一步地,数字经济发展程度对企业战略变革的激励效应得益于企业创新能力与风险承担水平的提升,异质性分析表明在非国有和成长期、成熟期企业样本中上述关系更加明显;最后,企业战略变革能够提升企业市场价值和要素配置效率。本研究助推了战略变革动因以及数字经济赋能企业高质量发展的效应、机制和企业性质差异的理解,为更好地驱动企业战略发展提供参考建议。     

Lessons from Nominal Convergence in Slovenia

Two years after joining the ERM2 mechanism Slovenia had fulfilled the legal requirements for joining EMU as well as the Maastricht criteria. This article analyses how the path to EMU affected Slovenian nominal convergence, more specifically yield spread movements for standardised maturities. For that purpose daily Slovenian yield curves were estimated in the period after introduction of the OTC–DVP market. The results show that yield spreads between the Slovenian and the generic EMU government yield curves decreased significantly at the beginning of March 2006 when Slovenia requested individual appraisal of EMU criteria fulfilment. Yield spreads decreased further in July 2006 when the definite fixed exchange rate was set.     

The Sovereign Yield Curve and the Macroeconomy in China

A dynamic Nelson–Siegel model is adopted to estimate three time‐varying factors of yield curves, the level, the slope and the curvature, and a vector autoregressive model is built to study interactions between macro variables and the yield curve. Results show that, first, money supply growth is a more effective instrument to curb inflation than the monetary policy interest rate; however, the central bank also adjusts the interest rate to stabilize money supply. Second, investment is an important measure to stimulate the Chinese economy, but it also pushes up money supply growth, which results in higher inflation. Third, the yield curve reacts significantly to innovations to investment growth and money supply growth. The segmentation of China's bond market hinders the efficient implementation of monetary policy, and the monetary policy transmission mechanism is still weak in China. Finally, interactions between the yield curve and the macroeconomy in China are nearly unidirectional. Macroeconomic variables reshape the yield curve, but direct adjustments of the yield curve do not significantly change macroeconomic variables. Due to the incomplete liberalization of financial markets, there exists a wide disjunction between the real economy and financial markets in China.