本文關(guān)鍵詞：信用價(jià)差期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)相關(guān)性研究　出處：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用價(jià)差 信用價(jià)差期限結(jié)構(gòu) 宏觀經(jīng)濟(jì) AFDNS模型

【摘要】：近年來,我國債券市場(chǎng)的發(fā)展步入了快車道,債券成交額不斷增加,交易主體不斷拓展,中小企業(yè)集合債、短期融資券和超短期融資券等新品種不斷涌現(xiàn),不僅為企業(yè)提供了直接融資的新渠道,也完善了我國資本市場(chǎng)的發(fā)展,形成了股票市場(chǎng)和債券市場(chǎng)共同發(fā)展的新局面。然而,國內(nèi)外的經(jīng)濟(jì)始終處于不斷的變化中,如何在紛繁復(fù)雜的資本市場(chǎng)中尋找能夠反映未來經(jīng)濟(jì)變動(dòng)的信號(hào)、準(zhǔn)確預(yù)判未來經(jīng)濟(jì)形勢(shì)的走勢(shì)就成為了政策制定者和各類投資者等市場(chǎng)參與者所關(guān)注的課題。作為資本市場(chǎng)的重要組成部分,債券市場(chǎng)能夠及時(shí)的反映其他宏觀經(jīng)濟(jì)變量的變動(dòng),債券價(jià)格中蘊(yùn)含的利率期間結(jié)構(gòu)與宏觀經(jīng)濟(jì)的相關(guān)性受到市場(chǎng)參與者的高度重視。在國債、金融債券等利率債券快速發(fā)展的同時(shí),信用債券也取得了長足的發(fā)展,交易額、流動(dòng)性不斷上升,在原有企業(yè)債、公司債的基礎(chǔ)上陸續(xù)推出中小企業(yè)集合債、短期融資券和超短期融資券等債券品種,這為我國信用利差的研究提供了充足的數(shù)據(jù)和研究基礎(chǔ)。 關(guān)于信用價(jià)差期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)的相關(guān)性,國外學(xué)者普遍認(rèn)為信用價(jià)差是預(yù)測(cè)宏觀經(jīng)濟(jì)的先行性指標(biāo),而國內(nèi)關(guān)于信用價(jià)差期限結(jié)構(gòu)的研究多集中于對(duì)信用價(jià)差的理論分析及決定因素的分析,對(duì)于信用價(jià)差期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)相關(guān)性的實(shí)證研究卻鮮有涉及,對(duì)于利用期限結(jié)構(gòu)模型構(gòu)建信用價(jià)差期限結(jié)構(gòu)曲線的研究更是鳳毛麟角,在此背景下,本文對(duì)信用價(jià)差期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)相關(guān)性進(jìn)行較為深入的研究。 本文主要分為五個(gè)部分對(duì)信用利差期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)相關(guān)性進(jìn)行研究。 第一部分為緒言。在闡述本文選題背景和選題意義的基礎(chǔ)上,對(duì)與本文研究相關(guān)的國內(nèi)外文獻(xiàn)進(jìn)行了綜述,交待本文的內(nèi)容結(jié)構(gòu)、研究方法和創(chuàng)新點(diǎn)等。 第二部分是信用價(jià)差與宏觀經(jīng)濟(jì)相關(guān)性的理論分析。本文分別通過分析信用價(jià)差與經(jīng)濟(jì)增長、通貨膨脹、貨幣政策和資本市場(chǎng)等四大類變量的相關(guān)性,從理論上得出信用價(jià)差與經(jīng)濟(jì)增長、貨幣政策呈負(fù)相關(guān)關(guān)系,而與通貨膨脹呈正相關(guān)關(guān)系,信用價(jià)差與資本市場(chǎng)的關(guān)系不確定；并希望通過實(shí)證研究論證理論分析的準(zhǔn)確性。 第三部分是信用價(jià)差期限結(jié)構(gòu)的構(gòu)建。本文運(yùn)用Fama-Bliss方法剝離出上海證券交易所中企業(yè)債、公司債和國債的收益率數(shù)據(jù),利用AFDNS模型擬合出信用債券和利率債券的收益率曲線,并構(gòu)建了信用價(jià)差綜合指數(shù)。 第四部分是信用價(jià)差期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)相關(guān)性的實(shí)證分析。首先基于前文理論分析選取反映宏觀經(jīng)濟(jì)的四大類共計(jì)6個(gè)指標(biāo),并將信用價(jià)差綜合指數(shù)納入模型構(gòu)建相關(guān)性分析的樣本空間。其次根據(jù)實(shí)證研究的需要,本文選取月度數(shù)據(jù)進(jìn)行處理,并對(duì)數(shù)據(jù)進(jìn)行季節(jié)性的調(diào)整。再次利用VAR模型,采用協(xié)整檢驗(yàn)、Granger因果檢驗(yàn)、脈沖響應(yīng)和方差分解等方法,考察信用價(jià)差期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)變量之間是否存在相關(guān)性。 第五部分是結(jié)論與政策建議。通過本文理論分析與實(shí)證研究,信用價(jià)差期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)之間存在相關(guān)性,宏觀經(jīng)濟(jì)的變動(dòng)能夠影響信用價(jià)差的變動(dòng),而信用價(jià)差能夠提前反映宏觀經(jīng)濟(jì)的變動(dòng),具有較好的先行性。但由于我國債券市場(chǎng)的分割等原因,信用價(jià)差的預(yù)測(cè)效果并不十分理想,還存在一些與理論相悖的情況,本文進(jìn)一步提出了提高信用價(jià)差預(yù)測(cè)能力的政策建議。 通過本文的研究分析可以得出信用價(jià)差期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)之間存在相關(guān)性,信用價(jià)差對(duì)宏觀經(jīng)濟(jì)具有較好的預(yù)測(cè)能力,所以應(yīng)將信用價(jià)差期限結(jié)構(gòu)納入宏觀經(jīng)濟(jì)的先行指標(biāo)中。與此同時(shí),信用利差的預(yù)測(cè)效果還不是十分理想,應(yīng)進(jìn)一步完善我國債券市場(chǎng),以使信用價(jià)差期限結(jié)構(gòu)成為更有效的宏觀經(jīng)濟(jì)預(yù)測(cè)指標(biāo)。
[Abstract]:In recent years, the development of China's bond market into the fast lane, the bond turnover increased, trading subject continues to expand, SME debt collection, short-term financing bonds and ultra short-term financing bonds and other new varieties are emerging, not only provides a new channel for direct financing for enterprises, but also improve the development of China's capital market. The formation of a new situation in the stock market and bond market common development. However, the domestic and foreign economy is always in constant change, how to find the signal can reflect the future economic changes in the complexity of the capital market, accurately predict the trend of the future economic situation has become policy makers and investors and other market participants the concern. As an important part of the capital market, the bond market can timely reflect changes in other macroeconomic variables, the interest rate period contains bond prices Correlation between structure and macro economy is highly valued by market participants. In government bonds, financial bonds and other interest rate bonds rapid development at the same time, credit bond has made considerable development, trading volume, liquidity is rising, in the original basis of corporate bonds, corporate bonds launched SME debt collection, short-term financing bonds and ultra short term financing bonds and other varieties of bonds, this provides sufficient data and research basis for the study of China's credit spreads.
Regarding the relationship between the credit spread term structure and macro economy, foreign scholars generally believe that the credit spread is the leading indicators of macroeconomic forecasting, analysis and Research on the term structure of credit spreads are more focused on the theoretical analysis and decision of credit spread factors, empirical studies on the relationship of credit spread term structure and macro economy are rarely to research on constructing the credit spread term structure curve using the term structure model is very rare, under this background, in-depth research on the correlation of credit spread term structure and macro economy.
This article is mainly divided into five parts to study the correlation between the term structure of credit spreads and the macro economy.
The first part is the introduction. In this paper the background and meaning, summarizes the related research of the domestic and foreign literature, explain the content and structure of this thesis, research methods and innovation.
The second part is to analyze the correlation between credit spreads and macroeconomic theory. This paper analyzes the credit spread and economic growth, through inflation, monetary policy and capital market between four categories of variables, that credit spreads and economic growth theoretically, there was a negative correlation between the monetary policy and inflation was positively correlated with relationship, relationship credit spreads and capital market uncertainty; and hope that the accuracy through empirical research to prove the theoretical analysis.
The third part is the construction of the credit spread term structure. This paper uses stripping out the enterprise in the Shanghai stock exchange bonds Fama-Bliss, corporate bonds and bond yield data, using the AFDNS model of credit bonds and interest rate bonds yield curve, and construct a credit spread index.
The fourth part is the empirical analysis of the correlation of credit spread term structure and macro economy. Based on the above theoretical analysis are selected to reflect the four categories a total of 6 macroeconomic indicators, and the credit spread index into the model correlation analysis of the sample space. Secondly according to the empirical research, this paper selects the monthly data, and the seasonal adjustment of the data again. By using VAR model, cointegration test, Granger causality test, impulse response and variance decomposition method, the correlation between the effects of the credit spread term structure and macroeconomic variables.
The fifth part is the conclusion and policy suggestion. Through the analysis and empirical research on this theory, there is a correlation between the credit spread term structure and macro economy, macroeconomic fluctuation can affect the credit spread changes, while credit spreads can reflect the changing of macro economy in advance, has the first good. But because of China's bond market segmentation the reason, the prediction effect of credit spreads is not ideal, and there are still some theory, this paper further puts forward improving credit spread prediction ability of policy recommendations.
Through the study of this article can draw the correlation between credit spread term structure and macro economy, credit spreads has good prediction ability on macro economy, so it should be included in the credit spread term structure macroeconomic leading indicators. At the same time, the prediction effect of credit spreads is not ideal, we should further improve China's bond market. In order to make the credit spread term structure become more effective macroeconomic forecasting index.

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5

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