A New Credit Spread to Predict Economic Activities in China

doi:10.1007/s11424-019-8033-3

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	A New Credit Spread to Predict Economic Activities in China
	Wang Lei 1; Nie Changhong 1; Wang Shouyang1,2
	2019-08-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	32 期号:4 页码:1140-1166
摘要	In recent years, the relationship between bond spreads and macro economy has been studied extensively by economists in western countries. However, few attentions were paid on this topic in China. This essay regards Chinese bond market as a complex system and constructs bond indices for China with the bottom-up approach. The authors use the data of 3,205 non-financial corporate bonds from February 2010 to October 2017 and construct a new spread noted as the PE_SOE spread. The authors find that the PE_SOE spread has a negative impact on economic activities and has the best predictive ability at short-run forecasting horizons, owing to the institutional superiority of the state-owned enterprises in China. The Treasury bond yields are found to have the best predictive ability at long-run horizons. Both spread shock and Treasury yield shock could lead to deflation and declines in economic activities, and the Treasury yield shock has a more severe and persistent impact on the economy due to the financial accelerator mechanism. PE_SOE spread is proved to be a better indicator for Chinese corporate bond market and can be widely used not only in future Chinese economic studies, but also for Chinese government's macroeconomic monitoring and warning.
关键词	Chinese bond market corporate bond spreads credit spreads financial accelerator private enterprises state-owned enterprises
DOI	10.1007/s11424-019-8033-3
语种	英语
资助项目	Chinese Academy of Sciences[Y82901DEA2]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000480484700010
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/35482
专题	系统科学研究所
通讯作者	Wang Shouyang
作者单位	1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Wang Lei,Nie Changhong,Wang Shouyang. A New Credit Spread to Predict Economic Activities in China[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2019,32(4):1140-1166.
APA	Wang Lei,Nie Changhong,&Wang Shouyang.(2019).A New Credit Spread to Predict Economic Activities in China.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,32(4),1140-1166.
MLA	Wang Lei,et al."A New Credit Spread to Predict Economic Activities in China".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 32.4(2019):1140-1166.