A New Credit Spread to Predict Economic Activities in China
文献类型：期刊论文
| 作者 | Wang Lei1; Nie Changhong1; Wang Shouyang1,2
|
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2019-08-01 |
| 卷号 | 32期号:4页码:1140-1166 |
| 关键词 | Chinese bond market corporate bond spreads credit spreads financial accelerator private enterprises state-owned enterprises |
| ISSN号 | 1009-6124 |
| DOI | 10.1007/s11424-019-8033-3 |
| 英文摘要 | 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. |
| 资助项目 | Chinese Academy of Sciences[Y82901DEA2] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000480484700010 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/35481]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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