Predictive Empirical Analysis Of Chinese Credit Bond Yields

Since the first bond issued by the Chinese government in the 1980 s,the bond scale has reached 90 trillion after decades of development.As an important part of China’s securities market,bonds not only provide the issuer with a lower-cost financing method,but also provide investors with a lower-risk investment target.With the growth of China’s economy,people’s increasing investment demand,the forecast of bond yields,for each bond market participants have a very practical significance.In this paper,I took the bond yield curve from January 1,2011 to June 30,2019 as the sample,selected the same curve sample with the best performance through empirical research,predicted it through two different methods,and then compared the results to analyze the prediction effect.In this paper,firstly,on the basis of sorting out and summarizing previous literatures,we adopt two methods: direct prediction method and indirect prediction method to predict bond yields,and draw the corresponding conclusion by comparing the predicted value with the actual value.First of all,let me first is forecasted by direct prediction method,the first step of this method to select the most benchmark Treasury bonds,the bond yield curve and the cost of capital spreads as explanatory variables,first from many find with the fitting of the curve of the sample a few of the highest credit bond yield curve samples,and then through the granger causality unearthed the most significant explanatory variables can explain a,finally construct the VAR model and the numerical generation in the expected results.Then I use the indirect method,to contrast the effect curve of samples with direct prediction method chosen is the same,this way I through the decomposition of credit spreads the form of distraction,and empirically tested using multiple regression equations,in order to remove different methods to yield prediction error,I not only use the regression analysis,but also build a VAR model to forecast,and bring real value to enter.Finally,through the comparison of the two methods,the conclusion is drawn: compared with the indirect method,the direct method has better timeliness and smaller error.