| China’s bond market has gained expansion of bond stock scale,increasingly perfected system and constantly improved efficiency with rapid development in the past 30 years.However,in recent years,default events have occurred frequently,especially it is common for issuers with state-owned assets background to fail to cash on time.These events have shattered investors’ belief in rigid cashing.Since2016,with the adjustment of monetary policy and the implementation of the "new asset management regulations",the financial products of financial institutions have officially terminated the just exchange.Exploring the relationship between economic cycle,macro factors,monetary policy and credit spread can provide reference for investors’ decision-making.Based on the above exploration objectives,this paper adopts the methods of literature research and the combination of theoretical research and empirical research,taking the credit spread as the research object,first establishes the VAR model,and then constructs the model with the credit spread of different periods and makes regression analysis by selecting the representative variables of macro factors,price and quantity monetary policy.Among them,the empirical results of the linear model show that the VAR model can not explain the credit spread of short-term bonds very well,because the impact of monetary policy on short-term credit spread may have a nonlinear part.Then this paper establishes the STR model,and selects SHIBOR as the conversion variable.This model can show the change of credit spread under the stable state and short-term tightening state of monetary policy.The empirical analysis is summarized as follows: when the monetary policy is relatively stable,VAR and STR models show that price monetary policy instruments have a positive impact on credit spread,and quantity instruments have a negative impact on credit spread.Compared with the two,the influence of price type is more significant.Among the two selected macro factors,CPI has a positive effect on credit spread and a negative effect on RMB exchange rate.Overall,the impact of macro factors on bond spreads is not significant,which is weaker than that of policy tools.When the short-term monetary policy is tightened,the obvious rise of SHIBOR will have a significant positive impact on the credit spread.Compared with the stable monetary policy,the explanatory contribution of other explanatory variables(macro factors and quantitative monetary policy tools)to the one-year credit spread is weakened.This is the nonlinear and asymmetric feature shown by STR model and the impact of short-term monetary policy tightening on credit spreads that can not be shown by the VAR model.The research has important practical significance for investors,institutional investors,regulators and rating agencies. |
