Research on the Relation between Credit Spread of China's Bonds and Business Cycle based on Multiple Regression Model

摘要

The paper studies the relation between credit spread and business cycle by establishing multiple regression model of credit spread and macroeconomic factors. When selecting monthly data of corporate bonds index, government bonds index and some macroeconomic factors range from June 2005 to June 2010 and the multiple regression analysis, it is empirically found that changes of gross domestic production, return of the shanghai composite index, Shanghai Interbank Offered Rate and risk-free rate have significant negative influence on the credit spread variation. And the Wilcoxon signed rank sum test is used to analyze the relationship between credit spread and these four factors and verify that credit spread behaves counter-cyclically. After diversifying credit spread into two groups according to the sign of the return of shanghai composite index, it is confirmed that credit spread is higher during business cycle recessions than expansions through t-test. The results have important reference value in predicting future economic trends and investors making reasonable investment decisions.