关键词: 信用风险溢价期限结构, 宏观经济因子, 简约模型, SVAR

Abstract: The rising credit risk in China's enterprise sector has drawn significant attention on possible systematic credit crisis in China. Therefore, unfolding the relationship between credit risk and macro factors becomes an important topic for market regulators, participants and academies, which has great academic and practical significance. However, due to methodological constraints, existing researches based on Z-score models, Logistic models or Merton models have noticeable limitations on explaining such relationship. In order to improve the stability and comprehensiveness and of the research results, reduced form model is implemented which can describe the discontinuous and sudden event of default, and the credit risk pricing formula derived is more intuitive and concise, especially the default random variable is set as the exogenous driving factor, which makes the model more flexible application. Furthermore, the economic shocks are identified as aggregate supply shock, aggregate demand shock and monetary policy shock, by incorporating structural auto regression vector, and then the effect of various macroeconomic determinants is firstly investigated on the term structure of credit risk spreads in Chinese enterprise sector, thus showing how the credit risk in Chinese enterprise sector is priced from a macroeconomic perspective. It is found that, first, the total supply of the positive impact and the impact of monetary policy helped reduce the Chinese corporate sector credit risk premium, but positive aggregate demand pushed up China corporate sector credit risk premium; second, the expansion of the total demand of 4 trillion economic stimulus plan brought about by the impact, the credit risk premium in 2011 by negative reversal for it, and made it continue to maintain at a high level; third, the expansion of monetary policy from 2010 to 2011 reduced the total social demand caused by the expansion of high credit risk premium level; fourth, as money shortage occurred, Chinese corporate sector credit risk premium rose sharply, which was not caused by macroeconomic fundamentals changes, but triggered by the impact of monetary policies; fifth, from the beginning of 2010, due to Lewis inflection point, the negative total supply impact pushed the credit risk premium to slow up. Based on the empirical outcomes, it is suggested that the essential way to reduce the credit risk in Chinese enterprise sector be the reduction in aggregate social demand and the improvement in aggregate social supply via reform and restructure.

Key words: term structure of credit risk spreads, macroeconomic determinants, reduced form model, SVAR