公司债券预示经济恶化Giving Corporate Credit Its Due

新的研究显示，公司债券对经济走势的预示作用比人们想像的要准确的多。不幸的是，以目前的公司债券状况来看，经济将会进一步恶化。

2007年秋季，在经济开始放缓之前，公司债券的价格开始显示情况不妙。就在道琼斯工业股票平均价格指数不断创下纪录高点之际，公司债券与美国国债之间的息差却几乎没有一丝好转；由于夏季的抵押贷款问题，息差此前已经开始扩大。

这并不是债券第一次发出“有问题”的信号。2000年初令投资者苦思不得其解的问题之一就是，在高收益债券下挫之际，股市为何却在飙升。回过头来看，债券是对的。

债券投资者高度关注公司的偿债能力。如果他们看到公司业务有放缓的迹象，就会要求更高的回报，进而推高债券收益率。不断扩大的息差还反映出信贷供应的混乱（比如，由于银行陷入问题抵押贷款的泥潭而造成的），信贷供应的混乱最终会拖累整个经济。最后，不断扩大的息差还会促使公司缩减扩张计划，这也会对经济造成影响。

债券的预测看起来也不是每次都准。1998年俄罗斯债务危机期间，很多公司债券指数都显示息差在大幅扩大，不过经济却仍在大步向前。

不过，这样的错误信号可能不是因为公司债券自身的原因，而是公司债券指数构建的方式造成的。与10年期美国国债相比，债券往往期限更短，把这两种金融产品放在一起比较收益率有其缺陷。

为了弥补这一点，波士顿大学的经济学家基尔克莱斯特(Simon Gilchrist)和扬科夫(Vladimir Yankov)以及美国联邦储备委员会(Federal Reserve)的扎克拉伊舍克(Egon Zakrajsek)利用1990-2008年间约900家美国非金融企业的公司债券的月度价格数据，构建了该时期的信贷息差。他们根据预期违约率（这是一个比评级更及时的衡量指标）和期限对债券进行分类。

他们的一篇论文即将在《货币经济学期刊》(Journal of Monetary Economics)上发表，文中表明，中低风险公司债券的息差（特别是期限在15年及以上的公司债券），能很好地预测经济变化，对就业和生产的变化能在一年前做出预测。自撰写了论文之后，他们又将研究时间往前延长至1973年，发现债券的预测能力仍然有效。

对所有人来说，债券对未来预示不准反倒更好。考虑到去年秋季息差大幅扩大，经济学家根据债券模型预测，工业产值今年年底前将再下降17%，并将再裁减780万个就业岗位；自衰退开始以来，已经裁减了510万个就业岗位。哎哟。
New research shows corporate bonds have been far better at predicting where the economy is headed than anyone thought. Unfortunately, that suggests the economy is going to get much worse.

In the fall of 2007, before the economy began to falter, corporate-bond prices were signaling all was not well. The spread between corporate-bond yields and Treasury yields, which had begun to widen amid that summer's mortgage woes, showed little improvement even as the Dow Jones Industrial Average clocked record highs.

It wasn't the first time bonds had signaled something was awry. One of the head scratchers of early 2000 was why stocks were surging when high-yield bonds were wavering. In retrospect, the bonds had it right.

Bond investors are intensely focused on companies' ability to pay down debt. If they see signs business is slowing, they demand higher returns, and thus higher bond yields. Widening corporate-bond spreads can also reflect disruptions in the credit supply -- say, because banks are mired in bad mortgages -- that eventually sap the whole economy. Finally, widening spreads can induce companies to cut back on expansion plans, which also has economic consequences.

Bonds' forecasts haven't always seemed to come true. Many corporate-bond indexes showed spreads widening significantly during the 1998 Russian debt crisis, and yet the economy soldiered on.

Such false signals mightn't be because of corporate bonds themselves, however, but the way corporate-bond indexes are constructed. The bonds in them tend to have much shorter times before they will mature than the 10-year Treasurys that their yields are usually compared with -- which makes for a faulty comparison.

To compensate for that, economists Simon Gilchrist and Vladimir Yankov at Boston University, and Egon Zakrajsek at the Federal Reserve constructed credit spreads over the 1990-2008 period from monthly price data on the corporate debt of about 900 U.S. nonfinancial companies. They divvied up the bonds based on both expected default rates (a more timely measure of quality than ratings) and time to maturity.

In a forthcoming paper in the Journal of Monetary Economics they show that spreads on low- to medium-risk corporate bonds, particularly those with 15 or more years until maturity, predicted changes in the economy phenomenally well, forecasting the ups and downs in both hiring and production a year before they occurred. Since writing the paper, they extended their analysis back to 1973 and found bonds' predictive ability still held.

It would be better for everyone if it doesn't hold in the future. With the massive widening in corporate-bond spreads last fall, the economists' model predicts industrial production will fall another 17% by the end of the year, and the economy will lose another 7.8 million jobs on top of the 5.1 million it has shed since the recession began. Ouch.