国债市场与利率传导有效性——基于中美两国的比较研究

Treasury Bond Market and Interest Rate Transmission Effectiveness Based on Comparative Study between China and the United States

中文关键词:  国债市场  利率传导  货币政策  基准利率  国债到期收益率  预期利率

英文关键词:treasury-bond market  interest rate transmission  monetary policy  benchmark interest rate  yield to maturity of treasury bond  expected interest rate

中文摘要:

      货币政策的传导机制是否畅通决定了金融市场服务实体经济的效果。基于预期理论与流动性升水理论,分析了国债市场在利率传导过程中发挥的作用。在此基础上,以基准利率对不同期限国债利率的影响程度、时滞和持续性为衡量标准,运用我国2006—2019年上海银行间同业拆放利率(SHIBOR)和美国1982—2008年的联邦基金利率(FFR),实证分析了中美两国国债传导的有效性。研究发现,SHIBOR和FFR均对不同期限的国债利率有显著影响,但SHIBOR的影响明显小于FFR。同时,我国国债利率对基准利率的脉冲响应水平和持续性低于美国。此外,对长期国债利率预期因素的分解结果显示,我国基准利率对短期国债利率预期的影响弱于美国。研究结论表明,我国国债市场在利率传导机制中发挥了一定的效果,但仍然弱于美国。适度增加国债市场体量、提高短期国债的发行规模和频率、改变当前国债市场的分割状态、改善投资者结构和做市商制度有助于提高我国中央银行货币政策的透明度。

英文摘要:

      The patency of the monetary policy transmission determines the effectiveness of financial market serving the real economy. Based on expectation theory and liquidity premium theory, this paper analyzes the function of treasury-bond market in the interest rate transmission. On that basis, by taking the influence degree, time lag and persistence of the benchmark interest rate on yield to maturity of treasury bond with different maturities as the measurement standard of transmission effect, this paper uses Shanghai Interbank Offered Rate (SHIBOR) of China from 2006 to 2019 and the Federal Fund Rate (FFR) of the United States from 1982 to 2008, as well as linear multiple regression and SVAR impulse response to compare the effectiveness of treasure-bond market on interest rate transmission between China and the United States. The research finds that both SHIBOR and FFR have the significant influence on the interest rate of treasury-bond with different maturities, but SHIBOR has obviously lower impact than FFR; and the level and constancy of the impulse response of T-bond interest rate to the benchmark rate in China is lower than that in the U.S. Moreover, this paper decomposes the expected factors of treasure-bond interest rate with long maturities, and it is found that the influence of benchmark interest rate on the expectation of short-term T-bond interest rate in China is weaker than that in the United States. The conclusion shows that China's T-bond market has certain effectiveness on interest rate transmission, but it is still distinctly weaker than that of the United States. Therefore, China should increase appropriately the size of the T-bond market, increase the issuing scale and frequency of short-term T-bonds, solve the problem of segmentation of the T-bond market, improve the investor structure and market maker system, and improve the transparency of the central bank's monetary policy. 