我国基准收益率曲线的构建及其货币政策关联性研究
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摘要
近几年来,利率指标日趋重要,基准收益率曲线越来越受到重视,构建我国基准收益率曲线的时机已基本成熟。而07年以来我国发生的通货膨胀又为收益率曲线的研究增添了新的背景,并推动关于收益率曲线的研究走向前沿和深入。基准收益率曲线无论在宏观金融领域还是微观金融领域都是值得研究的重大课题。基于以上背景,本文试图从宏观方面对基准收益率曲线进行深入研究。
将对基准收益率曲线的研究与货币政策相结合,不仅能够促进利率在宏观经济调控中发挥作用,也是对现有货币政策机制的有益补充,并且为将来利率市场化实现后,对利率在货币政策中更广泛的运用提供了理论和实证基础。因此,选择合适的方法和模型构造一条高质量的中国基准收益率曲线,剖析它在货币政策体系中的地位和作用,为货币当局的货币政策决策提供重要的参考依据,具有重要的理论意义和现实意义,这也是本文的研究目的所在。
论文采用对比分析、规范分析、实证分析、静态分析和动态分析等多种研究方法,沿着“理论基础——我国的债券市场和基准利率考察——构建我国的基准收益率曲线——我国基准收益率曲线与货币政策的关联性”这样的一个研究思路,对我国基准收益率曲线的构建及其货币政策关联性的有关问题进行了实证研究。
论文通过对我国金融市场基准利率和债券市场的全面考察,认为我国金融市场基准利率的最终取向应该是国债利率,我国银行间国债交易数据最适合用来估计和构建我国的基准收益率曲线。
论文基于构建以货币政策分析为目的的基准收益率曲线的需要,借鉴国内外的同类研究成果,选择Svensson模型并利用我国银行间国债交易数据估计和构建了我国的基准收益率曲线。
论文利用构建的基准收益率曲线作为时间序列数据,基于Fama模型和Mishkin标准模型进行实证检验表明,我国基准收益率曲线确实含有关于未来通货膨胀的某些信息。论文进一步实证研究了货币政策对基准收益率曲线的影响,结果表明,我国基准收益率曲线对某些货币政策态势有显著体现。因此,根据以上两个研究结果,我国的基准收益率曲线可以用作货币政策的信息指示器。
论文还采用国际上广泛使用和普遍承认的“中介变量方法”实证分析了我国基准收益率曲线能否作为货币政策的中介目标。结果表明,当选用一年期贷款利率和再贷款利率作为货币政策的操作工具时,我国的基准收益率曲线能够担当货币政策传导机制的中介目标这个角色。
总之,根据论文的研究结果,我国的基准收益率曲线已经初步具备了货币政策的信息指示器和中介目标这两个功能。可以预料,随着我国利率市场化改革的深入和金融市场的不断发展与完善,基准收益率曲线必将对货币政策制定者起到更有价值的作用。
In recent years, the interest rate index is of the growing importance, the benchmark yield curve is paid more and more attention, and the time for the construction of China's benchmark yield curve is basically ripe. And the inflation occurred in China since 2007 also added a new context for the study of the benchmark yield curve, and would promote the study on the yield curve to the forefront and in-depth. Benchmark yield curve is the major topic to be studied both in the macro-finance or micro-finance areas. Based on the background above, this PhD attempts to study the benchmark yield curve in depth from the macro aspects.
The study of the benchmark yield curve together with monetary policy can not only promote the interest rate to play a role in macroeconomic regulation and control, also give a useful supplement for the existing mechanism of monetary policy, and provide the theoretical and empirical basis for more extensive use of interest rates in the money policies after the realization of future market-oriented interest rates. Therefore, choicing a suitable methods and model to construct a high-quality Chinese benchmark yield curve, analyzing its status and role in the monetary policy system and providing an important reference for the monetary policy decision-making of the monetary authority are of the great theoretical and practical significance, this is also the purpose of this paper.
Using the comparative analysis, the standardized analysis, the empirical analysis, the static analysis and the dynamic analysis and other research methods, and being in accordance with the research ideas of "Theoretical basis-China's bond market and benchmark interest rates inspection-Construction of China's benchmark yield curve-Relevance of China's benchmark yield curve with the monetary policy", this paper researches the issues about the Construction of China's benchmark yield curve and it's relevance with the monetary policy .
Based on a comprehensive inspection for the benchmark interest rates of China's financial market and for China's bond market, this paper hold that the interest rate of treasury bonds should be the ultimate direction of the benchmark rate of China's financial market and that China's inter-bank bond transaction data is the most appropriate to estimate and construct the benchmark yield curve.
Based on the needs to establish a benchmark yield curve for the purpose of the analysis of monetary policy and reference the results of similar studies from at home and abroad, this paper selects Svensson model and uses China's inter-bank bond transaction data to estimate and construct the country's benchmark yield curve.
Based on Fama model and Mishkin standard model, this paper uses the benchmark yield curves constructed as the time series data to test empirically and show that China's benchmark yield curve did contain information of future inflation . Then this paper gives a further Empirical Study for the impact of the monetary policy on the benchmark yield curve, and the results show that China's benchmark yield curve reflects some monetary policy posture significantly. Therefore, in accordance with the two research findings above, it shows that China's benchmark yield curve can be used as a information indicator of monetary policy.
This paper also uses the internationally widespreadly used and universally recognized "intermediate variables method" to empirically analyse that if China's benchmark yield curve could be used as the intermediate goal of monetary policy. The results show that when using the one-year lending rate and the relending rate as the operation tools of monetary policy, China's benchmark yield curve could play an role as intermediate goal in the monetary policy transmission mechanism.
In short, according to the findings of this paper, China's benchmark yield curve has been preliminary to have these two functions of the information indicator and intermediate goal of monetary policy. It can be predicted that with the deepening of China's market-oriented reform of interest rates and the continuous development and perfection of financial market , the benchmark yield curve will play a more valuable role for monetary policy makers.
将对基准收益率曲线的研究与货币政策相结合,不仅能够促进利率在宏观经济调控中发挥作用,也是对现有货币政策机制的有益补充,并且为将来利率市场化实现后,对利率在货币政策中更广泛的运用提供了理论和实证基础。因此,选择合适的方法和模型构造一条高质量的中国基准收益率曲线,剖析它在货币政策体系中的地位和作用,为货币当局的货币政策决策提供重要的参考依据,具有重要的理论意义和现实意义,这也是本文的研究目的所在。
论文采用对比分析、规范分析、实证分析、静态分析和动态分析等多种研究方法,沿着“理论基础——我国的债券市场和基准利率考察——构建我国的基准收益率曲线——我国基准收益率曲线与货币政策的关联性”这样的一个研究思路,对我国基准收益率曲线的构建及其货币政策关联性的有关问题进行了实证研究。
论文通过对我国金融市场基准利率和债券市场的全面考察,认为我国金融市场基准利率的最终取向应该是国债利率,我国银行间国债交易数据最适合用来估计和构建我国的基准收益率曲线。
论文基于构建以货币政策分析为目的的基准收益率曲线的需要,借鉴国内外的同类研究成果,选择Svensson模型并利用我国银行间国债交易数据估计和构建了我国的基准收益率曲线。
论文利用构建的基准收益率曲线作为时间序列数据,基于Fama模型和Mishkin标准模型进行实证检验表明,我国基准收益率曲线确实含有关于未来通货膨胀的某些信息。论文进一步实证研究了货币政策对基准收益率曲线的影响,结果表明,我国基准收益率曲线对某些货币政策态势有显著体现。因此,根据以上两个研究结果,我国的基准收益率曲线可以用作货币政策的信息指示器。
论文还采用国际上广泛使用和普遍承认的“中介变量方法”实证分析了我国基准收益率曲线能否作为货币政策的中介目标。结果表明,当选用一年期贷款利率和再贷款利率作为货币政策的操作工具时,我国的基准收益率曲线能够担当货币政策传导机制的中介目标这个角色。
总之,根据论文的研究结果,我国的基准收益率曲线已经初步具备了货币政策的信息指示器和中介目标这两个功能。可以预料,随着我国利率市场化改革的深入和金融市场的不断发展与完善,基准收益率曲线必将对货币政策制定者起到更有价值的作用。
In recent years, the interest rate index is of the growing importance, the benchmark yield curve is paid more and more attention, and the time for the construction of China's benchmark yield curve is basically ripe. And the inflation occurred in China since 2007 also added a new context for the study of the benchmark yield curve, and would promote the study on the yield curve to the forefront and in-depth. Benchmark yield curve is the major topic to be studied both in the macro-finance or micro-finance areas. Based on the background above, this PhD attempts to study the benchmark yield curve in depth from the macro aspects.
The study of the benchmark yield curve together with monetary policy can not only promote the interest rate to play a role in macroeconomic regulation and control, also give a useful supplement for the existing mechanism of monetary policy, and provide the theoretical and empirical basis for more extensive use of interest rates in the money policies after the realization of future market-oriented interest rates. Therefore, choicing a suitable methods and model to construct a high-quality Chinese benchmark yield curve, analyzing its status and role in the monetary policy system and providing an important reference for the monetary policy decision-making of the monetary authority are of the great theoretical and practical significance, this is also the purpose of this paper.
Using the comparative analysis, the standardized analysis, the empirical analysis, the static analysis and the dynamic analysis and other research methods, and being in accordance with the research ideas of "Theoretical basis-China's bond market and benchmark interest rates inspection-Construction of China's benchmark yield curve-Relevance of China's benchmark yield curve with the monetary policy", this paper researches the issues about the Construction of China's benchmark yield curve and it's relevance with the monetary policy .
Based on a comprehensive inspection for the benchmark interest rates of China's financial market and for China's bond market, this paper hold that the interest rate of treasury bonds should be the ultimate direction of the benchmark rate of China's financial market and that China's inter-bank bond transaction data is the most appropriate to estimate and construct the benchmark yield curve.
Based on the needs to establish a benchmark yield curve for the purpose of the analysis of monetary policy and reference the results of similar studies from at home and abroad, this paper selects Svensson model and uses China's inter-bank bond transaction data to estimate and construct the country's benchmark yield curve.
Based on Fama model and Mishkin standard model, this paper uses the benchmark yield curves constructed as the time series data to test empirically and show that China's benchmark yield curve did contain information of future inflation . Then this paper gives a further Empirical Study for the impact of the monetary policy on the benchmark yield curve, and the results show that China's benchmark yield curve reflects some monetary policy posture significantly. Therefore, in accordance with the two research findings above, it shows that China's benchmark yield curve can be used as a information indicator of monetary policy.
This paper also uses the internationally widespreadly used and universally recognized "intermediate variables method" to empirically analyse that if China's benchmark yield curve could be used as the intermediate goal of monetary policy. The results show that when using the one-year lending rate and the relending rate as the operation tools of monetary policy, China's benchmark yield curve could play an role as intermediate goal in the monetary policy transmission mechanism.
In short, according to the findings of this paper, China's benchmark yield curve has been preliminary to have these two functions of the information indicator and intermediate goal of monetary policy. It can be predicted that with the deepening of China's market-oriented reform of interest rates and the continuous development and perfection of financial market , the benchmark yield curve will play a more valuable role for monetary policy makers.
引文
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