美国国债利率对中国债市宏观基本面冲击及两国利率联动时变效应研究——基于GVAR和TVP-VAR模型的实证分析
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摘要
美国货币政策对非美经济体的政策溢出效应是全球性的问题。本文在开放经济下两国模型理论的基础上,采用GVAR和TVP-VAR模型的研究方法,就美国国债利率变动对中国债券市场的宏观基本面(通胀和汇率)冲击效应和两国国债利率联动的时变效应进行实证研究。在研究中,选择2年期和10年期美国国债利率作为美国货币政策调控的量化指标,并对欧元区、日本进行参照比较,得出以下结论。第一,在债券市场外溢效应研究中,选择美国国债利率为变量优于美联储基金利率等其他利率,其中,10年期利率统计显著性最好。第二,中国债市传导以产业渠道为主,汇率传导仍不畅通,美国货币政策紧缩,推升美国国债利率上行,将对通胀率形成正向冲击效用。第三,美国国债利率与中国国债利率联动性为正向关系,美联储加息对债券价格形成抑制作用。第四,从时变研究结果看,中国债市受美国国债的影响在逐步提高,波动率和效应强度已经超过日本。相关政策建议如下:第一,时变特征增加了央行主动应对的难度,审慎开展公开市场操作业务,增强债市自动调节机能;第二,应加强系统性风险监控,稳定投资者情绪;第三,推动债市跨境不断发展,利率债主要发行主体应扩展境外投资人群体,提高人民币基准利率产品的国际市场地位。
The spillover effect of U.S. monetary policy on non-U.S. economies is a global problem. Based on the two-country model theory in an open economy,the interest rates of two-year and ten-year U.S. Treasury bonds are taken as quantitative indicators of U.S. monetary policy regulation. This paper uses the GVAR model and TVP-VAR model to do an empirical study about the shock effect of the change of the US bond interest rate on China's macroeconomic fundamentals in interest rate bond market and the time-varying linkage effect among bond markets,including China,USA,the Euro zone economies and Japan. The empirical results include:(1) In the study of bond market spillover effect,the choice of US Treasury bond interest rate as a variable is better than the Fed Fund interest rate,among which the 10-year interest rate has the better statistical significance;(2)the transmission of China's bond market is mainly through industrial channels, but the exchange rate transmission is still not smooth. If the monetary policy is tight in the United States,pushing up the interest rate of US Treasury bonds will have a positive impact on the inflation rate;(3) the interest rate of US Treasury bond and the benchmark interest rate of our national bond have a positive relationship. Fed increasing interest rates has an inhibitory action on international bond prices.(4) according to the conclusions of the time-varying study,our bond market is increasingly affected by U.S. Treasury bonds,and the volatility and effect intensity has exceeded the Japanese government bonds. The policy recommendations include:(1) time-varying characteristics make it more difficult for PBOC to respond actively,therefore we should conduct open market operations prudently,and enhance the automatic regulation function of the bond market;(2) we should strengthen the systemic risk monitoring and stabilize investor sentiment;(3) we continue to enhance the cross-border openness of the bond market and promote bond issuers to expand overseas investors,in order to improve the international market position of RMB benchmark bonds.
The spillover effect of U.S. monetary policy on non-U.S. economies is a global problem. Based on the two-country model theory in an open economy,the interest rates of two-year and ten-year U.S. Treasury bonds are taken as quantitative indicators of U.S. monetary policy regulation. This paper uses the GVAR model and TVP-VAR model to do an empirical study about the shock effect of the change of the US bond interest rate on China's macroeconomic fundamentals in interest rate bond market and the time-varying linkage effect among bond markets,including China,USA,the Euro zone economies and Japan. The empirical results include:(1) In the study of bond market spillover effect,the choice of US Treasury bond interest rate as a variable is better than the Fed Fund interest rate,among which the 10-year interest rate has the better statistical significance;(2)the transmission of China's bond market is mainly through industrial channels, but the exchange rate transmission is still not smooth. If the monetary policy is tight in the United States,pushing up the interest rate of US Treasury bonds will have a positive impact on the inflation rate;(3) the interest rate of US Treasury bond and the benchmark interest rate of our national bond have a positive relationship. Fed increasing interest rates has an inhibitory action on international bond prices.(4) according to the conclusions of the time-varying study,our bond market is increasingly affected by U.S. Treasury bonds,and the volatility and effect intensity has exceeded the Japanese government bonds. The policy recommendations include:(1) time-varying characteristics make it more difficult for PBOC to respond actively,therefore we should conduct open market operations prudently,and enhance the automatic regulation function of the bond market;(2) we should strengthen the systemic risk monitoring and stabilize investor sentiment;(3) we continue to enhance the cross-border openness of the bond market and promote bond issuers to expand overseas investors,in order to improve the international market position of RMB benchmark bonds.
引文
[1]侯玉琳.欧盟债务危机下中国债券市场与国际债券市场联动效应的研究——基于VAR模型的实证分析[J].中国集体经济,2012(12):139-142
[2]李成,赵轲轲.美联储货币政策对中国货币政策的溢出效应研究[J].华东经济管理,2012,26(3):88-92+121
[3]陆磊.从小国模型到两国模型:开放条件下中国货币政策前瞻[J].南方金融,2005(10):5
[4]孙国峰,李文喆.货币政策、汇率和资本流动——从“等边三角形”到“不等边三角形”.中国人民银行工作论文,2017(3)
[5]张延群.全球向量自回归模型的理论、方法及其应用[J].数量经济技术经济研究,2012,29(4):136-149
[6]中国人民银行广州分行课题组,王景武.美国货币政策对中国产出的溢出效应——基于TVP-VAR-SV模型的研究[J].南方金融,2016(12):3-25
[7] Bernanke,B. S. and Kuttner,K. N. What Explains the Stock Market's Reaction to Federal Reserve Policy?[J]. Journal of Finance,2005,60(3):1221-1257
[8] Bredin, Hyde and Reilly, G. O. Monetary Policy Surprises and International Bond Markets[J]. Journal of International Money and Finance,2010,29(6):0-1002
[9] Buch,C. M.,Bussiere,M.,Goldberg,L. and Hills,R. The International Transmission of Monetary Policy[M]. Social Science Electronic Publishing,2018
[10] Garratt A.,Lee,M. H. Pesaran and Y. Shin. Global and National Macroeconometric Modelling:A Long-Run Structural Approach[M]. Oxford University Press,2006
[11] Georgiadis,G. and Mehl,A. Financial Globalisation and Monetary Policy Effectiveness[J]. Journal of International Economics,2016,103,200-212
[12] Gilchrist,Simon,Vivian Yue,and Egon Zakrajsek. US Monetary Policy and International Bond Markets[J]. Working Papers in the Finance and Economics Discussion Series(FEDS). 2018(14)
[13] Kim,S. International Transmission of U.S. Monetary Policy Shocks:Evidence from Var's[J]. Journal of Money Credit&Banking,2010,48(2):339-372
[14] Nakajima,J. Time-Varying Parameter VAR Model with Stochastic Volatility:an Overview of Methodology and Empirical Applications[J]. Monetary and Economic Studies,2011,29(5):107-142
[15] Primiceri and Giorgio,E. Time Varying Structural Vector Autoregressions and Monetary Policy[J]. Review of Economic Studies,2005. 72(3):821-852
[16] Rey,Hélène. International Channels of Transmission of Monetary Policy and the Mundellian Trilemma[J]. IMF Economic Review,2016,64(1):6-35
[17] Sims,C. A. Macroeconomics and Reality[J]. Econometrica,1980,48(1):1-48
(1)我国的利率债主要是指国债、地方政府债券、政策性金融债和央行票据。在本文研究中,沿用上述概念范畴,利率债限定包括我国国债和政策性金融债,美国和欧元区国债以及日本公债等。
(1)参见张延群(2012)《全球向量自回归模型的理论、方法及其应》的文献研究。
[2]李成,赵轲轲.美联储货币政策对中国货币政策的溢出效应研究[J].华东经济管理,2012,26(3):88-92+121
[3]陆磊.从小国模型到两国模型:开放条件下中国货币政策前瞻[J].南方金融,2005(10):5
[4]孙国峰,李文喆.货币政策、汇率和资本流动——从“等边三角形”到“不等边三角形”.中国人民银行工作论文,2017(3)
[5]张延群.全球向量自回归模型的理论、方法及其应用[J].数量经济技术经济研究,2012,29(4):136-149
[6]中国人民银行广州分行课题组,王景武.美国货币政策对中国产出的溢出效应——基于TVP-VAR-SV模型的研究[J].南方金融,2016(12):3-25
[7] Bernanke,B. S. and Kuttner,K. N. What Explains the Stock Market's Reaction to Federal Reserve Policy?[J]. Journal of Finance,2005,60(3):1221-1257
[8] Bredin, Hyde and Reilly, G. O. Monetary Policy Surprises and International Bond Markets[J]. Journal of International Money and Finance,2010,29(6):0-1002
[9] Buch,C. M.,Bussiere,M.,Goldberg,L. and Hills,R. The International Transmission of Monetary Policy[M]. Social Science Electronic Publishing,2018
[10] Garratt A.,Lee,M. H. Pesaran and Y. Shin. Global and National Macroeconometric Modelling:A Long-Run Structural Approach[M]. Oxford University Press,2006
[11] Georgiadis,G. and Mehl,A. Financial Globalisation and Monetary Policy Effectiveness[J]. Journal of International Economics,2016,103,200-212
[12] Gilchrist,Simon,Vivian Yue,and Egon Zakrajsek. US Monetary Policy and International Bond Markets[J]. Working Papers in the Finance and Economics Discussion Series(FEDS). 2018(14)
[13] Kim,S. International Transmission of U.S. Monetary Policy Shocks:Evidence from Var's[J]. Journal of Money Credit&Banking,2010,48(2):339-372
[14] Nakajima,J. Time-Varying Parameter VAR Model with Stochastic Volatility:an Overview of Methodology and Empirical Applications[J]. Monetary and Economic Studies,2011,29(5):107-142
[15] Primiceri and Giorgio,E. Time Varying Structural Vector Autoregressions and Monetary Policy[J]. Review of Economic Studies,2005. 72(3):821-852
[16] Rey,Hélène. International Channels of Transmission of Monetary Policy and the Mundellian Trilemma[J]. IMF Economic Review,2016,64(1):6-35
[17] Sims,C. A. Macroeconomics and Reality[J]. Econometrica,1980,48(1):1-48
(1)我国的利率债主要是指国债、地方政府债券、政策性金融债和央行票据。在本文研究中,沿用上述概念范畴,利率债限定包括我国国债和政策性金融债,美国和欧元区国债以及日本公债等。
(1)参见张延群(2012)《全球向量自回归模型的理论、方法及其应》的文献研究。