价格型货币政策中介目标向国债收益率曲线传导有效性研究  

The Effectiveness of the Transmission of Price——Based Monetary Policy Intermediate Target to the Treasury Yield Curve

作　　者：李艳丽[1] 

机构地区：[1]复旦大学经济学院

出　　处：《国际金融研究》2018年第11期25-34,共10页Studies of International Finance

摘　　要：基于对国债收益率曲线的分解，本文分析了价格型中介目标（以R007为代表）向国债收益率曲线传导的有效性及影响因素。主要结论如下：总体来看，R007向长期收益率具备一定传导效率，但传导效率还不高。分解来看，R007向国债收益率传导的主要渠道是信号渠道．在资产组合再平衡渠道上传导相对较弱。短期利率波动过高会直接提高长期国债期限溢价．同时制约价格型中介目标在信号渠道和资产组合再平衡渠道上向长期收益率的传导。在M2高企的货币政策环境中，价格型中介目标很难影响长期收益率．尤其是无法影响其期限溢价部分。Based on the decomposition of the treasury yield curve, this paper analyzes the effectiveness of the transmission of the price-based intermediate target （represented by R007） to the treasury yield curve, as well as its influencing factors. The main conclusions are as follows： R007 can influence long-term yields to some extent, but the efficiency is not very high. According to the decomposition, the main channel that the R007 influences the treasury yield curve is the signal channel, while the portfolio rebalancing channel is relatively weaker. High short-term interest rate volatility will directly increase the term premium of long-term government bond, and at the same time, will reduce the effectiveness of the transmission of price-based intermediate target to long-term yield, both through the signal channel and the portfolio rebalancing channel. In a high M2 monetary policy environment, price-based intermediate target can hardly affect long-term yields, and in particular, they cannot affect their term premiums.

关 键 词：价格型中介目标 国债收益率 传导渠道 短期利率波动 货币数量 

分 类 号：F830.91[经济管理—金融学]