货币周期视角下债券市场信用风险门槛效应及调控策略选择  

The Threshold Effect on Credit Risk of Bond Market and the Corresponding Strategy Choice under the Perspective of Monetary Cycle

作　　者：宋美喆[1] 胡丕吉[2] 

机构地区：[1]湖南财政经济学院,湖南长沙410205 [2]中国人民银行长沙中心支行,湖南长沙410005

出　　处：《金融理论与实践》2018年第4期8-13,共6页Financial Theory and Practice

基　　金：2015年度湖南省教育厅科学规划项目(15B041)的资助

摘　　要：在当前经济结构调整与货币周期宽紧转换的宏观背景下,市场利率对债券市场信用风险的影响可能具有门槛效应。通过对货币周期转换阶段市场利率对债券市场信用风险的影响机制进行分析,以2012年1月—2017年8月我国宏观数据为样本,建立门槛模型来捕捉市场利率对债券市场信用风险的非线性影响特征。实证结果表明,不同期限结构的市场利率变化对债券市场信用风险影响效果存在显著差异,长期利率整体上对信用风险具有正向影响,短期利率则视货币宽紧程度对信用风险有截然相反的影响效果。进而提出中央银行可根据货币周期所处不同阶段在公开市场上采取不同的操作策略组合,综合运用多种政策工具调节不同期限结构的市场目标利率,以优化货币政策和宏观审慎政策相结合的金融调控能力,防范债券市场信用风险,促进金融市场稳健发展。This paper aims to systematically investigate the influence mechanism and influence effect on the credit risk of the bond market,and study the non-linear effect of the change of market interest rate on the credit risk of the bond market under the period of economic structural adjustment and monetary policy shifting.Based on the study of the impact mechanism of the macroscopic variables on the credit risk of the bond market,the threshold model was established.Empirical analysis was made on the China's bond market data from January 2012 to August 2017,and the non-linear effect characteristics were captured.Analysis result shows that the long-term interest rate has a positive effect on the credit risk,and the short-term interest rate has varying effects depending on the monetary period.This paper then put forward the combination of operational strategies which can be taken in the open market according to the stage of the monetary cycle.The central bank should use various policy tools to adjust the market target interest rate of different term structure,optimize the ability of financial control with the combination of the monetary policy and macro-prudential policy to prevent credit risk in the bond market and promote the steady development of financial markets.

关 键 词：货币周期 债券市场 信用风险 门槛效应 宏观调控 

分 类 号：F832.5[经济管理—金融学]