短期利率向长期利率传导的有效性分析  

An Analysis of the Effectiveness of Transmission from Short-term Interest Rate to Long-term Interest Rate

作　　者：卢倩倩 许坤 

机构地区：[1]中国人民大学公共管理学院

出　　处：《价格理论与实践》2019年第7期82-86,共5页Price:Theory & Practice

基　　金：中国人民大学2018年度拔尖创新人才培育资助计划成果

摘　　要：本文基于VARX模型分析了货币市场利率期限结构以及债券市场国债收益率期限结构的相互影响关系。实证分析结果表明:(1)货币市场不同期限的短期利率之间存在显著的相互影响,隔夜拆借利率的变化能有效传导至1个月以内期限的短期利率以及1个月期限以上的中短期利率;(2)债券市场不同期限国债收益率之间的传导存在阻断,中期率向中长期利率的传导有效性不足;(3)1年期国债收益率是货币市场短期利率的定价基础,而1个月期限以上的中短期货币市场利率是5年期以上中长期利率的定价基础。本文建议,通过完善基准利率体系、丰富国债期限结构以及增强金融部门服务实体经济能力等措施提高短期利率向长期利率传导的有效性。Based on the VARX model, this paper analyzes the relationship between the maturity structure of interest rates in money market and the maturity structure of bond yields in bond market. The results of empirical analysis show that:(1) There is a significant interaction between the short-term interest rates of different periods in the money market. The change in overnight lending rate can be effectively transmitted to short-term interest rates within one month and short-term interest rates above one month.(2) The transmission between the bond yields of different maturities in the bond market is blocked, and the transmission efficiency of the medium-term and long-term interest rates is insufficient;(3) The 1-year bond yield is the pricing basis for the short-term interest rate of the money market. The short-and medium-term money market interest rates above the one-month period are the pricing basis for medium-and long-term interest rates above five years. This paper proposes to improve the effectiveness of short-term interest rate transmission to long-term interest rates by improving the benchmark interest rate system, enriching the maturity structure of government bonds, and strengthening the financial sector’s ability to serve the entity.

关 键 词：货币政策 期限结构 债券市场 银行间市场 

分 类 号：F83[经济管理—金融学]