银行间市场国债利率风险传导机制研究--中美利差、汇率和通胀因素的时变检验  

The Transmission Mechanism of Interest Rate Risk of Treasury Bonds in the Inter-Bank Market——A Time-Varying Analysis of Sino US Interest Rate Spread,Exchange Rate and CPI

作　　者：郭栋[1] GUO Dong

机构地区：[1]国家开发银行资金局

出　　处：《金融监管研究》2020年第4期32-47,共16页Financial Regulation Research

基　　金：“防患未然:银行间利率债价格风险传导效应研究——基于时变模型中美利差、汇率和通胀对国债冲击的实证检验”课题成果。

摘　　要：本文通过构建开放经济下的两国模型,运用TVP-VAR模型实证研究了中美利差、汇率预期、通胀指标对银行间国债利率影响的传导机制与时变特征。结果表明:通胀指标对国债利率冲击效应显著强于其他外部指标,但不具有债市周期变化的时变特征;中美利差冲击效应具有时变特征且强于汇率,是境外风险冲击债市的主要价格传导渠道;"8·11"汇改后,汇率波动性增强,与国债利率冲击的关联性有增强趋势。根据以上研究结论,本文提出政策建议如下:建立债市监测体系,为央行"货币政策正常化"和应对危机提供参考和预警;跟进债市跨境发展进程,将中美利差、汇率预期作为利率债市场发行和投资的重点关注因素;正确解读指标时变影响,完善债市基础设施,提高利率债市场的有效性,维护基准利率债品种(国债和国开债)的标杆作用,打击恶性做空事件,消除其对市场的负面影响。By constructing the two-state model under the open economy,this paper uses TVP-VAR model to empirically study the dynamic effects and time-varying characteristics of Sino-US interest spread,exchange rate expectation and inflation index on the interest rate of inter-bank market base rate bond.The result shows that the effect of inflation index on government bond rate is greater than other external factors,but does not show the time-varying characteristic of bond market cycle;the impact effect of Sino-US spreads has time-varying characteristics and is stronger than exchange rate,which is a significant transmission channel of current external shock;after the"8.11"exchange rate reform,the exchange rate fluctuation is enhanced,and has closer relationship with the government bond rate.On this basis,the paper proposes several policy suggestions:Firstly,establish the bond market monitoring system according to the research conclusion,and provide reference and early warning for the central bank's"monetary policy normalization"and crisis response.Secondly,follow up the cross-border development process of the bond market,and take the Sino-US spreads and exchange rate expectations as the key factors for the issuance and investment of bond.Finally,improve the infrastructure of the debt market,improve the effectiveness of the interest rate bond markets,maintain the benchmark role of the base rate bond varieties(government bond and CDB bond),and combat the negative impact of the vicious shorting incident in the market.

关 键 词：利率债 中美利差 时变效应 抑制作用 

分 类 号：F832.5[经济管理—金融学]