以MLF利率为锚,搭建中国利率曲线定价体系  

Construction of China's Interest Rate Curve Pricing System with MLF as Anchor

作　　者：董德志 

机构地区：[1]国信证券

出　　处：《中国货币市场》2020年第8期57-60,共4页China Money

摘　　要：MLF自推出以来,其基准意义不断强化,该文与时俱进,以MLF为基准视角,考察MLF利率与债券市场代表性的1年和10年期政金债利率的利差关系。研究发现,MLF利率对于整体利率曲线定位的引导作用不断增强。利差曲线依然遵循着“加息变平、减息增陡”的基础规律。在货币政策稳定(既无加息也无减息)时期,各期限利率与MLF利率的利差变化具有箱体性特征。Since the introduction of the MLF,its significance as a benchmark has been continuously strengthened.This article keeps pace with the times,and,with the MLF as a benchmark,examines the change of the spreads between MLF rates and the interest rates of the representative 1Y and 10Y policy financial bonds in the bond market.The study finds that MLF rates manifest an increasingly stronger guiding role for the positioning of the overall interest rate curve,while the spread curve still follows the basic law of"going flatter in rate hike cycles and going steeper in rate cut cycles".In a period of monetary policy stability(no rate hikes or cuts),changes in the spreads between the interest rates of various maturities and MLF rates present certain boxlike characteristics.

关 键 词：债券市场 加息 利差 定价体系 引导作用 利率曲线 货币政策 减息 

分 类 号：F832.5[经济管理—金融学]