货币回流视角下银行间国债价格稳定性研究——基于投资者异质性的ABM仿真  

A Study on the Price Stability of Inter-bank Treasury Bonds from the Perspective of Currency Return:ABM Simulation Based on Investor Heterogeneity

作　　者：郭栋[1] Guo Dong

机构地区：[1]国家开发银行,北京100031

出　　处：《金融理论与实践》2020年第10期19-27,共9页Financial Theory and Practice

摘　　要：基于Netlogo系统,构建ABM的分析逻辑框架,仿真分析了境外人民币回流后的潜在风险冲击的传导效应,得到主要结论:(1)货币政策是债市稳定的重要因素,逆周期调控的松紧政策效应不对称;(2)货币回流适当引入境外机构,有利于在岸市场结构优化;(3)投资者情绪影响关系“非线性”,存在情绪积聚的价格“崩塌”现象。就人民币国际化和国债市场开放形成的启示,提出政策建议:(1)货币政策审慎稳健意义重大,量化宽松滞后效应存在隐患危险;(2)债市渐进式开放,要确定安全底线,建立风险预警体系;(3)消除市场“噪声”干扰,强化投资者保护建设,做好投资者情绪引导。Based on the Netlogo system,this paper constructs the analysis logic framework of ABM,simulates and analyzes the transmission effect of the potential risk impact after the return of foreign RMB,and obtains the following main conclusions:(1)Monetary policy is an important factor for the stability of bond market,and the effect of counter cyclical regulation is asymmetric;(2)To some extent,the introduction of foreign institutions will help optimize the structure of onshore market;(3)the relationship between investor sentiment and treasury bond market is“non-linear”,and there is a phenomenon of“collapse”of price due to sentiment accumulation.The policy suggestions of this paper are as follows:(1)The monetary policy should be prudent and steady,and the lag effect of quantitative easing is a major hidden danger;(2)the bond market should be gradually opened,and the safety bottom line should be determined,and the risk early warning system should be established;(3)the interference of market“noise”should be eliminated,the construction of investor protection should be strengthened,and the investor sentiment guidance should be done well.

关 键 词：货币回流 国债市场开放 代理人模型 投资者异质性 

分 类 号：F832.5[经济管理—金融学]