美国货币政策公告对中国国债收益率曲线的溢出效应  

The Spillover Effects of US Monetary Policy Announcements on China’s Government Bond Yield Curve

作　　者：陈雷 张哲 陈平[2] Chen Lei;Zhang Zhe;Chen Ping(School of Finance&Investment,Guangdong University of Finance;Lingnan College,Sun Yat-sen University)

机构地区：[1]广东金融学院金融与投资学院 [2]中山大学岭南学院

出　　处：《国际金融研究》2022年第3期23-34,共12页Studies of International Finance

基　　金：国家自然科学基金青年项目“全球金融周期背景下的跨境风险传染——基于汇率和跨境资本流动的渠道分析”(71903202);教育部人文社会科学研究青年基金项目“三元悖论还是二元悖论——汇率制度选择的再探讨研究”(19YJC790009);广东省普通高校创新团队(人文社会类)资产管理研究团队(2018WCXTD004);中山大学“三大”建设专项资金(99123-18823306)资助。

摘　　要：本文研究了美国货币政策公告对中国国债收益率曲线的溢出渠道,以及不同汇率弹性对溢出渠道的影响。首先,本文使用仿射动态利率期限结构模型,分解中国日度频率的国债收益率曲线,得到日度频率的预期短期利率和期限溢价;其次,本文采用事件分析法,以美联储FOMC会议前后不同期限美国国债收益率的变动衡量美国货币政策冲击,识别美国货币政策对中国国债收益率曲线溢出的信号渠道和资产组合渠道;最后,本文以2015年“8·11”汇改为自然实验,讨论不同汇率弹性对上述两个溢出渠道的影响。本文研究发现,美国货币政策对中国国债收益率曲线的溢出渠道既包括信号渠道,也包括资产组合渠道;人民币汇率弹性的增加并未完全吸收美国货币政策冲击,反而使得美国货币政策对中国国债收益率曲线溢出的资产组合渠道增强。在此基础上,本文提出,应进一步完善债券市场建设,增强市场自身的外部冲击缓冲能力,加强债券市场的跨境风险监控和防范,协调推进债券市场开放、汇率市场化改革和货币政策价格型转型。Since the opening of the“ Northbound Trading” of Bond Connect in 2017, the size of foreign investors’ holding for Chinese bonds has increased rapidly. As the openness of China’s bond market improves, the spillover effect of US monetary policy on China’s Treasury yield curve may become stronger. This study examines the spillover effect of United States’ monetary policy on China’s bond yield curve and the impact of exchange rate elasticity on this spillover effect.Firstly, we used an affine term structure model to examine the dynamic interest rate, decomposed China’s day-to-day long-term bond interest rates, and revealed the daily risk-neutral interest rates and term premium. Secondly, employing the event analysis method, we measured the impact of US monetary policy on US Treasury bond interest rate before and after FOMC meetings. Then we identified the spillover channel of US monetary policy on the yield curve of China’s bonds, which are signal channel and asset portfolio channel separately. Lastly, based on a natural experiment of the“ 8·11”exchange rate reform in 2015, we discussed the impact of exchange rate elasticity on the spillover channels mentioned before.The results show that US monetary policy had both signal and asset portfolio spillover channels on China’s bond yield curve. The“8·11”exchange rate reform in 2015 significantly increased the flexibility of Chinese Yuan’s exchange rate against the US dollar. At the same time, US monetary policy’s signal spillover channel was stable, while the asset portfolio spillover channel was significantly strengthened. This shows that the increasement in Chinese Yuan exchange rate flexibility has strengthened the asset portfolio spillover channel of US monetary policy on China’s long-term yield curves.Based on the findings, we propose that we shall improve the construction of the bond market so as to enhance the market’s resilience, strengthen cross-border risk monitoring in the bond market, and coordinate the opening of the bond

关 键 词：货币政策 收益率曲线 汇率制度 二元悖论 

分 类 号：F831[经济管理—金融学]