公开市场操作与利率期限结构行为——基于混频数据信息的研究视角  

Open Market Operation and the Term Structure of Interest Rates:Evidence from Mixed-Frequency Data

作　　者：尚玉皇[1] 李炜祺 董青马[1] SHANG Yuhuang;LI Weiqi;DONG Qingma(Institute of Chinese Financial Studies,Southwestern Universityof Finance and Economics)

机构地区：[1]西南财经大学中国金融研究院,四川成都611130

出　　处：《金融研究》2022年第6期16-35,共20页Journal of Financial Research

基　　金：国家社科基金一般项目(20BJY255);国家社科基金重大项目(20&ZD081)。

摘　　要：在混频数据信息环境中,精准识别公开市场操作(央行政策利率)和国债收益率曲线(基准利率体系)之间的关联机制至关重要,其影响了货币政策期限结构传导的有效性。本文在混频Nelson-Siegel(N-S)利率期限结构模型框架下,引入央行政策利率,揭示公开市场操作与利率期限结构(水平、斜率、曲度)因子之间的作用机制。实证结果表明:混频数据信息条件下,引入的公开市场操作信息显著改进国债收益率曲线的拟合效果;斜率因子冲击对公开市场操作具有显著的正向影响,而利率期限结构因子对政策调控的反应不敏感。进一步研究表明,2015年以来,公开市场操作对斜率因子的影响逐渐扩大,政策利率向国债收益率曲线的传导效率得到显著提高,我国现代货币政策框架日益健全。China has already established a relatively comprehensive market-oriented interest rate system. The central bank releases monetary policy signals in its short-term open market operations interest rate and medium-term lending facility interest rate to guide market benchmark interest rate the Treasury bond yield curve. Interest rate liberalization has improved the term structure of interest rate formation, which indirectly affects the transmission of central bank-set interest rates to the bond market. Under China’s open market operation, bonds are the facility with which the market adjusts liquidity according to the macroeconomic situation, and thereby guides the expected changes in market interest rates. It is essential to study the effectiveness of the transmission of short-term open market operations interest rates to the medium-and long-term bond yield curve.In this paper, we summarize data from the second half of 2009 to the end of 2019, and divides this sample into two stages: In the former stage(2009.7-2014.12), open market operations were dominated by an alternation between forward and reverse repurchases.The latter stage(2015.1-2019.12) was dominated by reverse repurchase operations as the open market operation model was being regularized;and the relationship of treasury bond yields and open market interest rates is affected by macro circumstance. The key to explaining the above facts lies in analyzing the transmission of open market policy interest rates to the yield curve, understanding the relationship between open market operation and the behavior of the interest rate term structure, and exploring whether the mechanism governing this relationship changes with the business cycle.There are mang researches on the impact of monetary policy on the bond yield curve(and the term structure factor) but few research on the impact of open market operation policies on the term structure of interest rates. Overseas studies find that monetary policy is the key link between the term structure of interest rates and t

关 键 词：公开市场操作 利率期限结构 混频Nelson-Siegel模型 政策利率 

分 类 号：F822.0[经济管理—财政学] F832.51