公开市场操作对货币市场基准利率的非对称影响  

The Asymmetric Impact of Open Market Operations on the Money Market Benchmark Interest Rate

作　　者：毛泽盛[1] 郗静 MAO Zesheng;XI Jing(School of Finance,Nanjing University of Finance and Economics,Nanjing 210023,China)

机构地区：[1]南京财经大学金融学院,江苏南京210023

出　　处：《南京财经大学学报》2023年第4期13-24,共12页Journal of Nanjing University of Finance and Economics

基　　金：国家社会科学基金重大项目“经济发展新常态下中国金融开放、金融安全与全球金融风险研究”(17ZDA037);国家社会科学基金后期资助项目“基于广义基准利率的‘公开市场操作+利率走廊’利率调控模式研究”(22FJYB042)。

摘　　要：中国市场利率调控已由直接调控转变为以公开市场操作为主的引导性调控,后者的关键在于货币市场基准利率的选择及其作用的传导。运用EGARCH模型、VECM模型从市场性、稳定性、基础性等层面对我国三大货币市场利率进行分析,筛选出基准功能最佳的利率作为货币市场基准利率,并借助非线性自回归滞后分布(NARDL)模型就货币市场基准利率是否受公开市场操作非对称影响问题进行实证研究,结果发现:(1)全国银行间质押式债券回购利率在市场性、稳定性、基础性方面表现最佳,适合充任我国货币市场基准利率;(2)不管是短期还是长期,不同期限的回购操作利率对货币市场基准利率都存在非对称影响;(3)货币市场基准利率对回购操作利率的波动冲击是一个非线性持久响应过程。Market interest rate regulation has changed from direct regulation to guided regulation for open market operations in China.The key to the latter lies in the choice of the benchmark interest rate in the money market and its role in transmission.In this paper,we use the EGARCH model and VECM model to analyze the three major money market interest rates in China in terms of market,stability and foundation.We select the interest rate with the best benchmark function as the benchmark interest rate of the money market.With the help of Nonlinear Autoregressive Distributed Lags(NARDL)model,we conducted empirical research on whether the benchmark interest rate of the money market is affected by the asymmetric operation of the open market.We found:(1)that the national inter-bank pledged bond repurchase rate performed best in terms of marketability,stability,and basicity,and was most suitable for serving as the benchmark interest rate of the money market;(2)that whether it is in the short-term or the long-term,the interest rate of repurchase operations of different maturities has an asymmetric impact on the benchmark interest rate in the money market;and(3)that the volatility impact of the money market benchmark interest rate on the repurchase operation interest rate generates a non-linear and long-lasting response process.

关 键 词：公开市场操作 货币市场基准利率 回购操作利率 非对称影响 

分 类 号：F832[经济管理—金融学]