国债收益率曲线的货币政策传导效应实证研究  

An Empirical Study on Monetary Policy Transmission Effect of Treasury Bond Yield Curve

作　　者：刘少华[1] 李灵杰 陈苗苗 贾镇燕 Liu Shaohua;Li Lingjie;Chen Miaomiao;Jia Zhenyan(Yinchuan Central Sub-branch,the People's Bank of China;China National Petroleum Corporation Endowment Asset Management Co.,Ltd.)

机构地区：[1]中国人民银行银川中心支行 [2]中国石油集团养老资产管理有限责任公司

出　　处：《金融发展评论》2023年第6期34-48,共15页Financial Development Review

摘　　要：国债收益率曲线对于价格型货币政策的传导具有重要意义,利率市场化改革和国债市场迅速发展背景下,研究货币政策国债收益率曲线传导渠道的效果极为必要。本文运用三因子方法对我国国债收益率曲线进行分析,通过溢出指数方法实证考察货币政策国债收益率曲线渠道的传导效果,得出如下结论:一是国债收益率曲线能够显著影响经济运行;二是货币政策向国债收益率曲线传导效果不佳;三是价格型货币政策对国债收益率曲线影响更大;四是疫情冲击下货币政策对国债收益率曲线的影响趋弱,但国债收益率曲线对经济的影响仍在增强。基于以上结论,本文提出深化债券市场发展、加快培育货币市场基准利率、增强公开市场操作对国债收益率曲线的调控能力等三方面建议。The treasury bond yield curve is of great significance for the transmission of price-based monetary policy.It is very necessary to study the effect of transmission channel of the yield curve of the monetary policy under the background of interest rate marketization reform and the rapid development of treasury bond market.This paper uses the three-factor method to analyze the yield curve of our national debt,and empirically examines the transmission effect of the yield curve channel of the national debt through the spillover index method proposed,we draw the following conclusions:Firstly,the yield curve of treasury bonds can significantly affect the economic performance;Secondly,the transmission effect of monetary policy to the yield curve of treasury bonds is not good;Thirdly,the price-based monetary policy has a greater impact on the yield curve of treasury bonds;Fourthly,under the impact of the epidemic,the impact of monetary policy on the treasury bond yield curve weakened,but the impact of the treasury bond yield curve on the economy is still growing.Based on the above conclusions,this paper puts forward three policy suggestions:deepening the development of bond market,speeding up the cultivation of benchmark interest rate in money market,and strengthening the ability of public market operation to regulate the yield curve of treasury bonds.

关 键 词：货币政策 国债收益曲线 溢出指数 实证研究 

分 类 号：F822.0[经济管理—财政学] F812.5