宏观审慎政策与国债收益率曲线全球联动  

Macroprudential Policies and the Co-Movement of Treasury Bond Yield Curve Globally

作　　者：陈雷 张哲 陈平[3] Chen Lei;Zhang Zhe;Chen Ping(School of Finance&Investment,Guangdong University of Finance;School of Mathematics and Statistics,Zhaoqing University;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]肇庆学院数学与统计学院 [3]中山大学岭南学院

出　　处：《国际金融研究》2024年第1期39-50,共12页Studies of International Finance

基　　金：国家社会科学基金重点项目“防范化解经济金融领域风险研究”(22AZD040);广东省普通高校人文社科重点研究基地“金融风险防范与化解研究中心”(2022WZJD006);广东省哲学社会科学规划学科共建项目(GD23XYJ30);广州市哲学社会科学发展“十四五”规划2022年度羊城青年学人课题(2022GZQN10)资助。

摘　　要：完善货币政策体系与现代金融监管是建设现代中央银行制度的主要措施。2022年以来,中美利率出现分化,美国利率的上升是否会拉动中国国债收益率上升,从而影响我国货币政策体系的有效性?作为现代金融监管主要内容的宏观审慎政策是否能够削弱这一影响?首先,本文采用时变系数分层因子模型,构建17个发达国家和15个新兴市场国家的国债收益率曲线的全球联动程度指标,并将国债收益率曲线分解为预期短期利率和期限溢价,进而构建相应的全球联动程度指标。其次,本文通过构建理论模型,引入“流动性螺旋”,阐述宏观审慎政策对国债收益率曲线联动程度的影响机制。最后,本文实证检验上述影响机制。研究发现:各国国债收益率曲线均表现出一定程度的联动性,该联动性既来自预期短期利率的联动性,也来自期限溢价的联动性;随着一国宏观审慎政策收紧,该国的国债收益率曲线(预期短期利率和期限溢价)的联动程度显著降低。基于此,本文提出,在开放经济下,宏观审慎政策有助于增强本国货币政策的有效性,通过货币政策和宏观审慎政策的协调使用,有助于更好地建设现代中央银行制度。Improving the monetary policy system and the modern financial supervision are the main measures to build a modern central bank system.Since 2022,interest rates in China and the United States have diverged.Whether the rising US interest rates eventually drive the rise of Chinese Treasury bond yields,thus affecting the effectiveness of China's monetary policy system?And whether the macro-prudential policy,which is a central component of modern financial regulation,can mitigate this impact?This paper firstly uses the hierarchical factor model with time-varying parameters to construct measurements of co-movement of treasury bond yield curve for 17 developed countries and 15 emerging market countries.The paper then decomposes the treasury bond yield curve into the expected short-term interest rate and term premium,and constructs the measurements to assess the co-movement of the expected short-term interest rate and term premium.Secondly,this paper develops a theoretical model with liquidity spiral,explaining the effects of macro-prudential policies on the co-movement of treasury bond yield curves.Lastly,empirical tests are employed to evaluate the previous propositions.This paper shows that the yield curve of the treasury bonds in all countries shows a certain degree of co-movement,which arises from both the co-movement of the expected short-term interest rate and the co-movement of the term premium.Furthermore,with the tightening of macro-prudential policies of a country,the co-movement degree of the treasury bond yield curve is significantly reduced,encompassing both the expected short-term interest rate and term premium.Based on the previous conclusions,this paper proposes that in an open economy,macro-prudential policy helps enhance the effectiveness of domestic monetary policy.The coordinated use of monetary policy and macro-prudential policy contributes to the establishment of a more robust and modern central bank system.

关 键 词：宏观审慎政策 全球金融周期 国债收益率曲线 货币政策 

分 类 号：F831[经济管理—金融学]