国债期限溢价视角下中国财政政策的国债流动性效应研究  

Research on the Treasury Bond Liquidity Effect of China’s Fiscal Policy Under the Perspective of Treasury Bond Term Premiums

作　　者：周金南 张峰 王立荣[1,2] ZHOU Jinnan;ZHANG Feng;WANG Lirong

机构地区：[1]东北师范大学经济与管理学院,长春130117 [2]东北师范大学应用统计教育部重点实验室,长春130024 [3]中国财政科学研究院,北京100142

出　　处：《经济问题探索》2024年第7期31-43,共13页Inquiry Into Economic Issues

基　　金：国家社会科学基金项目“中国跨境资本流动分布预测及尾部风险管理研究”(23BJY237),项目负责人:王立荣;国家留学基金委2021年国家建设高水平大学公派研究生项目(202106620027),项目负责人:周金南。

摘　　要：财政政策的国债流动性效应既为我国财政政策调控资本市场流动性提供有力支持,又是我国财政政策与货币政策协调共同调控流动性的重要前提。本文从国债期限溢价视角出发,基于斜t分布拟合方法,对我国支出类和税收类财政政策的国债流动性效应进行检验。研究结果显示:积极的支出类财政政策的国债流动性效应主要体现在对短期国债期限溢价的调控上,但该政策的干预会提升长期国债期限溢价上涨的概率,导致远期流动性紧缩;积极的税收类财政政策的国债流动性效应集中体现在对中长期国债期限溢价的调控上,但其对短期国债期限溢价的影响较为微弱。因此,在财政政策调控流动性的具体实践中,财政部门需结合调控目标与政策协调机制,选择适当的财政政策工具。The treasury bond liquidity effect of fiscal policy not only provides strong support for China’s fiscal policy to regulate capital market liquidity,but also is an important prerequisite for China’s fiscal policy and monetary policy coordination to jointly regulate liquidity.Based on the skewed t-distribution fitting method,this paper investigates the treasury bond liquidity effect of China’s spending-based and tax-based fiscal policies,from the perspective of treasury bond term premium.The results of the study show that:Active spending-based fiscal policy affects the liquidity of treasury bonds by regulating short-term treasury bond term premiums.However,this policy’s intervention increases the likelihood of a rise in long-term treasury bond term premiums,leading to a tightening of forward liquidity.On the other hand,active taxbased fiscal policy primarily regulates medium-and long-term treasury bond term premiums,with a relatively weak impact on short-term treasury bond term premiums.Therefore,when regulating liquidity through fiscal policy,the department of finance must comprehensively consider both regulatory objectives and policy coordination mechanisms and select appropriate fiscal policy tools.

关 键 词：财政政策 国债流动性 国债期限溢价 

分 类 号：F812[经济管理—财政学]