国债利率期限结构与货币政策传导机制研究——基于利率市场化与货币政策转型的双重视角  

Research on the Term Structure of Treasury Bond Interest Rate and the Transmission Mechanism of Monetary Policy:--Based on the Dual Perspectives of Interest Rate Marketization and Monetary Policy Transformation

作　　者：李程 韩明月 LI Cheng;HAN Ming-yue(School of Economics and Management,Tiangong University)

机构地区：[1]天津工业大学经济与管理学院,天津300387

出　　处：《当代金融研究》2024年第6期47-64,共18页Journal of Contemporary Financial Research

基　　金：教育部哲学社会科学研究后期资助项目“资产负债表关联与风险溢出双重视角下的政府杠杆率结构性优化研究”(21JHQ068)。

摘　　要：构建Nelson-Siegel模型拟合国债利率期限结构曲线的水平因子、斜率因子和曲率因子,在此基础上构建TVP-VAR模型,探究数量型和价格型货币政策框架下基于国债利率期限结构曲线的货币政策传导机制,并研究利率市场化对传导有效性的作用。实证研究表明:价格型和数量型货币政策对国债水平因子作用相同,但对斜率因子作用不同,通过斜率因子对金融市场利率和货币供给量的传导和通过水平因子的传导都具有相反的作用,说明政策利率通过国债斜率因子的传导仍存有阻塞;我国数量型货币政策传导机制仍能发挥一定作用,但传导有效性也逐渐减弱,随着利率市场化的推进,价格型货币政策传导有效性逐渐增强,但仍有局限性。对此,应该进一步完善国债收益率曲线,更好发挥国债收益率曲线的定价基准作用,推进利率市场化改革,加快疏通货币政策传导梗阻,并加快货币政策转型。The Nelson Siegel model is constructed to fit the horizontal factor,slope factor and curvature factor of the term structure curve of the interest rate of foreign bonds.Based on this,the TVP-VAR model is constructed to explore the transmission mechanism of monetary policy based on the term structure curve of the interest rate of treasury bond under the framework of quantitative and price monetary policies,and the role of interest rate marketization on the transmission effectiveness.The empirical research shows that price based and quantitative monetary policies have the same effect on the horizontal factor of treasury bond,but have different effects on the slope factor.The transmission of financial market interest rate and money supply through the slope factor and the transmission through the horizontal factor have opposite effects,indicating that the transmission of policy interest rate through the slope factor of treasury bond is still blocked;The transmission mechanism of quantitative monetary policy in China can still play a certain role,but the effectiveness of transmission has gradually weakened.With the advancement of interest rate marketization,the effectiveness of price based monetary policy transmission has gradually increased,but there are still limitations.In this regard,we should further improve the Yield curve of treasury bond,give better play to the pricing benchmark role of the yield curve of treasury bond,promote the market-oriented reform of interest rates,accelerate the unblocking of monetary policy transmission barriers,and accelerate the transformation of monetary policy.

关 键 词：国债利率期限结构 货币政策传导机制 利率市场化 TVP-VAR模型 

分 类 号：F832.5[经济管理—金融学]