美联储货币政策冲击对我国国债收益率的影响研究  

A Study on the Impact of US Monetary Policy Shocks on China's National Debt Yields

作　　者：吴虹利 郭红玉[1,2] 刘浩然 Wu Hongli;Guo Hongyu;Liu Haoran(China School of Banking and Finance,University of Intermational Business and Economics;China University of Petroleum Beijing at Karamay)

机构地区：[1]对外经济贸易大学中国金融学院 [2]中国石油大学(北京)克拉玛依校区

出　　处：《国际金融研究》2024年第7期73-84,共12页Studies of International Finance

基　　金：国家社会科学基金一般项目“稳增长背景下我国利率传导机制改革和效果研究”(20BJY245)资助。

摘　　要：在现代货币政策框架中,国债收益率是货币政策传导机制的关键变量。本文使用仿射期限结构模型拆解我国国债收益率,研究了美联储货币政策冲击对我国国债收益率的跨国溢出效应及传导渠道。本文发现,美联储前瞻性指引主要通过信号渠道对债券市场的风险中性利率产生显著溢出效应,而常规货币政策的未预期冲击同时通过政策预期渠道和风险承担渠道传导,并且在汇率渠道的作用下,对国债收益率的影响存在异质性。在时间节点上,“8·11”汇改前以风险承担渠道为主,收益率的期限溢价部分受美联储未预期货币政策冲击的负向影响,汇改后资产平衡渠道和风险承担渠道产生了一定对冲作用,美联储货币政策冲击对我国国债收益率及其组成部分影响均减弱。本文建议,我国应加强货币政策预期管理,稳步推进汇率市场化改革,完善跨境金融风险的识别、预警和响应机制。In the framework of modern monetary policy,national debt yields are a crucial variable in the transmission mechanism.This paper employs an affine term structure model to decompose China's national debt yields and examines the cross-border spillover effects and transmission channels of the Federal Reserve monetary policy shocks on these yields.This paper finds that the Federal Reserve's forward guidance primarily exerts significant spillover effects on the risk-neutral rate in the bond market through the signaling channel.In contrast,the unexpected shocks of conventional monetary policy are transmitted through both the expectation channel and the risk-taking channel.Additionally,the exchange rate channel introduces heterogeneity in the impact on national debt yields.Before the“g.ll”exchange rate reform,the risk-taking channel was predominant,with the term premium of yields being negatively affected by the Federal Reserve's unexpected monetary policy shocks.After the reform,the portfolio rebalancing channel hedged the effects of the risk-taking channel,thereby weakening the overall impact of these shocks on China's national debt markets.Therefore,this paper suggests that China should enhance the management of monetary policy expectations,steadily advance the market-oriented reform of the exchange rate,and improve mechanisms for identifying,warning,and responding to cross-border financial risks.Compared to existing research,this paper offers several contributions.Firstly,by employing an affine term structure model combined with high-frequency data to decompose China's national debt yields,the paper addresses the scarcity of domestic literature on spillover mechanisms and contrast the effects of conventional and unconventional monetary policy shocks.Secondly,this paper uses futures data to study the expected and unexpected shocks of the Federal Reserve's conventional monetary policy and forward guidance within a unified framework.Additionally,it clarifies the specific implications of forward guidance indicators f

关 键 词：美联储 货币政策冲击 国债收益率 溢出效应 传导机制 

分 类 号：F821[经济管理—财政学] F831