公开市场操作利率时变传导效应研究——基于不同货币市场利率的比较分析  

Research on the Time Varying Transmission Effect of Open Market Operating Interest Rates——Comparative analysis based on different money market interest rates

作　　者：陈莹莹 CHEN Yingying

机构地区：[1]中央国债登记结算有限责任公司博士后科研工作站 [2]中国人民银行金融研究所博士后流动站

出　　处：《价格理论与实践》2024年第4期180-186,共7页Price:Theory & Practice

摘　　要：货币市场利率在公开市场操作利率传导中发挥承上启下的重要作用。本文基于2006-2023年的周度数据构建时变随机波动率结构向量自回归(TVP-SV-SVAR)模型,对五种货币市场利率在公开市场操作利率向国债收益率传导中的作用进行了对比分析。结果发现,货币市场利率对公开市场操作利率变动的反应具有明显时变特征,反应速度较快,反应幅度在2015年之后显著增加,但不同货币市场利率之间的分化程度加大。货币市场利率对国债收益率的传导效率不足,对国债收益率的影响在不同时期有较大差别,当面临外部事件冲击和经济结构性调整时影响程度会明显增加。五种货币市场利率中,7天银行间存款类机构债券质押式回购利率对公开市场操作利率的反应速度和幅度都最大,并对短期国债收益率有较大影响;7天银行间同业拆借利率对中长期国债收益率有较大影响。建议着力优化不同期限利率调控方式,警惕货币市场流动性分层,增强不同货币市场利率之间的相关性,同时完善债券市场建设,提高货币市场利率向债券市场利率的传导效率。The interest rates in the money market play a crucial role in transmitting open market operation rates,acting as an important bridge between the two.This article constructs a time-varying stochastic volatility structural vector autoregression(TVP-SV-SVAR)model based on weekly data from 2006 to 2023 to conduct a comparative analysis of the roles of five different money market interest rates in the transmission from open market operation rates to government bond yields.The results reveal that the money market interest rates exhibit significant time-varying characteristics in their response to changes in open market operation rates,demonstrating a rapid response with a notably increased reaction magnitude after 2015.However,the degree of differentiation among different money market interest rates has also intensified.The transmission efficiency of money market interest rates to government bond yields is inadequate,with the impact varying significantly across different periods.The influence tends to increase noticeably when facing external shocks or structural economic adjustments.Among the five money market interest rates analyzed,the 7-day interbank deposit pledge repo rate shows the fastest response and largest amplitude to changes in open market operation rates,exerting a significant impact on short-term government bond yields.Meanwhile,the7-day interbank lending rate has a considerable effect on medium-to long-term government bond yields.It is recommended to focus on optimizing the regulatory approach to different maturity interest rates,remain vigilant against liquidity stratification within the money market,enhance the correlation among various money market interest rates,and simultaneously improve the construction of the bond market to increase the transmission efficiency of money market interest rates to bond market interest rates.

关 键 词：货币政策 市场利率 公开市场 利率传导 TVP-SV-SVAR模型 

分 类 号：F822[经济管理—财政学] F812.5