我国国债收益率曲线及其与货币政策的关联性研究

发布时间：2018-01-31 23:24

本文关键词： 国债收益率曲线货币政策动态Nelson Siegel模型 VAR分析关联性　出处：《上海社会科学院》2017年硕士论文　论文类型：学位论文

【摘要】：现阶段,我国处于新货币政策框架的转型期,在市场利率指标体系中,国债收益率曲线越来越受到理论界的重视和实务界的关注。国债收益率曲线作为金融市场基础利率水平指标,它不仅具有直观反映宏观经济运行和变化的作用,而且对国家宏观货币政策调控具有重要的参考和传导作用。本文以银行间国债收益率曲线为研究对象,重点在研究银行间国债收益率曲线的模型拟合及银行间国债收益率曲线与货币政策的关联性这两方面,目的是为了深入研究国债收益率曲线在货币政策传导方面的应用价值。首先,本文采用动态Nelson-Siegel模型对我国银行间债券市场各期限的收益率进行拟合,获得较好的收益率曲线拟合结果,同时得到国债收益率曲线的水平因子、斜率因子和曲率因子的时序值;其次对我国银行间国债收益率曲线和国家货币政策的关联性展开研究,采用事件研究法和VAR模型进行实证分析,主要运用脉冲响应函数和方差分解的方法,研究货币政策变量和其他宏观经济变量如何作用于银行间国债收益率曲线的水平因子、斜率因子和曲率因子,深入探究他们之间具体、实在的影响机制和变动关系。从本文实证分析的结果来看,数量型货币政策(M2)对银行间国债收益率曲线的影响比较小,价格型货币政策(R007)对国债收益率曲线斜率因子的影响明显;从事件研究的结果来看,法定存款准备金率的调整事件窗口期内对国债收益率曲线的近端有较大影响。总体来看,在现阶段我国银行间国债收益率曲线在货币政策传导机制中的作用有限,对宏观经济增长和通货膨胀的信息反应不太明显,国债收益率曲线作为基准收益率曲线的作用有待发挥。
[Abstract]:At present, our country is in the transition period of the new monetary policy frame, in the market interest rate index system. Treasury bond yield curve is paid more and more attention by the theoretical and practical circles. As the basic interest rate index of financial market, it not only reflects the macroeconomic operation and change intuitively. Moreover, it plays an important role in the national macro-monetary policy regulation and transmission. This paper takes the inter-bank bond yield curve as the research object. Focus on the interbank bond yield curve model fitting and the interbank bond yield curve and monetary policy relevance of these two aspects. The purpose is to study the application value of Treasury bond yield curve in monetary policy transmission. In this paper, the dynamic Nelson-Siegel model is used to fit the yield of each maturity of the interbank bond market in China, and a better fitting result of the yield curve is obtained. At the same time, the time series values of the horizontal factor, slope factor and curvature factor of the bond yield curve are obtained. Secondly, the relationship between the interbank bond yield curve and national monetary policy is studied, and the empirical analysis is carried out by using event study method and VAR model, mainly using impulse response function and variance decomposition method. To study how monetary policy variables and other macroeconomic variables affect the horizontal factor, slope factor and curvature factor of the inter-bank bond yield curve, and to explore the specific relationship between them. From the empirical analysis of the results, the quantitative monetary policy (M2) has little effect on the yield curve of inter-bank bonds. The price-based monetary policy (R007) has an obvious effect on the slope factor of the yield curve of government bonds. From the results of the event study, the adjustment of the legal reserve ratio has a greater impact on the near end of the Treasury bond yield curve in the event window period. At the present stage, the yield curve of inter-bank bonds in China plays a limited role in the transmission mechanism of monetary policy, and the information response to macroeconomic growth and inflation is not obvious. The function of Treasury bond yield curve as the benchmark yield curve needs to be played.
【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F812.5;F822.0

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