美国非常规货币政策对利率期限结构的影响

发布时间：2018-04-19 03:02

本文选题：利率期限结构 + 收益率曲线　；参考：《复旦大学》2014年博士论文

【摘要】：首先,本文对利率期限结构和货币政策之间的关系进行了比较全面和系统的梳理和研究,将已有文献中关于利率期限结构理论和货币政策理论进行了有机的结合。本文研究认为：(1)利率期限结构所包含的信息对宏观经济状况和金融市场稳定的判断具有极其重要的作用；(2)货币政策的制定和实施要考虑利率期限结构的情况,仅关注短期利率的货币政策制定是有缺陷的；(3)利率期限结构和货币政策的关系对我国的货币政策的理论和实践具有重要意义,例如：我国利率市场化改革的目标是形成我国的基准收益率曲线,当这一目标实现后,货币政策的设计、实施和宏观经济调控将高度依赖货币政策和基准收益率曲线之间的关系。由于目前我国的货币政策理论研究和利率期限结构理论研究对这一方面的研究相当有限,因此本文的研究是对我国货币政策理论和利率期限结构理论研究的完善和补充。从理论层面来看,本文对这一重要研究领域的思路和成果进行了整理和深化；从实践层面来看,本文的研究虽然是基于美国的研究,但是,为我国未来的利率市场化实践和货币政策基于价格的调控方式的实践提供了重要的借鉴。其次,本文对非常规货币政策进行了研究,而非常规货币政策和利率期限结构的关系显得更加的紧密。从近半个多世纪的经济历史来看,人类经济始终伴随着经济(金融)危机。面对危机,央行的货币政策成为最后的救命稻草。2008年次贷危机爆发以来,世界各国央行普遍采取非常规货币政策进行救市,而各种非常规货币政策往往通过直接影响利率期限结构,进而影响经济。本文利用IS-MP模型、CC-LM模型和IS-LM-BB模型对非常规货币政策进行了理论分析,由于这些模型对金融中介(银行)、短期利率和长期利率都有刻画,因此在分析非常规货币政策的影响和作用机制上非常有力。本人分析认为量化宽松操作、信贷宽松操作,预期引导操作和购买长期国债操作,对长期利率(利率期限结构)和产出存在直接影响,可以实现其预期的政策意图。最后,本文以美国的实践为例,对货币政策和利率期限结构的关系进行了研究。为了量化分析货币政策对利率期限结构的影响,我们利用动态Nelson-Siegel模型将收益率曲线的时间序列数据因子化,得到代表利率期限结构的三因子序列：水平因子L,斜率因子S,曲率因子C。然后,参照DRA(2006)方法,建立了包含宏观因素(含有货币政策变量)和利率期限结构三因子的SVAR模型,利用脉冲响应函数和方差分解分析着重对货币政策对利率期限结构的影响进行了分析。研究发现非常规货币政策对利率期限结构的影响显著。总体而言,量化宽松政策和长期国债购买对利率期限结构的水平因子和斜率因子的影响相对最大,水平因子的脉冲响应函数的最大值分别为-0.099233和0.090471,斜率因子的脉冲响应函数的最大值分别为0.114944和-0.089923。长期国债购买和MBS购买对利率期限结构的曲率因子的影响相对最大,曲率因子的脉冲响应函数的最大值分别为0.106254和-0.054327。
[Abstract]:First, this paper summarizes and comparatively comprehensive and systematic study on the relationship between the term structure of interest rates and monetary policy, the existing literature on the term structure of interest rate theory and monetary policy theory are combined. This paper considers that: (1) the interest rate term structure contains information plays a very important role in the macro economic situation and financial market stability judgment; (2) the formulation and implementation of monetary policy should consider the term structure of interest rates, only pay attention to short-term interest rate monetary policy is flawed; (3) has important significance in theory and practice, the interest rate term structure and monetary policy on China's monetary policy for example: the marketization of interest rate target is to form the country's benchmark yield curve, when the realization of this goal, the design and implementation of monetary policy, macroeconomic regulation and control will be high The relationship between the degree of reliance on monetary policy and the benchmark yield curve between. Due to China's current monetary policy theory and the theory of interest rate term structure research on this aspect is very limited, so this study is a complement to our country monetary policy theory and term structure theory. From the view of theory in this paper, the ideas and results of this important research in the field of consolidation and deepening; from a practical perspective, while this research is based on studies in the United States, but for our future interest rate market practice and the practice of monetary policy based on price regulation provides important reference. Secondly, this paper the study of unconventional monetary policy, instead of conventional monetary policy and the term structure of interest rates more closely. From nearly half a century of economic history, human The economy is always accompanied by economic (financial) crisis. In the face of the crisis, the central bank's monetary policy has become the last straw for.2008 years since the outbreak of the sub-prime crisis, the world's central banks generally adopt unconventional monetary policy to rescue the market, and a variety of unconventional monetary policy often through a direct impact on the term structure of interest rates, thereby affecting the economy. This paper uses the IS-MP model CC-LM model and IS-LM-BB model, analyses the theory of unconventional monetary policy, because these models of financial intermediaries (banks), short-term and long-term interest rates are characterized, so as to analyze the unconventional monetary policy and action mechanism is very powerful. I think the analysis of quantitative easing, credit easing, expected to guide the operations and the purchase of long-term debt, long-term interest rate (the interest rate term structure) and the output has a direct effect, can achieve its desired policy intention Finally, based on the practice of the United States as an example, the relationship between the monetary policy and the term structure of interest rates is studied. To quantitatively analyze the impact of monetary policy on the term structure of interest rate, we use dynamic Nelson-Siegel model of the time series data of the yield curve factor, three factor sequence represents the term structure of interest rates: the level of factor L, slope factor S, curvature factor C. then, according to DRA (2006) methods, including macro factors (including monetary policy variables) SVAR model and three factor term structure of interest rate, using the impulse response function and variance analysis focuses on the impact of monetary policy on interest rate term structure decomposition is analyzed. The study found that influence unconventional monetary policy on the term structure of interest rate is significant. Overall, the quantitative easing policy and long-term treasury bonds to buy the term structure of interest rate level and the slope factor for The influence of relative maximum level factor of the impulse response function of the maximum value of -0.099233 and 0.090471 respectively, the maximum value of the impulse response function of the slope factor of the relative maximum effects were 0.114944 and -0.089923. to purchase long-term bonds and buy MBS curvature factor on the term structure of interest rate, the maximum value of the impulse response function of the curvature factor respectively. 0.106254 and -0.054327.

【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F827.12;F837.12

【参考文献】