美国非常规货币政策冲击下中国利率期限结构动态响应研究

发布时间：2019-03-03 08:28

【摘要】：为了摆脱金融危机以来在联邦基金利率面临零利率下界约束情景下常规货币政策传导机制失灵的困境,美联储开始借助量化宽松等一系列非常规货币政策工具来平滑收益率曲线以提振宏观经济活力。利率期限结构的变动使得与美国经济高度关联的中国市场的融资成本也相应受到冲击。本文利用含有潜在门限的时变参数向量自回归模型研究了美国非常规货币政策冲击与中国金融市场利率期限结构之间的动态关联。结果表明,美国非常规货币政策的实施对中国货币市场和债券市场的利率期限结构的冲击存在显著差异。此外,中国货币市场和债券市场的利率期限结构对该冲击的反应的敏感性还取决于美联储在各阶段所实施的前瞻指引规则类型。
[Abstract]:In order to get rid of the dilemma of the failure of the conventional monetary policy transmission mechanism under the situation that the federal funds rate is facing zero lower bound of interest rate since the financial crisis, The Fed has begun to smooth the yield curve with a range of unconventional monetary policy tools, such as quantitative easing, to boost macroeconomic dynamism. Changes in the term structure of interest rates have impacted the financing costs of China's markets, which are highly linked to the US economy. In this paper, a time-varying parameter vector autoregressive model with potential thresholds is used to study the dynamic correlation between the unconventional monetary policy shocks in the United States and the term structure of interest rates in China's financial markets. The results show that there are significant differences in the impact of unconventional monetary policy on the term structure of interest rates in China's money market and bond market. In addition, the sensitivity of the term structure of interest rates in China's money and bond markets to the shock depends on the types of forward-looking guidance rules that the Fed applies at all stages.
【作者单位】：吉林大学商学院吉林大学数学经济研究中心
【基金】：教育部人文社科重点研究基地重大项目(14JJD790043) 国家社科基金项目(12BJY158)的资助
【分类号】：F827.12;F832.6

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