央行沟通对债券市场长期收益率及其波动情况的影响

发布时间：2018-03-09 07:58

本文选题：央行沟通策略　切入点：长期债券收益率　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：本文主要研究央行沟通策略对与我国长期债券收益率及波动情况的影响。最近十几年来,随着各国纷纷提高货币央行制定和执行的透明度,央行沟通作为一种货币政策工具的地位在不断提升。特别是近期金融危机过后,传统的短期利率调整政策影响逐渐降低,"预期管理"在货币政策中的地位不断抬升。本文运用理论分析和实证分析相结合的方法进行研究,分析央行向市场释放信号的策略,及其对于长期债券市场的影响。本文首先构建了一个以羊群效应为基础的博弈论模型,研究央行发布的公开信息和非公开信息对于债券市场参与者交易决策的影响。模型证明了市场参与者会根据对央行释放信号的理解和自己的风险收益偏好来进行投资决策分析。通过对理论模型的分析,市场参与者对于央行的沟通的解读在一定情况下是与央行本身意图不一致的,尤其是在央行货币政策转向的时候,由于债券投资需要分析的信息太多(包括经济基本面和资金面情况等),有时会忽视央行释放的货币政策信号中的意图。央行不能控制公共信息的价值。由于央行向市场传递的信号只是债券市场信号中的一部分,而央行沟通对债券市场的影响,取决于央行沟通和市场上其他信号之间的关系。另外,央行在对市场释放信号前,应该决定希望市场参与者预期形成的时间长短。如果央行货币政策信号坚决,这样会使公共信息的价值提高,也就会使市场参与者快速形成对于央行意图的理解,这样会在短期加大债券市场的波动,但由于市场参与者快速形成了符合央行意图的预期,债券市场杠杆和久期会快速达到央行的要求,从长期看债券利率波动反而会降低。反之,如果央行选择慢慢引导市场形成正确的预期,短期债券市场的波动会减小,但是长期来看,最后总是要达到央行设定的目标,长期的波动会一直持续。另外本文还分析了我国央行沟通和债券市场关系现状,将十年期国债利率作为分析标的带入理论模型,分析市场参与者预期和公共信息对于长期债券市场利率的影响。之后建立了EGARCH实证模型,分析2016年1月至2017年3月央行沟通对各种长期债券市场收益率及波动率情况。理论模型和实证模型相互印证,解释了目前阶段央行沟通的策略及市场的反应情况。最终得出四个结论:首先,债券市场交易最频繁的品种的价格更好的反映了市场信息;其次,央行近期通过沟通显著的增大了债市的波动。在不断加码降杠杆的信息及力度,使市场参与者快速形成了符合央行意图的预期,债券市场杠杆和久期短期快速达到央行的要求;另外,债券市场对央行沟通的反应是在剧烈波动中缓慢抬升收益率中枢;最后,债券市场越来越受到多元化因素的影响,CPI已不是影响债券市场收益率的唯一因素。
[Abstract]:This paper mainly studies the impact of central bank communication strategy on long-term bond yield and volatility in China. In the past decade, as countries have increased transparency in the formulation and implementation of monetary central banks, The role of central bank communication as a monetary policy tool is growing, especially in the wake of the recent financial crisis. The influence of the traditional short-term interest rate adjustment policy is gradually decreasing, and the position of "expectation management" in monetary policy is rising. This paper uses the method of combining theoretical analysis and empirical analysis to analyze the strategy of the central bank sending signals to the market. This paper first constructs a game theory model based on herding effect. This paper studies the influence of public and non-public information released by the central bank on the trading decisions of bond market participants. The model proves that market participants will proceed according to their understanding of the signals from the central bank and their own risk return preferences. Investment decision analysis. Through the analysis of the theoretical model, Market participants' interpretation of central bank communication is, in some cases, inconsistent with the central bank's own intentions, especially when the central bank's monetary policy shifts. Because there is too much information to be analysed about bond investments (including economic fundamentals and funds, etc.), the intention in the monetary policy signals of the central bank is sometimes ignored. The central bank cannot control the value of public information because the central bank is unable to control the value of public information. The signal to the market is only part of the bond market signal, The impact of central bank communication on the bond market depends on the relationship between central bank communication and other signals in the market. In addition, before the central bank sends signals to the market, If the central bank's monetary policy signals are firm, this will increase the value of public information and will enable market participants to quickly develop an understanding of the central bank's intentions. This will increase the volatility of the bond market in the short term, but as market participants quickly develop expectations consistent with the central bank's intentions, the leverage and duration of the bond market will quickly meet the central bank's requirements. On the other hand, if the central bank chooses to slowly guide the market to form the correct expectations, the volatility in the short-term bond market will decrease, but in the long run, it will always reach the target set by the central bank in the end. The long-term volatility will continue. In addition, this paper also analyzes the current situation of the relationship between the central bank and the bond market, and brings the interest rate of ten-year Treasury bonds into the theoretical model. This paper analyzes the influence of market participants' expectation and public information on the long-term bond market interest rate. Then the EGARCH empirical model is established. From January 2016 to March 2017, the paper analyzes how the central bank communicates with each other on the yield and volatility of various long-term bond markets. The theoretical model and the empirical model confirm each other. Finally, four conclusions are drawn: first, the prices of the most frequently traded varieties in the bond market better reflect the market information; secondly, In recent years, the central bank has significantly increased the volatility of the bond market through communication. With the information and strength of increasing and lowering leverage, market participants quickly formed expectations in line with the central bank's intention, and the bond market leverage and duration quickly reached the requirements of the central bank; In addition, the bond market's response to central bank communication is to slowly lift yield centers through violent fluctuations; finally, the bond market is increasingly influenced by diversification factors and CPI is no longer the only factor affecting bond market yields.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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