基于债券市场利率期限结构的货币政策传导效应研究

发布时间：2018-05-04 21:51

本文选题：利率期限结构 + 货币政策　；参考：《中国海洋大学》2014年硕士论文

【摘要】：我国当前实行的货币政策是以数量型货币政策工具为主，辅之以价格型货币政策工具，这是受我国利率市场化水平等因素影响的结果。西方发达国家在20世纪90年代逐渐从数量型工具过渡到价格型工具，有效降低了宏观经济波动并保持了较低的通货膨胀水平，取得了巨大的成功。伴随着我国利率市场化进程的加深，利率作为资本市场重要的价格变量，这一价格型的调控工具将会逐步取代规模数量型的信贷途径成为我国货币政策主要的传导途径。利率期限结构描述了不同到期期限下的利率水平，不仅能反映货币市场本身变动的历史和发展趋势，其曲线参数更是能够用于研究其与宏观经济变量之间的关系。因此，在这样的背景下，基于我国的利率期限结构曲线研究我国货币政策传导效应将具有十分重要的理论和实际意义。本文的研究主要集中在以下方面：首先，文章梳理了利率期限结构理论的发展过程和货币政策的基本理论，并从理论上分析了利率期限结构与货币政策和宏观经济运行之间的关系，证明了利率期限结构与货币政策和宏观经济运行之间存在理论上的相关性。随后对我国债券市场现状进行分析，并回顾我国历年实施的货币政策。由于我国的债券市场90%以上的交易在银行间债券市场上完成，而在这些交易中国债的比例又占了绝大部分，因此选择我国银行间交易市场上的国债的利率数据来拟合我国的利率期限结构曲线。第三，运用Nelson-Siegel模型对我国利率期限结构曲线进行拟合，拟合结果表明，Nelson-Siegel模型能够准确地拟合我国利率期限结构曲线，切拟合出的曲线参数符合其理论意义，具有较强的现实意义，能够用于与货币政策变量和宏观经济数据的实证分析。接下来选取了代表货币政策及宏观经济的变量，与拟合出的利率期限结构曲线的参数一起进行实证分析。实证结果表明我国的货币政策能够影响利率期限结构的水平因子与斜率因子进而对宏观经济变量产生影响，且我国的货币政策通过利率期限结构进行传导的最终效果与理论分析一致。最后文章对各章的结论进行总结，并就我国债券市场交易体制的完善，利率市场化以及货币政策的制定提出政策建议。
[Abstract]:The monetary policy in our country is mainly quantitative monetary policy tool, supplemented by price monetary policy tool, which is the result of factors such as the level of interest rate marketization in our country. In the 1990s, the western developed countries gradually transferred from the quantitative tool to the price one, which effectively reduced the macroeconomic fluctuation and kept the low inflation level, and achieved great success. With the deepening of China's interest rate marketization process, interest rate as an important price variable in the capital market, this price-based regulatory tool will gradually replace the scale-quantitative credit channel as the main transmission of monetary policy in China. Term structure of interest rate describes the level of interest rate under different maturities. It can not only reflect the history and development trend of the change of money market itself, but also can be used to study the relationship between interest rate term structure and macroeconomic variables. Therefore, under this background, it is of great theoretical and practical significance to study the transmission effect of monetary policy based on the term structure curve of interest rate in China. This paper focuses on the following aspects: First of all, the paper combs the development process of term structure theory of interest rate and the basic theory of monetary policy, and theoretically analyzes the relationship between term structure of interest rate and monetary policy and macroeconomic operation. It is proved that there is a theoretical correlation between term structure of interest rate and monetary policy and macroeconomic operation. Then the paper analyzes the present situation of China's bond market and reviews the monetary policies implemented in the past years. Since more than 90% of the transactions in China's bond market are completed in the interbank bond market, the proportion of treasury bonds in these transactions accounts for the vast majority. Therefore, the interest rate data of the national debt in the interbank trading market of our country are selected to fit the interest rate term structure curve of our country. Thirdly, the Nelson-Siegel model is used to fit the interest rate term structure curve in China. The fitting results show that the Nelson-Siegel model can fit the interest rate term structure curve accurately. It has strong practical significance and can be used for empirical analysis of monetary policy variables and macroeconomic data. Then, the variables representing monetary policy and macroeconomic are selected, and the empirical analysis is carried out together with the parameters of the fitted term structure curve of interest rate. The empirical results show that China's monetary policy can influence the level factor and slope factor of the term structure of interest rate and then influence the macroeconomic variables. The final effect of transmission of monetary policy through term structure of interest rate is consistent with theoretical analysis. Finally, the paper summarizes the conclusions of each chapter, and puts forward some policy suggestions on the perfection of the trading system of China's bond market, the marketization of interest rate and the formulation of monetary policy.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F822.0

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