利率关联性与货币政策独立性——基于中美国债市场关联性的分析

发布时间：2018-02-12 03:10

本文关键词： 利率相关性货币政策独立性资本开放宏观审慎　出处：《商业研究》2017年04期 　论文类型：期刊论文

【摘要】：正确识别国内金融市场与外部市场的联动性特征对于我国货币政策的选择具有重要意义。本文以国债市场为切入点,利用分时段回归和马尔科夫机制转换模型分析中美国债利率相关性发生的结构性变动。中国各个期限的利率在2006年以前独立于美国利率的变动,而在2006年以后却表现为"中短端独立,中长端联动",这意味着中国货币政策已经不具备"完全"的独立性;这种结构性变动在肯定浮动汇率可以减轻国内短期利率跟随中心国利率变动压力的同时,在一定程度上支持了"二难选择"或"全球金融周期"的机制,强调不论汇率制度如何改变金融市场一体化的提高都会强化中外金融条件的联系。因此,应加强货币政策对中长期利率的影响,注重宏观审慎政策的应用及合理使用资本流动监管,积极参与国际货币政策合作。
[Abstract]:It is of great significance to correctly identify the linkage between domestic financial market and external market for the choice of monetary policy in China. This paper analyzes the structural changes in the interest rate correlation between Chinese and American Treasuries by means of time division regression and Markov mechanism transformation model. The interest rates of each term in China were independent of those of the United States rate before 2006. But after 2006, it was shown as "short end independence, medium long terminal linkage", which means that China's monetary policy has no "complete" independence; This structural change, while affirming that floating exchange rates can ease the pressure on domestic short-term interest rates to follow interest rate movements in central countries, to some extent supports the mechanism of "hard to choose" or "global financial cycle". Emphasizing that, no matter how the exchange rate regime changes the integration of financial markets, the links between Chinese and foreign financial conditions will be strengthened. Therefore, the impact of monetary policy on medium- and long-term interest rates should be strengthened, Pay attention to the application of macro-prudential policy and rational use of capital flow supervision, actively participate in international monetary policy cooperation.
【作者单位】：北京大学经济学院;
【分类号】：F831.51;F821.0

【相似文献】