我国利率期限结构与货币政策关系研究

发布时间：2018-06-07 12:28

本文选题：利率期限结构 + 收益率曲线　；参考：《安徽财经大学》2013年硕士论文

【摘要】：对利率期限结构的研究是金融学领域中备受关注的课题。当前,金融学者开始结合经济学者的宏观视角,研究利率的期限结构与货币政策等宏观变量之间的相互影响。在我国利率市场化逐步加深的背景下,有必要将两者结合在一起研究,考察利率的期限结构在货币政策制定中的作用,并利用研究成果服务于货币政策的宏观调控。一方面,中央银行在面临经济冲击时,调整货币政策(如公开市场操作、再贴现率等),影响短期利率,进而引导中长期利率,影响总需求和总收入,最终达到调控经济的目标。利率的期限结构在货币政策的传导过程中发挥桥梁作用。另一方面,货币政策的执行存在较长时间的外在时滞,但利率的期限结构中蕴含着有关未来通货膨胀以及未来经济形势的重要信息。利率的期限结构所反映的是金融市场的发展状况与宏观经济态势,参考其中蕴含的经济信息能够预调微调货币政策,提高有效性和针对性。因此将两者关系放在我国现有的国情下具体分析,并找出改进的途径是有其现实意义的。本文首先阐述了有关利率期限结构形成的基本理论和货币政策体系的构成,对研究的范围进行界定；然后参照发达经济体中完善的利率传导机制,从理论层面分析利率的期限结构与货币政策相互影响的关系；接着,介绍了我国利率期限结构的具体特征和货币政策体系的现状。分析了近期存款准备金率调整和公开市场操作对上交所国债收益率曲线的影响；在实证部分,选用货币供应量作为货币政策变量,用长短期利差度量不同期限利率的结构,采用上交所国债市场的数据,构建了VAR模型,并结合脉冲响应函数和方差分解作具体分析。从实证结果可以看出,宽松的货币政策导致利差变大,紧缩性货币政策导致利差变小。通过分析利率期限结构的变动,央行可以对货币政策的实施效果做出初步判断。但利差对货币供应量冲击的反应不迅速,而且不够显著。这说明,我国目前现有的收益率曲线对货币政策的反应不足；以货币供应量作为中介目标,不能有效地引起利率期限结构变动；另一方面,利差对未来通货膨胀的影响呈正向。这与理论推导的影响方向一致。说明我国的收益率曲线对未来通货膨胀有一定的预测能力,制定货币政策时可以参考利率期限结构中的有效信息。在对我国利率期限结构与货币政策的关系进行制度政策考察时,发现我国的收益率曲线还不完善,利率期限结构与货币政策之间的联动性受到债券市场发展状况、货币政策中介目标选择的制约。最后,文章结合中国具体实际,从完善货币政策、发展债券市场等方面提出相关政策建议。
[Abstract]:The study of term structure of interest rate is a subject of great concern in the field of finance. At present, financial scholars begin to study the interaction between the term structure of interest rate and the macro variables such as monetary policy. Under the background of our country's interest rate marketization gradually deepening, it is necessary to combine the two studies to investigate the role of term structure of interest rate in monetary policy formulation, and to use the research results to serve the macro-control of monetary policy. On the one hand, the central bank adjusts monetary policy (such as open market operation, rediscount rate, etc.) in the face of economic shock, so as to influence short-term interest rate, then guide medium and long term interest rate, affect aggregate demand and total income, and finally reach the goal of regulating and controlling the economy. The term structure of interest rate acts as a bridge in the transmission of monetary policy. On the other hand, there is a long time lag in the implementation of monetary policy, but the term structure of interest rate contains important information about future inflation and future economic situation. The term structure of interest rate reflects the development of financial market and the macroeconomic situation. Referring to the economic information contained in it, the monetary policy can be adjusted in advance, and the effectiveness and pertinence can be improved. Therefore, it is of practical significance to analyze the relationship between the two and find ways to improve them. This paper first expounds the basic theory of the formation of term structure of interest rate and the composition of monetary policy system, defines the scope of the study, and then refers to the perfect interest rate transmission mechanism in developed economies. The relationship between term structure of interest rate and monetary policy is analyzed theoretically, and then the specific characteristics of term structure of interest rate and the present situation of monetary policy system in China are introduced. This paper analyzes the influence of the adjustment of reserve requirement ratio and the open market operation on the yield curve of Shanghai Stock Exchange. In the empirical part, we choose money supply as the monetary policy variable and measure the structure of different term interest rates by the long and short term interest rate difference. Based on the data of Shanghai Stock Exchange (SSE), the VAR model is constructed, and the impulse response function and variance decomposition are used to analyze the model. From the empirical results, we can see that the loose monetary policy leads to the increase of the spread, and the contractionary monetary policy leads to the smaller spread. By analyzing the change of interest rate term structure, the central bank can make a preliminary judgment on the effect of monetary policy. But the interest rate difference to the money supply shock response is not quick, and is not obvious enough. This shows that the current yield curve of our country is not responding enough to monetary policy; taking money supply as the intermediate target can not effectively cause the change of term structure of interest rate; on the other hand, the influence of interest rate difference on future inflation is positive. This is consistent with the direction of influence derived from the theory. It shows that the yield curve of our country has certain ability to predict the future inflation, and the effective information in the term structure of interest rate can be referred to in the formulation of monetary policy. When we investigate the relationship between term structure of interest rate and monetary policy, we find that the yield curve of our country is not perfect, and the linkage between term structure of interest rate and monetary policy is affected by the development of bond market. The restriction of monetary policy intermediary target selection. Finally, the paper puts forward some policy suggestions from the aspects of perfecting monetary policy and developing bond market.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.5

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