国债期限溢价视角下中国财政政策的国债流动性效应研究

Research on the Treasury Bond Liquidity Effect of China’s Fiscal Policy Under the Perspective of Treasury Bond Term Premiums

财政政策的国债流动性效应既为我国财政政策调控资本市场流动性提供有力支持,又是我国财政政策与货币政策协调共同调控流动性的重要前提。本文从国债期限溢价视角出发,基于斜t分布拟合方法,对我国支出类和税收类财政政策的国债流动性效应进行检验。研究结果显示:积极的支出类财政政策的国债流动性效应主要体现在对短期国债期限溢价的调控上,但该政策的干预会提升长期国债期限溢价上涨的概率,导致远期流动性紧缩;积极的税收类财政政策的国债流动性效应集中体现在对中长期国债期限溢价的调控上,但其对短期国债期限溢价的影响较为微弱。因此,在财政政策调控流动性的具体实践中,财政部门需结合调控目标与政策协调机制,选择适当的财政政策工具。

The treasury bond liquidity effect of fiscal policy not only provides strong support for China’s fiscal policy to regulate capital market liquidity,but also is an important prerequisite for China’s fiscal policy and monetary policy coordination to jointly regulate liquidity.Based on the skewed t-distribution fitting method,this paper investigates the treasury bond liquidity effect of China’s spending-based and tax-based fiscal policies,from the perspective of treasury bond term premium.The results of the study show that:Active spending-based fiscal policy affects the liquidity of treasury bonds by regulating short-term treasury bond term premiums.However,this policy’s intervention increases the likelihood of a rise in long-term treasury bond term premiums,leading to a tightening of forward liquidity.On the other hand,active taxbased fiscal policy primarily regulates medium-and long-term treasury bond term premiums,with a relatively weak impact on short-term treasury bond term premiums.Therefore,when regulating liquidity through fiscal policy,the department of finance must comprehensively consider both regulatory objectives and policy coordination mechanisms and select appropriate fiscal policy tools.