我国货币政策的债券市场传导有效性研究

Research on the Effectiveness of Monetary Policy through Bond Market in China

债券市场对货币政策的传导作用毋庸置疑,已有较多研究讨论了货币政策向债券市场传导的有效性,但对债券市场向实体经济传导的研究并不多。本文研究了我国货币政策通过债券市场向实体经济传导的全过程,结果发现:贷款利率、法定存款准备金率调整会引起国债收益率同向变动,但短端国债收益率的敏感度要高于长端;央行票据发行利率与国债收益率存在显著的长期正向协整关系,在偏离长期均衡时会进行负向调整;SLO(短期流动性调节工具)投放对国债收益率有显著正向影响,对短端国债收益率影响要大于长端;国债收益率能够很好地预测宏观经济趋势,其变动冲击会对宏观经济产生长期影响。最后,针对个别阶段政策传导不顺畅问题,本文提出完善结构性货币政策工具市场机制,发挥国债收益率曲线资源配置作用,提高央行货币政策公信力和透明度的政策建议。

Bond market is important for the transmission of monetary policy.The transmission effectiveness from monetary policy to bond market has been explored in the literature,while the transmission effectiveness from bond market to economy has been underexplored.This paper studies the total process from monetary policy to economy.The results show that the adjustment of loan interest rate and deposit reserve ratio will cause the same change of Treasury bond yield,but the sensitivity of short-end is higher than long-end.There is a significant long-term positive co-integration relationship between the interest rate of central bank bills and the yield of Treasury bonds,while the adjustment when it deviates from the long-term equilibrium is negative.SLO has a significant positive impact on Treasury bond yields,and the impact on short-end is greater than the long-end.The Treasury bond yield can well predict the trend of macro economy,and its fluctuation impact will have a long-term impact on the macro economy.Finally,in view of the problem that the policy transmission is not smooth in some stages,this paper puts forward some suggestions.