政策利率引导市场利率的走势吗--央票发行利率与央票市场利率双向互动关系研究

Does Policy Rate Lead Market Rate?——Empirical Study on Interaction Between the Issuing Rate and Market Rate of Central Bank Bill

本文基于利率期限结构的主成分分析结果,通过构建回归方程的方法,针对上一轮经济周期中的升息期和受金融危机影响的降息期,实证研究了央票发行利率与央票市场利率间双向关系的周内效应。结果表明,在经济正常波动时期,央票发行利率并未直接引导市场利率,而是借由市场预期引导市场利率走势,央票发行利率的公布不对市场利率造成影响;在金融危机时期,央行货币政策出乎市场预期,央票发行利率直接引导市场利率走势。因此,金融危机时期与经济正常波动时期央行货币政策利率传导的途径和效果是有所不同的。

By constructing regression equations,this paper studies on interactions between the issuing rate and market rate of the central bank bill within one week.The results provide evidence that:(1) during normal economic fluctuation period,the issuing rate of central bank bill influences market rate via market expectation rather than directly lead market rate,so the release of issuing rate of central bank bill doesn't have an effect on market rate;(2) during financial crisis,the issuing rate of central bank bill is beyond market expectation and directly leads the market rate.Therefore,there is a difference of the conduction and effects of monetary policies in different economic situations.