货币政策对利率期限结构的影响——基于动态Nelson-Siegel模型的实证分析

The Impact of Monetary Policy on the Interest Rate Term Structure:An Empirical Analysis Based on Dynamic Nelson-Siegel Model

以中国人民银行发行的央票利率为货币政策变量,以动态Nelson-Siegel模型为基础构造动态因子模型,采用卡尔曼滤波估计利率期限结构因子,与货币政策变量一起建立误差修正模型,以此分析货币政策对利率期限结构的短期动态影响和长期均衡影响;同时基于中国银行间市场债券交易数据进行的实证分析表明:货币政策和利率期限结构之间的短期动态影响表现出非对称性,即债券市场对货币政策变化的反应较为迟缓,但货币政策对市场利率的变化反应敏锐。而长期均衡关系则表明,货币政策对银行间债券市场利率期限结构有显著影响,但银行间债券市场对央行的利率调控目标不敏感,不能形成明确预期。另一方面,货币政策对目标利率的市场引导效果十分敏感,银行间市场债券交易信息是央行制定货币政策的依据。

With the interest rate of the bank note issued by the People＇s Bank of China as the monetary policy variable, taking the dynamic Nelson-Siegel model as the foundational structure dynamic factor model, adopting Kalman filter to estimate the factors of interest rate term structure and to set up the error correction model with the monetary policy variables, this paper performs an analysis of the short term dynamic impact and long term balanced impact of the monetary policy on the interest rate term structure and conducts an empirical study based on China＇s inter-bank market bond trading data. The results indicate that the short term dynamic impact between monetary policy and interest rate term structure shows an asymmetry, i.e. the bond market has a slower reaction towards the changes of monetary policy, while the monetary policy has a keen reaction towards the changes of market interest rate. The long term balanced relation indicates that the monetary policy has a significant impact on the interest rate term structure in the inter-bank bond market, but the inter-bank bond market is not sensitive to the regulative target of the central bank interest rate, no definite expectation can be formed. On the other side, the monetary policy is very sensitive to the market guiding effect of the target interest rate, the band trading information of the inter-bank market is the basis for making monetary policy by the center bank.