汇率制度改革、货币政策与国债利率期限结构

Exchange Rate System Reform,Monetary Policy and Term Structure of Interest Rate of Treasury Bonds in China

本文采用上交所国债交易数据对Nelson-Siegel模型参数进行估计,得到国债利率期限结构的水平因子和倾斜度时间序列。在此基础上,运用马尔科夫区制转换向量自回归模型,分别对人民币对美元汇率、银行间隔夜拆借平均利率、国债利率期限结构的水平因子和倾斜度四个时间序列进行了单变量和多变量的区制转换检验,并对国债利率期限结构的水平因子和倾斜度对人民币汇率变化冲击的动态响应进行了脉冲响应分析。结果表明,国债利率期限结构的水平因子和倾斜度在汇率制度改革前后均发生了显著的结构性变化,汇率制度改革以及相应的货币政策变化共同解释了国债利率期限结构水平因子和倾斜度的变化。

This paper estimates the parameters of Nelson-Siegel model, using the data of Treasury Bond Market in Shanghai, and obtained the time series of level factor and slope of term structure of interest rate of treasury bonds. The authors estimate the parameters of Markov-Switching VAR model separately for the time series of RMB exchange rate against the USD, the time series of average overnight interest rate of inter-bank, the level factor time series of treasury bonds, slope time series of treasury bonds and the vector time series for the four variables. The results show that, level factor and slope time series of treasury bonds changed significantly after the exchange rate system reform, and the reform as well as the relevant monetary policy adjustments have explained the changes of level factor and slope of treasury bonds.