中央银行沟通对利率期限结构的影响研究

Impact of Central Bank Communication on Term Structure of Interest Rates

本文利用2006年10月1日至2013年8月23日的数据,运用EGARCH模型实证研究了中央银行沟通对不同期限的各类市场利率以及期限利差和信用利差的影响,并对货币政策的有效性进行了评价。研究结果表明,中央银行沟通对短期利率有显著的影响,对中长期利率产生一定的影响但效果并不明显,在金融危机期间对各类市场利率的影响程度更大;口头沟通对各类市场利率的影响效应比书面沟通要大;沟通对利率水平和波动的影响是不对称的,带有紧缩意图的沟通比带有宽松意图的沟通作用大。为了能够更好地发挥中央银行沟通在货币政策操作中的作用,中央银行还需进一步加强沟通,以提高货币政策的前瞻性和有效性。

Using EGARCH model, we analyze empirically the impact of central bank communication on a set of market interest rates, including money market short rates, treasury bonds rates and corporate bonds rates, term spread, credit spread, and evaluate the effectiveness of monetary policy. The results show that central bank communication has a significant impact on the money market short rates and has a certain effect on long-term interest rates, but the effect is not obvious. The oral communication on the term structure of interest rates is more effective than the written communication. The effect of central bank communication on the fluctuation of interest is asymmetric. The effect of communication with austerity intention is bigger than loose intention communication. The role of central bank communication is even more significant during the financial crisis. In order to make central bank communication play a more important role in monetary policy operation, central bank needs to strengthen the behavior of communication to improve the forward-looking and effectiveness of monetary policy.