央行回购操作对国开债收益率曲线的影响研究——基于协整和误差修正模型的实证分析

Impact of central bank＇s repos on CDB bond yield curve ---An empirical analysis based on co-integration and error correction model

文章探讨了央行货币政策影响市场利率的理论分析框架，通过协整检验、向量误差修正模型等计量方法，考察央行回购操作对国开债收益率曲线的影响。研究表明：央行7天回购操作利率变动引起国开债收益率曲线的平移和形态的改变，对短端收益率的影响尤其显著；国开债到期收益率具有基准利率特征，1年和3年国开债到期收益率满足波动均值标准。建议可选择国开债利率作为定价基准，利用利差均值回归、骑乘、蝶式等策略进行国开债利差交易。

This paper discusses the theoretical and analytical framework of the influence of central bank＇s monetary policy on the market interest rates, and uses quantitative methods like co-integration test and vector error correction model to analyze the impact of central bank＇s repo operations on the CDB bond yield curve. The paper finds out that a change in the central bank＇s 1W repo rate will trigger a shift in the level and shape of the CDB bond yield curve which is particularly prominent in the short-end of the yield curve, and the yields to maturity of CDB bonds may act as a benchmark interest rate since the volatility of 1Y and 3Y CDB bond yields fall within the standard deviation. The paper suggests that the CDB bond yields can be used as a pricing benchmark, and market players can trade CDB bond yield spreads with mean reversion, riding and butterfly trading strategies.