流动性调控有效性比较分析:数量工具和价格工具

Comparative Analysis of the Effectiveness of Liquidity Control:Quantitative Instrument and Price Instrument

近年来钱荒和资产荒相继出现,资本市场流动性问题凸显,这既影响资本市场的融资行为,也带来了金融不稳定风险,逐渐受到学术界和业界的关注。银行间债券市场作为中国主要债券市场和公开市场操作的重要载体,央行越来越有必要对其市场流动性进行精确调控,但关于货币政策工具对债券市场流动性影响的研究较少,精确到市场流动性调控工具类型选择上的数理研究更是缺乏。从流动性调控的视角,基于2005年至2016年中国银行间债券市场交易的实际数据,构建非流动性指标对市场流动性进行测量,选择公开市场操作代表数量调控工具,选择质押式回购利率代表价格调控工具,构建带有随机波动的时变参数向量自回归模型,实证分析这两种调控工具对银行间债券市场流动性调控的效果。研究结果表明,数量工具和价格工具对银行间债券市场流动性调控均有效,但公开市场操作这种数量调控更迅速和有效,在银行间债券市场流动性调控中应该被优先考虑;质押式回购利率这种价格工具对流动性调控的作用维持时间更长,所以更适合中长期调控。随着时间推移,央行借助公开市场操作引导质押式回购利率的效果越来越差,已经基本失效;为了保持银行间债券市场流动性调控中价格调控工具的有效性,央行急需进一步创新引导利率的新工具。同时发现质押式回购利率对债券市场流动性调控具有较为明显的时变特征,其在市场流动性动荡时期调控作用增大。实证结果为更好地实施银行间债券市场流动性调控提供了理论支持,随机波动的时变参数向量自回归模型体现了货币政策工具调控效果的时变特征,并且能够分析公开市场操作对质押式回购利率的引导效果。

The problem of capital market liquidity has become prominent in recent years,which shows that money shortage and asset shortage appeared successively.This affects the financing behavior of the capital market and brings the financial instability risk,so it gradually gets the attention of academia and industry.As Interbank bond market is the main bond market and the main carrier of the open market operations,the central bank regulation on the market liquidity is more and more necessary.Yet the study of the impact of monetary policy tools on the market liquidity is much less,so the research on the type selection of market liquidity control tool is worth deeply exploring.From the perspective of liquidity regulation,we first build an index(Illiquidity)to measure market liquidity based on the actual data of China’s inter-bank bond market transactions between 2006 and 2016.Meanwhile we choose open market operation and pledge repo rate as the representative of quantity control tool and price control tool respectively.Then,taking time-varying characteristics of monetary policy regulation effect into account,we apply the time-varying parameter vector autoregressive model with stochastic volatility(TVP-SV-VAR)to compare the effect of price regulation and quantity regulation,and analyze the guidance effect of open market operation on the mortgage repo rate.The empirical results show that the price regulation and quantity regulation of the inter-bank bond market liquidity are both effective.But the quantitative regulation is more rapid and effective,it should be given priority.The effect of pledged repo interest rate,the price regulation,can maintain a longer time,and it is more suitable for long-term control.Moreover,this paper finds that as time goes on,the effect of central bank regulates interest rates through open market operations is worse and worse,and has basically gone,which indicates that in order to achieve price regulation,the central bank needs to innovate interest rate guidance mechanism.Meanwhile the effect of pledged repo interest rate has an obvious time-varying characteristic.When the market liquidity is turbulent,the regulatory role of pledged repo interest rate increases.The results of this study provide useful empirical reference and policy implications for regulating the liquidity of inter-bank bond market.