中国绿色债券市场的分割效应及政策选择研究

Research on the Segmentation Effect and Policy Choice of China’s Green Bond Market

本文针对我国绿色金融虽起步不久但高速发展的事实展开中国绿色债券市场的分割效应及政策选择研究。在经验分析中,本文选取了我国绿色债券不同期限结构2010—2020年的2598条日数据,通过主成分分析法剥离出水平、斜率及曲率期限结构因子,通过与真实市场中的收益率结构比较,发现我国绿色金融债券市场存在较明显的非理性市场分割现象。在理论分析中,本文将一个分割的金融市场模型嵌入到标准动态新凯恩斯(DNK)框架中展开研究,主要使用绿色债券产生的期限溢价数据来估计模型。主要结果显示:政府持有绿色债券市场交易的行为对收益率和实际活动会产生重要而显著的影响。在政府对绿色金融市场实施干预的情况下,盯住期限溢价实施内生债务政策是较优的政策选择。期限溢价的增加改变了产出的构成,使其更多地转向消费,这暗含着福利的提升。

This paper studies the segmentation effect and policy choice of China’s green bond market in view of the fact that China’s green finance started not long ago but develops at a high speed.In the empirical analysis,this paper selected 2598 daily data of different maturity structure of green bonds in China from 2010 to 2020,and calculated the level,slope and curvature maturity structure factors by principal component analysis.Empirical analysis proved that the green financial bond market in China has a significant irrational segmentation effect.In the theoretical analysis,a segmented financial market model is embedded into the standard dynamic new Keynesian(DNK)framework,which mainly uses the term premium data generated by green bonds to estimate the model.The main results show that the government holding green bond market will have an important and significant impact on the yield and actual activities.In the case of government intervention in the green financial market,pegging the term premium to implement the endogenous debt policy is a better policy choice.The increase in term premium has changed the composition of output and shifted it more towards consumption,which implies an increase in welfare.