货币政策不确定性与收益率曲线传导

Uncertainty of Monetary Policy and Transmission of Yield Curve

使用仿射利率期限结构模型,将中国长期国债利率分解为风险中性利率和期限溢价,并通过构建理论模型,分析中国短期政策利率对风险中性利率和期限溢价的影响机制,以及货币政策不确定性水平对收益率曲线传导的调节作用,研究表明:中国短期政策利率既会正向影响风险中性利率,也会正向影响期限溢价;在较高的货币政策不确定性水平下,中国货币政策收益率曲线传导的政策预期渠道和资产组合渠道的传导效率均显著降低。建议在完善价格型货币政策框架过程中,除了培育合适的短期政策利率外,还要降低货币政策的不确定性,从而更好地发挥货币政策的作用效果。

Based on the affine term structure model,this paper decomposes China’s long-term government bond interest rates into risk-neutral interest rates and term premiums.By constructing a theoretical model,the paper analyzes the effect of China’s short-term policy interest rates on risk-neutral interest rates and term premiums,as well as the moderating effect of monetary policy uncertainty on the transmission of the yield curve.The evidence shows that China’s short-term policy interest rate would positively affect not only risk-neutral interest rates but also term premiums.Additionally,it is found that with relatively high monetary policy uncertainty,the transmission efficiency would significantly lower China’s monetary policy yield curve,specifically through the policy expectation and asset portfolio channels.Therefore,we suggest that monetary policy uncertainty should be reduced to improve the price-based monetary policy framework,apart from adjusting the appropriate short-term policy interest rates to enhance the effect of the monetary policy.