国债收益率曲线的货币政策传导渠道:理论机制与中国经验

The Transmission Channels of Monetary Policy of Treasury Yield Curve:Theoretical Mechanism and China's Experiences

全球经济下行压力不断累积,预示着中国可能长期处于低利率环境,因此需加强货币政策对国债收益率曲线的引导,以发挥长期利率的调控作用。理论分析表明,中国现行的货币政策框架已具备通过信号渠道和资产组合平衡渠道向国债收益率曲线传导的操作条件;实证结果进一步证实了两种渠道传导的有效性。具体来看,信号渠道比资产组合平衡渠道的传导效应更强;信号渠道的作用是短期的,其方向与货币政策目标一致,而资产组合平衡渠道的作用是长期的,其方向短期内与货币政策目标相反,在中长期与货币政策目标一致;两种渠道在货币政策宽松期的传导效应较弱,在货币政策紧缩期的传导效应较强,表现出显著的非对称特征。建议中国人民银行优化基于信号渠道和资产组合平衡渠道的货币政策传导机制,打通以国债收益率曲线为核心的利率传导路径。

The continuous accumulation of downward pressure in the global economy indicates that China may stay in a low interest rate environment for a long time.Therefore,it is necessary to strengthen the guidance of monetary policy for the treasury yield curve,so as to let long-term interest rate play the role of regulation.The results of the theoretical analysis show that China*s current monetary policy framework has possessed the operational conditions to transmit to the treasury yield curve through the signaling channel and the portfolio balance channel.The empirical results further confirm the effectiveness of the two channels in the transmission.Specifically,the transmission effect through the signaling channel is stronger than that through the portfolio balance channel.The role of the signaling channel is short-term,and its direction is consistent with the goal of monetary policy;while the role of the portfolio balance channel is long-term,its direction is opposite to the goal of monetary policy in the short term,and is consistent with the goal of monetary policy in the medium and long term.The transmission effect of the two channels is weaker in the easing period of monetary policy,but stronger in the tightening period of monetary policy,which shows significant asymmetric characteristics.It is suggested that the People’s Bank of China should optimize the monetary policy transmission mechanism of both the signaling channel and the portfolio balance channel and open up the interest rate transmission path with the treasure yield curve as the core.