做市支持操作对国债收益率曲线的影响研究

Research on the Influence of Market Making Support Operation on Government Bond Yields

国债做市支持操作是提升做市商风险管理能力,保障市场流动性水平,健全国债收益率曲线的重要创新实践。本文基于2017―2021年相关数据,从操作国债、相近剩余期限国债以及国债收益率曲线等维度综合评估做市支持操作的实施效果。研究结果表明:(1)做市支持随卖操作对国债收益率曲线具有影响,随买操作对国债收益率曲线的影响有限,且具有一定时滞;(2)做市支持操作对操作国债具有供给冲击效应,在理性预期和市场套利机制的作用下,可带动国债收益率曲线长端同向调整;(3)做市支持操作规模、频率等因素是影响做市支持操作效果的重要变量,建议适度加大做市支持操作规模、频率,扩大做市支持操作参与机构范围。

The support operation of the government bond market making(hereinafter, the operation) is a significant innovative practice to improve risk management skills of market makers, guarantee liquidity of the market and complement the government bond yield curve. Based on relevant data from 2017 to 2021, this paper comprehensively evaluates the impact of the operation from the dimensions of government bond operations, government bonds with similar residual maturities, the government bond yield curve, etc. The results show that(i) the tap issue significantly influences the government bond yield curve while the reverse tap issue does not;(ii) the tap issue has supply shock effects on operating government bond yield curve, and the effect of rational expectation and the market arbitrage mechanism drive the long end of the yield curve in the same direction;(iii) the scale and frequency are important variables of the operation and, therefore, this paper suggests increasing the scale and frequency of the operation and expanding the scope of participating institutions.