中国货币政策向收益率曲线传导的有效性--兼论结构性政策工具组合

Effectiveness of China’s Monetary Policy Transmission to the Yield Curve:Based on the Combination of Structural Policy Tools

我国货币政策正处于从"数量型"向"价格型"转型的过程中,所面临的首要挑战是政策工具向其他市场利率,尤其向债券收益率传导的有效性问题。文章从国债收益率角度,充分考虑我国货币政策转型期混合采用政策工具等特征,着重考察了不同类型货币政策在收益率曲线长短端的传导效果。文章基于微观与宏观两个维度刻画收益率曲线的经验研究结果显示,收益率曲线的变化受到货币政策的影响,且不同类型货币政策工具对收益率曲线的传导效率存在显著差异。在传统型政策工具中,相较于数量型,价格型工具在收益率曲线的传导中效果较为突出。而结构性政策工具的使用对中长期国债收益率的影响有限,尤其依据宏观经验法刻画的收益率曲线对结构性政策的反应更弱。

In the process of transformation of China’s monetary policy from“quantity”to“price”,the primary challenge it faces is the effectiveness of the transmission of policy tools to other market interest rates,especially to bond yields.From the perspective of treasury yield,this paper fully considers the special characteristics of China’s monetary policy transition,such as the mixed use of policy tools,and the transmission effects of different types of monetary policies at the long and short ends of the yield curve are emphatically investigated.The empirical results of describing the yield curve based on the micro and macro dimensions show that the change of the yield curve is affected by monetary policy.Moreover,there are significant differences in the transmission efficiency of different types of monetary policy tools to the yield curve.Among the traditional policy tools,the price tool has a more prominent effect in the transmission of the yield curve,which compared with the quantitative one.The use of structural policy tools has a limited impact on medium and long term treasury yields,especially the yield curve based on macro empirical method.This paper reexamines and evaluates the transmission effect of yield curve,which provides empirical evidence for deepening interest rate marketization and monetary price regulation in China.