央行流动性管理工具对国债利率期限结构的影响效应研究

Research on the Infl uence of Central Bank Liquidity Management Tools on Terminal Structure of Treasury Bonds

本文以常备借贷便利(SLF)和中期借贷便利(MLF)流动性管理工具为例,介绍了利率期限结构理论,并阐述了流动性管理工具对国债利率期限结构的三个影响效应。实证分析中通过构建Nelson-Siegel模型来研究国债利率期限结构,拟合国债收益率曲线,之后进一步通过构建VAR模型来研究流动性管理工具对国债利率期限结构的影响效应。结果表明,流动性管理工具操作过程中收入与价格效应和通货膨胀预期效应大于流动性效应,最终会导致国债利率水平整体长期水平上升;流动性管理工具可以在短期内通过流动性效应引导国债利率水平下降后,之后又通过收入与价格效应和通货膨胀预期效应引导长期国债利率水平上升,进而使得短期国债利率水平和长期国债利率水平的利差加大,最终导致国债收益率曲线更加陡峭;MLF工具可以通过流动性效应引导中期国债利率下降,而对短期国债利率和长期国债利率的引导并不显著,导致国债利率期限结构的收益率曲线更加弯曲;此外,相对于传统货币政策工具,流动性管理工具对国债利率期限结构的作用效果更显著。

This paper introduced interest rate period structure theory,and three effects of liquidity management tools on national debt interest rate period structure is introduced.Based on theoretical analysis,the Nelson-Siegel model was constructed to study the national debt interest rate period structure,the national debt yield curve,and further studied the effects of liquidity management tools on national debt interest rate period structure by constructing a VAR model.The results show that the income and price effects and infl ation expectations during the operation of the liquidity management tool are greater than the liquidity effect,and eventually lead to the overall long-term level of the overall level of the national debt interest rate;liquidity management tools can guide government bonds through liquidity effects in the short term After the level of decline,the long-term national debt rate level is rising by income and price effect and infl ation expectation,which in turn makes the short-term national debt interest rate level and the long-term national debt interest rate level,which ultimately leads to a more steep result of the national debt yield curve;MLF can guide the rate of interest rates in the mid-term national bond through liquidity effect,and the guidance of short-term national debt interest rates and long-term bond interest rates is not signifi cant,leading to the yield curve of the national debt interest rate period structure;In addition,compared to traditional monetary policy instruments,liquidity management tool is more signifi cant to the role of the national debt interest rate period.