中美国债收益率溢出效应及其影响因素研究

Research on Spillover Effect of China and US Treasury Bond Yields and Its Influencing Factors

中美国债收益率之间的溢出效应对于国际资本流动、货币政策有效性乃至金融市场稳定具有重要影响。本文采用动态Nelson-Siegel模型提取了中美两国国债收益率水平、斜率和曲率三个因子,反映利率期限结构曲线的不同特征。在此基础上,运用时变参数向量自回归关联(TVP-VAR connectedness)方法与TVP-VAR模型,分析中美国债收益率因子的溢出效应及其影响因素,发现中美国债收益率之间的溢出效应具有较强的时变性与非对称性,人民币汇率贬值与中国短期跨境资本流动增加可放大中美国债收益率的溢出效应,中国宏观经济景气程度与中美国债收益率净溢出水平反向变动。基于此,中国应继续健全和发展国债市场,完善国债交易品种与交易机制;继续深化汇率市场化改革,坚持金融市场双向开放,提高抵御短期资本流动风险的能力,保持货币政策的独立性,增强抵御国际债券市场联动冲击的能力。

The spillover effect between China and the US Treasury bond yields have important implications for international capital flows,monetary policy effectiveness,and even financial market stability.In this paper,the dynamic Nelson-Siegel model is used to extract three factors,the level,slope,and curvature of China and the United States Treasury bond yields,reflecting different characteristics of the curve of the term structure of interest rates.On this basis,the spillover effect of China and the United States Treasury yield factors and its influencing factors are analyzed using the time-varying parameter vector autoregressive correlation(TVP-VAR connectedness)method and the TVP-VAR model.It is found that the spillover effect of China and the United States Treasury bond yields are strongly time-varying and asymmetric,the RMB exchange rate depreciation and the increase in China’s short-term cross-border capital flows can amplify the spillover effect of China and the United States Treasury bond yields;in addition,the degree of China’s macroeconomic prosperity moves inversely with the net spillover level of China and the United States Treasury bond yields.Based on this,China should continue to improve and develop the Treasury bond market,improve the varieties of trading items of Treasury bond and its trading mechanisms;continue to deepen the reform of exchange rate marketization,adhere to the two-way opening-up of financial markets,improve the ability to resist short-term capital flow risks,maintain the independence of Chinese monetary policy,and enhance the ability to resist linked shocks in international bond markets.