结构性货币政策对我国利率期限结构的影响——基于三因子视角

The Impact of Structural Monetary Policy on the Term Structure of Interest Rate in China:Based on Three-Factor Perspective

本文利用Nelson-Siegel模型构造反映利率期限结构的水平、斜率和曲率因子,并将其与结构性货币政策变量、回购利率、通货膨胀率一起建立向量误差修正模型(VEC),以此分析结构性货币政策对我国利率期限结构的短期波动和长期均衡影响。研究表明:通过Nelson-Siegel模型提取的利率期限结构三因子可以较好地体现出利率期限结构的形态特征。从长期来看,在“量”的方面,通过中期借贷便利操作释放流动性能够显著降低长期债券收益率,引起债券长短期利差的减少,收益率曲线变得更弯曲。在“价”的方面,提高常备借贷便利利率使得收益率曲线平坦化,但并未有效引起收益率曲线上移,而上调中期借贷便利利率,能够提高长期债券收益率,债券长短期利差增大,收益率曲线弯曲程度变小。本文通过对比数量型和价格型货币政策工具的实施效果,发现价格型货币政策工具对市场利率有着更显著的影响。

With the transformation of monetary policies,the central bank guides market benchmark interest rates,such as DR007,treasury bond yields,and LPR,to move around the policy interest rates by adjusting the upper limit of interest rate corridor,open market operation interest rates,and medium-term lending facility rate,thus releasing interest rate signals and conducting interest rate transmission to the money market,bond market,and credit market.The term structure of interest rate plays a significant role in the transmission mechanism of monetary policy interest rate.However,few studies have investigated structural monetary policy from the perspective of the bond market,especially the shape of the yield curve.This study uses monthly national debt data from January 2015 to December 2020 and adopts the"two-step"dynamic Nelson-Siegel model to build the interest rate level factor,slope factor,and curvature factor in order to reflect the term structure.Then the study combines these factors with structural monetary policy variables,repo rates,and inflation rates to build a vector error correction(VEC)model and uses the VEC model to further analyze the impact of structural monetary policy on the short-term fluctuation and long-term equilibrium of interest rate in China.The empirical research shows that the three factors of the term structure of interest rates are able to represent the key features of the yield curve.From a longterm perspective,on the quantity side,liquidity released by medium-term lending facilities can significantly lower the yield of long-term bonds,reduce the yield spread between long-term and short-term bonds,and create a steeper yield curve.On the price side,increased interest rates on standing lending facilities can flatten the yield curve but it fails to shift the yield curve up.However,higher interest rates on medium-term lending facilities are able to drive long-term bond yield up and at the same time flatten the yield curve by increasing the yield spread between long-term and short-term bonds.This study contributes to the existing literature in two aspects.First,the study starts from a new perspective based on the three factors of the term structure of interest rate.It takes into consideration the standing lending facility rate,and the quantity and interest rate of medium-term lending facilities in its research framework to discuss the effects of structural monetary policy.It has also analyzed the effects of medium-term lending facilities on the bond market from both the"price"and"quantity"perspectives.The study results remain valid under robust tests where the three factors of the term structure of interest rate are introduced.Second,this study uses the VEC model to conduct a comprehensive study of both short-term fluctuation and long-term equilibrium of interest rates.This study provides a theoretical foundation and empirical evidence for the central bank when prompt and flexible adjustments to policies are needed based on the shape of the yield curve.The study results can help the central bank better utilize the impact of structural monetary policy regulation on market interest rates,thus improving the efficiency of monetary policies,creating a more comprehensive interest rate transmission mecha⁃nism,and accelerating the transformation of the monetary policy regulation model.