债券市场开放的价格效应与境外货币政策传导

China's Bond Market Opening-up:Pricing Effects and Cross-border Monetary Policy Spillovers

债券市场阶段性双向开放是中国“双循环”战略格局下在资本市场层面的重要支点。本文基于债市制度型开放的重要分水岭——“债券通”开启事件,在开放市场环境下重新认识债券的风险定价及其对境外冲击的敏感性,借助中国银行间和交易所两市并行的特殊格局及政策不同步性设计双重差分模型,提取出市场开放的资产定价效应。研究发现,债市开放政策能够提振债券价格,意味着市场对于开放具有正向预期,这一效应在评级更高、期限更短、隐性担保预期更强的债券中更为明显。进一步研究发现,债券市场开放同时也放大了美国货币政策对中国的短期外溢效应。本文为监管层深入认识债市与国际金融体系对接的真实经济后果提供了新的视角。

The transition from introverted development to phased bidirectional opening-up of the bond market constitutes an important fulcrum in the"external circulation"within the capital market under China's"dual circulation"strategic pattern.This paper examines the landmark institutional reform of bond market opening-up,i.e.,the"Bond Connect"project,re-estimates the efficiency and fluctuations of the bond market.Using the unique"dual-listing"setting of the Chinese bond market and the non-isochronous opening-up of the interbank and exchange markets within a difference-indifferences(DID)model,it is found that institutional opening-up leads to positive market reactions of reduced bond yields,suggesting that market participants generally have good long-term expectations on the bond market opening-up.This effect is more prominent among bonds with higher ratings,shorter maturities and stronger implicit guarantee expectations.Further,market opening-up is shown to magnify the sensitivity of the domestic bond market to the US monetary policy shocks.The above findings provide useful information for government and regulators regarding the real economic consequences of connecting the bond market to global financial markets.