摘要
2024年4月23日,我国央行宣布在二级市场公开买卖国债,并作为货币政策工具储备。在LPR(贷款市场报价利率)调控受限的情况下,国债期限结构作为资产定价的“锚”,能否在价格型货币政策传导机制中发挥更大的作用?针对这一问题,本文将国债期限结构特征由Nelson-Siegel模型估计后纳入价格型货币政策工具的传导机制模型中,基于2006—2023年的月度数据构建TVP-SV-VAR模型,研究了利率市场化改革背景下,我国价格型货币政策工具通过国债期限结构传导至实体经济产出的时变有效性。结果表明,以SHIBOR一个月报价利率为代理变量的价格型货币政策工具对国债期限结构的影响随时间不断增强,国债期限结构向实体产出传导的有效性则明显受经济周期波动的影响。最后,本文分别就当前货币政策工具的选择以及如何进一步健全价格型货币政策调控框架提出了建议。
On April 23rd,the PBOC announced its intention to publicly buy and sell government bonds in the secondary market,utilizing them as a reserve tool for monetary policy.Given the constraints on Loan Prime Rate(LPR)regulation,can the term structure of government bonds,as the'anchor'for asset pricing,play a more significant role in the transmission mechanism of price-based monetary policy?To explore this issue,this paper estimates the characteristics of the government bond term structure using the Nelson-Siegel model and incorporates them into the transmission mechanism model of price-based monetary policy tools.Based on monthly data from 2006 to 2023,a Time-Varying Parameter Stochastic Volatility Vector Autoregression(TVP-SV-VAR)model is constructed to investigate the time-varying effectiveness of the transmission of price-based monetary policy tools to real economic output through the government bond term structure,within the context of interest rate marketization reform in China.The findings indicate that the influence of price-based monetary policy tools,as proxied by the one-month Shanghai Interbank Offered Rate(SHIBOR),on the government bond term structure has been progressively strengthening over time.Moreover,the effectiveness of the transmission from the term structure to real economic output is notably influenced by the fluctuations of the economic cycle.In conclusion,the paper offers recommendations on the current selection of monetary policy instruments and the further refinement of the framework for price-based monetary policy regulation.
作者
钟汉箕
于研
ZHONG Hanji;YU Yan(Orient Securities ComPany Limited;School of Finance,Shanghai University of Finance and Economics)
出处
《金融经济》
2025年第10期3-21,共19页
Finance Economy
关键词
货币政策
传导机制
国债期限结构
Monetary policy
Transmission mechanism
Government bond term structure
