摘要
基于AGDTSM模型框架,将国债利率分解为利率预期和风险溢价,并在预期渠道和溢价渠道双重视角下,实证检验货币政策对国债利率期限结构的影响机制。研究结果表明:第一,我国货币政策目前主要通过预期渠道影响国债利率期限结构,而溢价渠道的作用有限;第二,预期渠道的引导方向与货币政策目标一致,溢价渠道在政策初期会削弱预期渠道的引导效果;第三,预期渠道对国债收益率曲线短端的引导力度较强,对长端的引导力度较弱,这种差异性是导致近期国债收益率曲线"极度平坦化"的根本原因。
Based on an AGDTSM model, this paper decomposes China’s treasury bond rates into interest rate expectation and risk premiums;then from the double perspectives of the expectation channel and the premium channel, it makes an empirical test on the influencing mechanism of monetary policy on the term structure of interest rate of national debt. The findings show that: Firstly,China’s present monetary policy is affecting the term structure of interest rate of national debt mainly through the expectation channel, while the effect of the premium channel is limited. Secondly, the guiding direction of the expectation channel is consistent with the target of monetary policy;the premium channel will weaken the guidance effect of the expectation channel at the initial stage of the policy. Thirdly, the expectation channel has a relatively stronger guiding strength on the short end of the treasury bond yield curve, but weaker on the long end. This difference is the fundamental cause leading to the recent"extreme planarization"of the recent treasury bond yield curve.
作者
关禹
王雪标
孙光林
GUAN Yu;WANG Xue-biao;SUN Guang-lin(Dongbei University of Finance and Economics,Dalian 116025,China)
出处
《当代财经》
CSSCI
北大核心
2019年第1期47-59,共13页
Contemporary Finance and Economics
基金
国家自然科学基金面上项目"我国通胀预期和风险溢价与宏观因子作用机制的计量研究"(71273044)
国家自然科学基金青年项目"分形市场中分数阶导数期权定价模型的建立
解法和应用研究"(71501031)
关键词
货币政策
国债利率期限结构
预期渠道
溢价渠道
monetary policy
term structure of interest rate of national debt
expectation channel
premium channel
