摘要
本文基于中国债券市场微观结构和流动性负反馈循环理论,利用中国人民银行扩大中期借贷便利(MLF)担保品范围这一准自然实验,以及货币市场、债券市场日度数据,通过运用双重差分模型、ARIMAX模型,探讨以抵押品为基础的非传统货币政策工具在缓解债券市场风险,阻止下跌趋势蔓延方面的有效性和作用机制。本文发现,一方面,扩容政策能显著降低债券收益率,提振债券市场整体流动性和活跃度,进而遏制了负反馈机制下的“损失螺旋”;另一方面,扩容政策的实施也促进了宏观流动性向下传导,优化了债券市场流动性的总量和结构,进而遏制了负反馈机制下的“保证金螺旋”蔓延。这一结论解释了“中国化”制度背景下非传统货币政策工具稳定金融市场的内涵逻辑,增添了金融市场渠道传导的实证证据。本文的研究结论也带来一些启示:作为市场最后的流动性提供者,中国人民银行应当充分利用以抵押品为基础的非常规货币政策工具在缓解特定局部风险时的准确和高效特点,通过灵活调整质押率更好地稳定市场。
Based on the microstructure of China's bond market and liquidity negative feedback loop theory,this paper uses the quasiatural experiment of the People's Bank of China's policy of expanding the eligible as Medium-Term Lending Facility(MLF)collateral,as well as money market and bond market daily data,and uses the difference-in-difference model and the ARI-MAX model to explore the effectiveness and mechanism of collateral-based unconventional monetary policy tools in mitigating bond market risks and preventing the spread of downtrend.This paper finds that,on the one hand,the expansion policy can significantly reduce bond yields,boost the overall liquidity and activity of the bond market,and thus curb the"loss spiral"under the negative feedback mechanism.On the other hand,the implementation of the expansion policy has also promoted the downward transmission of macro liquidity,optimized the total amount and structure of liquidity in the bond market,and curbed the spread of the"margin spiral"under the negative feedback mechanism.This conclusion explains the connotation logic of unconventional monetary policy tools to stabilize the financial market under the background of the"sinicization"system,and adds empirical evidence of the transmission of financial market channels.The conclusion of this paper also brings some enlightenment:as the last liquidity provider of the market,the People's Bank of China should make full use of the accuracy and efficiency of collateral-based unconventional monetary policy tools in mitigating specific local risks,and better stabilize the market by flexibly adjusting the pledge rate.
作者
类承曜
白剑秋
李戎
Lei Chengyao;Bai Jianqiu;Li Rong(School of Finance,Renmin University of China,Beijing 100872,China)
出处
《南开经济研究》
CSSCI
北大核心
2024年第5期144-161,共18页
Nankai Economic Studies
基金
中国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)(23XNL001)项目成果。
关键词
抵押品
非传统货币政策
债券市场微观结构
传导机制
Collateral
Unconventional Monetary Policy
Bond Market Microstructure
Mechanism of Transmission
