|
|
|
| Open Market Operation and the Term Structure of Interest Rates: Evidence from Mixed-Frequency Data |
| SHANG Yuhuang, LI Weiqi, DONG Qingma
|
| Institute of Chinese Financial Studies, Southwestern University of Finance and Economics |
|
|
|
Abstract China has already established a relatively comprehensive market-oriented interest rate system. The central bank releases monetary policy signals in its short-term open market operations interest rate and medium-term lending facility interest rate to guide market benchmark interest rate the Treasury bond yield curve. Interest rate liberalization has improved the term structure of interest rate formation, which indirectly affects the transmission of central bank-set interest rates to the bond market. Under China's open market operation, bonds are the facility with which the market adjusts liquidity according to the macroeconomic situation, and thereby guides the expected changes in market interest rates. It is essential to study the effectiveness of the transmission of short-term open market operations interest rates to the medium-and long-term bond yield curve.
In this paper, we summarize data from the second half of 2009 to the end of 2019, and divides this sample into two stages:In the former stage(2009.7-2014.12), open market operations were dominated by an alternation between forward and reverse repurchases.The latter stage(2015.1-2019.12) was dominated by reverse repurchase operations as the open market operation model was being regularized;and the relationship of treasury bond yields and open market interest rates is affected by macro circumstance. The key to explaining the above facts lies in analyzing the transmission of open market policy interest rates to the yield curve, understanding the relationship between open market operation and the behavior of the interest rate term structure, and exploring whether the mechanism governing this relationship changes with the business cycle.
There are mang researches on the impact of monetary policy on the bond yield curve (and the term structure factor) but few research on the impact of open market operation policies on the term structure of interest rates. Overseas studies find that monetary policy is the key link between the term structure of interest rates and the macroeconomy. Domestic scholars have different opinion on whether monetary policy can effectively adjust the term structure of interest rates. Some call for a single policy tool for open market operation, as they argue that the open market acts on the Treasury bond yield curve via liquidity effects and expected effects, and transmits short-term interest rates to long-term interest rates. In addition, the term structure of interest rates is a forward-looking economic indicator and thus contains abundant monetary policy information. However, studies do not focus on the transmission of open market operating interest rates to the yield curve under the theoretical framework of the term structure of interest rates.Further more they do not discuss the scenario of mixed-frequency data. Most studies also ignore the impact of structural changes, such as the economic policy cycle, on the transmission of monetary policy.
The main research conclusions of this study are as follows. First, under the condition of mixed-frequency data, the introduction of open market interest rate information significantly improves the fitting of the interest rate term structure factor and of the yield curve in each period of Treasury bonds.
Second, the transmission efficiency of short-term open market policy interest rates to the yield curve is low, and there is an asymmetric relation between open market operation policies and the term structure of interest rates. On the one hand, during the immature period of China's bond market, market were unable to form sufficient policy expectations for open market operations, resulting in a lag response in the transmission of policy changes to the yield curve. On the other hand, the level factor and the slope factor have a positive impact on the open market operation policy. It indicates that the macroeconomic forward-looking information contained in the rate term structure (especially the slope factor) is an important reference for the central bank.
Finally, with the gradual improvement of the monetary policy communication mechanism, the central bank's ability to guide and manage market expectations has been significantly improved. Moreover, the transmission channel from the open market interest rate to the yield curve has been effectively dredged, and the effect of open market interest rates on the term structure factors(especially the slope factor) has become increasingly prominent.
|
|
Published: 02 July 2022
|
|
|
|
|
| [1] |
费兆奇和杨晓龙,2020,《2020年货币政策的着力点分析》,《中国金融》第5期,第49～51页。
|
| [2] |
韩晓峰和陈师,2017,《中国利率期限结构对宏观经济政策的动态响应研究——基于DSGE框架下的宏观金融建模》,《现代财经:天津财经大学学报》第1期,第40～52页。
|
| [3] |
黄宪和王旭东,2015,《我国央行货币政策实施力度和节奏的规律及效果研究》,《金融研究》第11期,第15～32页。
|
| [4] |
金雯雯、陈亮、毛德勇和叶茜茜,2014,《利率期限结构内含的宏观经济信息——基于TVP-VAR模型的时变参数研究》,《经济评论》第5期,第123～147页。
|
| [5] |
林木材和牛霖琳,2020,《基于高频收益率曲线的中国货币政策传导分析》,《经济研究》第2期,第101～116页。
|
| [6] |
马骏和王红林,2014,《政策利率传导机制的理论模型》,《金融研究》第12期,第1～22页。
|
| [7] |
马骏、洪浩、贾彦东、张施杭胤、李宏瑾和安国俊,2016,《收益率曲线在货币政策传导中的作用》,中国人民银行工作论文。
|
| [8] |
尚玉皇、郑挺国和夏凯,2015,《宏观因子与利率期限结构:基于混频Nelson-Siegel模型》,《金融研究》第6期,第14～29页。
|
| [9] |
沈根祥,2011,《货币政策对利率期限结构的影响——基于动态Nelson-Siegel模型的实证分析》,《当代财经》第3期,第59～66页。
|
| [10] |
孙皓和石柱鲜,2011,《中国的货币政策与利率期限结构:基于宏观金融模型的研究途径》,《经济科学》第1期,第49～59页。
|
| [11] |
王志强和贺畅达,2012,《时变货币政策规则对利率期限结构的动态影响分析》,《宏观经济研究》第10期,第21～62页。
|
| [12] |
肖卫国和兰晓梅,2019,《公开市场操作、货币市场利率与利率走廊》,《武汉大学学报(哲学社会科学版)》第4期,第163～172页。
|
| [13] |
徐忠,2017,《中国稳健货币政策的实践经验与货币政策理论的国际前沿》,《金融研究》第1期,第1～21页。
|
| [14] |
易纲,2021,《中国的利率体系与利率市场化改革》,《金融研究》第9期,第1～11页。
|
| [15] |
元惠萍、吴明州和刘堂勇,2018,《常备借贷便利与逆回购操作对货币市场利率的影响》,《财贸经济》第7期,第65～80页。
|
| [16] |
袁婧和薛伟,2012,《中国利率期限结构与货币政策联合建模的实证研究》,《统计研究》第2期,第42～47页。
|
| [17] |
郑挺国和王霞,2013,《中国经济周期的混频数据测度及实时分析》,《经济研究》第6期,第58～70页。
|
| [18] |
郑振龙和莫天瑜,2011,《政策利率引导市场利率的走势吗？——央票发行利率与央票市场利率双向互动关系研究》,《财贸经济》第1期,第49～136页。
|
| [19] |
Ang, A., Boivin J., Sen D., and Rudy L. K. 2011. “Monetary Policy Shifts and the Term Structure”, Review of Economic Studies, 78(2):429～457.
|
| [20] |
Athanasios, O., and Min Wei. 2011. “Evolving Macroeconomic Perceptions and the Term Structure of Interest Rates”, Journal of Economic Dynamics & Control, 36(2):239～254.
|
| [21] |
Bjørnland, Hilde C. 2008. “Monetary Policy and Exchange Rate Interactions in a Small Open Economy”, Scand. J. of Economics, 110(1):197～221.
|
| [22] |
Charles, L. Evans., and David A. Marshall. 2001. “Economic Determinants of the Nominal Treasury Yield Curve”, Journal of Monetary Economics, 54(7):1986～2003.
|
| [23] |
Diebold, Francis X., and Canlin Li. 2006. “Forecasting the Term Structure of Government Bond Yields”, Journal of Econometrics, 130(2):337～364.
|
| [24] |
Diebold, Francis X., Rudebusch Glenn D., and Boragan S. 2006. “The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach”, Journal of Econometrics, 131(1-2):309～338.
|
| [25] |
Estrella, A., and Mishkin Frederic S. 1995. “The Term Structure of Interest Rates and Its Role in Monetary Policy for The European Central Bank”, Research Paper, No.9526.
|
| [26] |
Kim, S., and Roubini N. 2000. “Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach”, Journal of Monetary Economics, 45(3): 561～586.
|
| [27] |
Lucio, S., and Daniel L. Thornton. 2003. “The Dynamic Relationship between the Federal Funds Rate and the Treasury Bill Rate: An Empirical Investigation”, Journal of Banking and Finance, 27(6):1079～1110.
|
| [28] |
Nelson, Charles R., and Andrew Siegel F. 1987. “Parsimonious Modeling of Yield Curves”, The Journal of Business, 60(4):473～489.
|
| [29] |
Ronald, H. Lange. 2013. “The Canadian Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach”, International Review of Economics and Finance, 27:261:274.
|
| [30] |
Rudebusch, Glenn D., and Wu Tao. 2008. “A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy”, The Economic Journal, 118(530):906～926.
|
| [31] |
Song, D. 2017. “Bond Market Exposures to Macroeconomic and Monetary Policy Risks”, Review of Finance Studies, 30(8):2761～2817.
|
|
|
|
