公开市场操作与利率期限结构行为——基于混频数据信息的研究视角

在混频数据信息环境中,精准识别公开市场操作(央行政策利率)和国债收益率曲线(基准利率体系)之间的关联机制至关重要,其影响了货币政策期限结构传导的有效性。本文在混频Nelson-Siegel(N-S)利率期限结构模型框架下,引入央行政策利率,揭示公开市场操作与利率期限结构(水平、斜率、曲度)因子之间的作用机制。实证结果表明:混频数据信息条件下,引入的公开市场操作信息显著改进国债收益率曲线的拟合效果;斜率因子冲击对公开市场操作具有显著的正向影响,而利率期限结构因子对政策调控的反应不敏感。进一步研究表明,2015年以来,公开市场操作对斜率因子的影响逐渐扩大,政策利率向国债收益率曲线的传导效率得到显著提高,我国现代货币政策框架日益健全。

Open Market Operation and the Term Structure of Interest Rates: Evidence from Mixed-Frequency Data

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.