央行票据市场对长期利率影响实证分析论文.pdf

摘要近年来,央行票据已逐渐成为中国人民银行重要的货币政策工具之一。央行票据利率与长期利率的关系是否稳定将影响货币政策传导效应,也关系到央行能否通过短期利率来有效调控长期利率。本文基于短期利率与长期利率关系的理论分析,选取2008年1月到201 1年2 月期间3个月期央行票据利率及银行间债券市场10年期国债利率,构建误差修正模型,并运用脉冲响应、方差分解方法,对央行票据利率作为短期利率工具对长期利率的影响做实证分析。研究表明,我国银行间央行票据利率与银行间10年期国债利率存在稳定的长期均衡关系,前者对后者具有一定的正向影响作用,即当央行票据利率上升时,银行间10年期国债利率也存在上升的趋势,与预期理论一致。但数据显示,这种正向的影响作用并不大,央行票据利率的变动对银行间lO年期国债利率的变动并不能起到主导作用。研究认为,一方面货币当局发行央行票据,利用短期利率来有效调控长期利率,进而影响宏观经济,未必能达到理想的效果。另一方面,完全以利率代替货币供应量为货币政策中介目标尚不可行,央行需要转向同时以利率和货币供应量为中介目标。关键词:央行票据;短期利率;长期利率;影响 Abstract In recent years,central bank notes have been one oftheimportant ary policy toolsforpeople’S bank stablerelationship between thecentralbank notes ratesandlong·term rateswillinfluence ary policy transmissioneffect,and also it can show thatifthecentral bank can adjustlong·term rates effectively through rates. The authorchooses centralbank notes rates and treasury rates inthe inter-bank bond market from January 2008 toFebruary 20 makes theempiric:al analysis about theaffection ofcentralbank notes rates as ratetool on the long-term rates through constructing error correction model,and using themethod of impulse responseand variance position,based onthetheoretical analysis about the relationshipbetween rates. The search shows thatinter-bank central bank notes rates and treasury rates havelong·term equilibrium relationship,and theformer has apositive effect tothelatter. Thatmeans when centralbank notes inter-bank treasury ratehas a trend torise,’S consistent totheexpectation ,the resultshows that thispositive influence is not verygreat,which means themovements ofcentralbank notes rates can’tdominate themovements of the one hand. Study suggests that itmay notbe able toachieve theidealaffectionfor ary authorities which try touseshort—term interest rates interest rates effectivelyand thuscontrol onomicthrough issuing c