| In the context of the slowdown in China's economic growth and the deepening supply-side reforms,in order to adapt to the new normal,China's monetary policy framework needs to improve the target system,change the way of policy regulation,clear the policy transmission channels,and improve the implementation of policies.How to correctly understand and evaluate the impact of policy regulation on China's macro-economic and financial markets,how to formulate effective policy interest rate rules and further play the effect of interest rate regulation mode are hot issues to be solved urgently in China.The term structure of treasury interest rate is the indicator of macroeconomic regulation and control,the reference frame of monetary policy implementation,and the benchmark of financial asset pricing and risk management.Monetary policy and interest rate term structure have an interaction effect.On the one hand,monetary policy is an important driving force for the term structure and risk premium of treasury bonds.Central Banks affect investors' expectations for future short-term interest rates and risk compensa-tion by controlling the short-term interest rates directly and affecting medium-long term interest rate indirectly.Meanwhile different ways of policy regulation will change the macroscopic equilibrium path,and then affect the term premium level,fluctuation and the regime system of the term structure.On the other hand,The term structure of interest rate will affect policy regulation and transmission effect in turn.Because the long-term interest rate is the expected future short-term interest rate after the risk adjustment,thus the entire yield curve contains public expectations of the future economy and the short interest rate.So the term structure of interest rate will provide a forward-looking decision reference for monetary policy.At the same time;as the interest rate channel is an important channel of monetary policy transmission,the expectation and risk premium in the bond price will affect the transmission effect of the interest rate channel.Therefore,based on the dynamics of their relationship between term structure of interest rate and money policy,this paper studies the influence of the monetary policy regulation mode on the interest rate and risk premium in China,as well as the effect of the term structure of interest rate on the implementation of monetary policy and the effect of interest rate transmission.Specifically,we have studied the following four unclear questions.Firstly,whether or not that the fluctuation and risk of monetary policy have significant influence on the regime characteristics of term structure of interest rate?It is a key point of central bank's concern that how to stabilize bond market price and reduce risk compensation through policies.Secondly,in the context that money policy transitions from the passive discretion rules of the status quo to the active promise rules,the impact of policy transition on financial asset returns and risk level is the important evidence for seizing the optimal instant and the strength of money policy.For the bond market,whether the commitment rule system can significantly reduce the yield volatility and reduce the risk price of the bond market than the discretion system?The difference between bond yield and risk premium with the two operating rules is a very interesting problem.Thirdly,under the new normal state of the economy,our country's intermediary targets and operational objectives require the transformation from the quantity-based to price-based,and the price-based rules based on interest rate regulation is required.So when building,identifying and estimating policy interest rate rules,how to make full use of the interest rate term structure with no-arbitrage conditions and rich information to improve the foresight,accuracy and implementation effect of policy formulation?Lastly,the channel of interest rate transmission will play an increasingly important role in the mode of interest rate control.The risk premium is an important component of long-term interest rates,it would be very helpful to enhance the transmission effect of interest rates if we can clarify the risk premium transmission channel of monetary policy.Is the risk premium transmission channel of China's monetary policy unobstructed?How is the conduction effect?Relevant questions have not been studied in our academic circles,so this paper will discuss the theory and give the empirical study.Macro-financial model integrates micro finance and macro economy into a framework by embedding macro-structure modules into the model of no-arbitrage interest rate term structure.Compared with the early VAR model,the macro financial model has both the optimal behavior constraint of the economic man and the no arbitrage condition of the bond market.This model has complex structure and rich economic implication.Which can be used to test and scale the price of risk produced by macroeconomic and monetary policy shocks,to investigate the meaning of monetary policy information in the term structure of interest rate,and to check the effect of interest rate transmission channel.With the help of building a great of advanced macro-financial models and using a variety of macroscopic methods,theoretical analysis and empirical test are carried out for the purpose of finding the reasonable answer to the problems mentioned above.We have the impotent result as below:Firstly,we examine the stability of the term structure of china's treasury bonds and analyze the main cause of the break by embedding the new Keynes dynamic general equilibrium framework into an affine no-arbitrage term structure model.We found that investors are more sensitive to fluctuations in monetary policy and would claim the higher compensation for the risk of monetary policy fluctuation.That the stability of monetary policy and investors' compensation claim of the uncertainty risk of monetary policy have some important positively influences on regime change of china's term structure of interest rate.Secondly,with the optimal monetary policy condition on the minimum social welfare loss a macro-financial model based on dynamic stochastic general equilibrium structure(DSGE)is constructed.From angles of theoretical and empirical analysis,we research on operational specifications and policy credibility which come up with the discretionary approach rule and the promise rule respective effect on the optimal equilibrium output,inflation,term structure of interest rate and term premium.Under the promise rule,monetary policy credibility can be improved,volatility of long-term interest rate will be decreased and the spread will be narrowed more,meanwhile expectations hypothesis will come into being.The improvement of policy credibility reduces the demand for compensation of systemic inflation risks.The absolute size and time-varying volatility of the risk premium have been notably lower than it in situation of the discretion rules of the status quo.Thirdly,the Taylor rule is extended based on the no arbitrage condition.We use the affine no-arbitrage macro-financial model to construct bench,backward,forward-looking and forward-backward mixed-type no-arbitrage Taylor rules that include the complete information of the yield curve.And we have compared the Taylor rule of single equation with the our expanded models.We found that under the no arbitrage Taylor rule,we can avoid excessive stimulus to economic output and improve the forward-looking and scientific nature of policy rules.To a certain extent there exists the objective law about monetary policy operation which characterized by the non-arbitrage hybrid Taylor rule.Lastly,this paper explains the source and periodical characteristics of China's term premium,and check whether there has been the monetary policy risk premium transmission channel,meanwhile the influence of monetary policy,risk premium and macroeconomic interaction is analyzed.All these have been done by through a macro-financial affine non-arbitrage model which with a latent risk factor.We found that China's risk premium transmission channel of monetary policy has some certain effect.Loose monetary policy reduces the risk premium.The reductive premium further stimulates output growth,but at the same time inflation will get raised.China's risk premium is mainly influenced by the level of monetary policy and output consumption,however inflation expectations and inflation risk are not the dominant driving factors,meanwhile risk premium is countercyclical.Thus in perfecting the monetary policy system we can give some advices,such as reducing policy uncertainty and policy volatility,increasing policy transparency,improving information disclosure system,and making a limited conditional commitment.If we do so,that it will help to stabilize bond market price and reduce risk premium level and fluctua-tion.Furthermore,this study finds that stable growth of output is also an effective way to reduce the risk premium of China's bonds,meanwhile inflation expectations and inflation risk have limited impact on premiums.So when in front of the final goal selection between the output and inflation,the Central Bank of China can take output growth as the primary preference,implement a steady and neutral monetary policy,and coordinate match macro-prudential policies.In such circumstances,not only risk premium transmission channel that can work for the monetary policy,and transmission effect of interest rate channel can be enhanced,but also it will help to stable growth,stable prices and stable financial market in our new normal economy.Of course,central bank should continue to pay attention to the information of medium and long-term interest rates,and enhance the foresight and effectiveness of policy rules using the term structure of interest rate without arbitrage.Lastly,the central bank can be going to improve the bond market system,innovate interest rate risk management and hedging tools,if so there will be of great significance for the healthy and stable development of China's bond market.The innovation point of this article:In this paper,a new macro financial model is used to solve four problems that remain unclear:Firstly,from the perspective of macro and financial integration,it is found that China's monetary policy regulation is the main factor affecting the stability of the Treasury bond market.The study provides empirical evidence support and policy recommendations for China's central bank to stabilize the bond market through monetary policy.Secondly,There are few studies on the impact of monetary policy operation rules on macroeconomic and financial markets.Based on the macro financial model,we conclude that the commitment rule system can significantly reduce the risk of China's bond market..Thirdly,The term structure of interest rate is rich in macroeconomic and monetary policy information,but the domestic literature has not yet found how to make use of information to formulate policy rules.Based on the arbitrage free information,the paper extends and estimates the policy interest rate rules.Forthly,At present,China has not paid attention to the effect of the risk premium transmission channel of monetary policy.This paper finds that the transmission channel of the monetary policy risk premium in China has a certain role.It has rich the literature of the monetary policy transmission mechanism in China,and also provides beneficial support for the central bank to grasp the effect of monetary policy transmission... |
PDF Full Text Request