Empirical Research On The Effect Of China's Monetary Policy From The Perspective Of Interest Rate Term Structure

With the gradual improvement of China's national debt market and the deepening of interest rate and exchange rate marketization reforms,China's interest rate term structure has become increasingly prominent as a bridge between macroeconomic and monetary policies.On the one hand,there is a high correlation between the term structure of interest rates and macroeconomic variables,making the term structure of interest rates an important reference for monetary policy.On the other hand,monetary policy has a significant impact on the term structure of interest rates,which makes it possible to examine the effects of monetary policy through the term structure of interest rates.Based on such characteristics,Incorporating the term structure of interest rate into the framework of monetary policy,it has important academic value and practical significance for analyzing and judging the patency of price-based transmission of monetary policy and formulating effective monetary policy.At present,most of the world's major economies have completed the transformation of the monetary policy framework.The monetary policy operation frameworks of various countries are relatively similar.Generally,a short-term money market interest rate is used as the policy interest rate.Through the bond market yield curve,the short-term interest rate is transmitted to long-term interest rates.Eventually,the changes of long-term interest rate lead to changes in the real economy and achieve the goals of monetary policy.All aspects of monetary policy transmission affect the implementation of the entire monetary policy.At present,China's interest rate marketization is basically completed,but the development of financial market is not mature enough,and there are still obstacles in the transmission of monetary policy.The premise that interest rates are rapidly transmitted between markets in the theory of interest rate transmission mechanism in the West is not fully established in China.Therefore,to study the patency of China's current interest rate transmission mechanism more comprehensively,Incorporating the interest rate term structure which includes the interest rate intertemporal conduction process into the current interest rate transmission research framework is also a useful supplement and improvement to the current interest rate transmission mechanism research.This paper is based on the research paradigm of "theory combing-theoretical analysis-empirical analysis".Theoretical combing part: First,this paper systematically combs the traditional theory and modern estimation method of interest rate term structure,which provides theoretical basis and model method for analyzing the mechanism of the term structure in monetary policy transmission and the estimation of China's interest rate term structure.Then it sorts out the existing literature from the two aspects of the monetary policy information contained in the term structure of interest rates and the influence of monetary policy on the term structure of interest rate,which provides theoretical support for further understanding the role of term structure in the transmission of monetary policy.Theoretical analysis: Based on theoretical combing,taking the term structure of interest rate as the intermediate variable,from the prediction of macroeconomics of interest rate term structure and the influence of monetary policy on term structure,the mechanism of interest rate term structure is studied separately.The theoretical basis of this paper is obtained.The empirical analysis part: Firstly,the dynamic Nelson-Siegel model which has less parameters,clear economic meaning and relatively simple construction form is used to fit the term structure of interest rate in China,and the complex interest rate term structure changes are reduced to three representative ? factors.The effects of model fitting were verified by two methods: intra-sample fitting and out-of-sample prediction.The results of the out-of-sample prediction show that the dynamic NS model fits the expected results of the yield and variance in the next 12 months with the results obtained by the Kalman filtering method.The rationality of fitting the term structure of interest rates in China using the dynamic N-S model is verified.Then,based on the estimation result of China's interest rate term structure,the term structure of interest rate is used as the intermediate variable of monetary policy transmission.The empirical research of monetary policy effect is divided into two parts: the influence of monetary policy on the term structure of interest rate and the macroeconomic impact of interest rate term structure.According to the empirical research ideas set in this paper,firstly,the VAR model is used to explain the realization degree of the target.However,considering that the variable factor of the investigation may have non-stationary original sequence,further investigation depends on whether there is a long-term cointegration relationship.If there is a long-term cointegration relationship,a cointegration equation is established to explain the degree of realization of the explanatory variable to the target of the explained variable.Second,the patency of monetary policy transmission is verified by correlation coefficient and Granger causality.Third,the timeliness of monetary policy transmission is illustrated by the impulse response function and the variance decomposition.Finally,through the comprehensive analysis of empirical results,the effect of China's monetary policy from the perspective of interest rate term structure is analyzed.Based on theoretical research and empirical considerations,this paper draws the following three conclusions: First,the term structure of interest rates can respond to the impact of China's monetary policy instruments,and at the same time has a significant impact on the economic goals of monetary policy,it shows that the current monetary policy transmission is smooth from the perspective of China's interest rate term structure,and the term structure of interest rates can provide a forward-looking guidance for the formulation of monetary policy.Second,price-based monetary policy instruments have a stronger impact on the term structure of interest rates than quantitative monetary policy instruments.Third,the spread factor representing the short-term slope is more practical for the realization of monetary policy objectives.