An Empirical Analysis Of The Relationship Between Interest Rate Term Structure Of National Bonds And Monetary Policy In China

Since 2006 our country has regulated the economic situation through frequently using the monetary policy, particularly adjusted deposit-reserve ratio, the national bonds interest rate which is one of our country benchmark interest rates is one of very important intermediary targets of our country monetary policy. The monetary policy through influencing short-term interest rate to influence long-term interest rate, thus has an impact upon the entity economy. Therefore, to research Central Bank's behavior how to affect the entire interest rate term structure has the very vital significance to understand the transmission mechanism of the monetary policy. The interest rate term structure of national bonds is an important manifestation of monetary policy situation, Central Bank analyzes the transmission of monetary policy by studying national bonds yield curve and its change, adjusts monetary policy to change anticipation, then guides and influences interest rate term structure.This article first summarized the interest rate term structural theory, including the traditional interest rate term structural theory as well as the modern interest rate term structural theory, after that generally sketched out the monetary policy, simultaneously had expounded theory relations between the interest rate term structure of national bonds and the monetary policy. Then, this article had emphatically carried on the empirical analysis to the relations between the interest rate term structure of national bonds of our country interbank and monetary policy. The concrete analysis process contained four parts:Firstly, according to characteristic of our country national bonds market, utilized dynamic Nelson-Siegel model(with the Nelson-Siegel model and a VAR model to build a state space model) to withdraw three latent variables (level factor, slope factor, curvature factor), and had compared with the empirical value; Secondly, empirically analyzed relations between three latent variables of the interest rate term structure and the macro economic variables (including static influence and dynamic influence); Thirdly, empirically analyzed monetary policy meaning of interest rate term structure of national bonds of our country, and studied dynamic influence between the term spread and money supply M1, market rate R, GDP, the inflation CPI by using the impulse response function; Fourthly, separately from qualitative and quantitative aspects to analyze the influence of escalating deposit-reserve ratio to the interest rate term structure of national bonds from January,2010 to May.2011 for consecutive 11 times, so to examine implementation effect of monetary policy. Finally, according to the empirical analysis result and financial market environment of our country, proposed the suggestion of perfecting interest rate term structure of our country and improving the monetary policy as well as put forward the proposal of how to more effectively use deposit-reserve ratio.The results indicate that CPI is the most primary factor that causes change of level factor of the national bonds yield curve, the money supply influence change of slope factor and the curvature factor, and its influence has certain time lag. The influence of the real economy GDP is weak, this result exist certain difference comparing with the overseas developed market; National bonds yield curve of our country is quite rapid response to the monetary policy situation, its change can forecast well the future changes of GDP, but the influence direction is contrary to the expectation of theory in the first 3 period;On the contrary to the GDP, the ability to forecast the future inflation is quite weaker, and the influence direction is in accordance with the expectation of theory; The enhancement of deposit-reserve ratio causes the change of the level factor and the slope factor, and these changes are obvious. Through using the event methodology to obtain that, policy sensitivity of the short-term interest rate of national bonds to the upward deposit-reserve ratio is higher than the long-term interest rate, the implement effect of upward deposit-reserve ratio to the interest rate of national bonds is obviously stronger than the announcement effect, and the implement of escalating deposit-reserve ratio will create a bigger swing to the interest rate of national bonds (particularly short-term interest rate).And the study effect of national bonds market of our country is strong, but the anticipated effect is weak, and mainly comes from the revelation of policy information.