An Empirical Study On The Price-Volume Effect Of The Adjustment Of The Legal Deposit Ratio To The Bond Market

With the continuous development of modern economy,the deposit reserve system in China has become a regular operation of the general tools.The central bank through the adjustment of the deposit reserve ratio to affect the credit expansion of commercial banks,thus achieving the regulation of money supply.When the recession,the central bank by reducing the deposit reserve ratio to expand the scale of credit,thereby increasing the money supply,promote economic development;when the economy overheated,the central bank by raising the statutory deposit reserve ratio to tighten liquidity,thereby reducing Circulation in the amount of money to curb the development of economic overheating.Therefore,the statutory deposit reserve ratio has gradually become a powerful monetary tool.The development of China's bond market has been going on for more than 30 years,and the bond market has become an indispensable part of the national financial market.A perfect and developed bond market can provide a safe investment and financing platform for funders and investors.The bond market is also an important carrier of monetary policy transmission.It can reflect the application effect of monetary policy to a certain extent.Therefore,It is very important to study the volatility effect of the bond market.This paper studies the impact of the statutory deposit reserve ratio on the bond market by using the event study method and the GARCH model.Through the event study method,The excess returns,through the t test to test the statutory deposit reserve ratio impact on the bond market significance.The sample studied in this paper is the daily transaction data of the national debt index from January 5,2010 to May 31,2016,the sample length is 1552,and the price is the daily closing price.This paper studies the effects of the RRR on the volatility of the bond market,especially the impact of the RRR on the bond market volatility,such as the upward or downward adjustment,in different directions.The results show that the adjustment of the reserve policy in different directions has different effects on the volatility of the bond market.On the whole,the impact of the volatility of the bond market,which increases the reserve requirement ratio,is more obvious than the volatility of the bond market,which shows that the monetary policy is more effective in tightening the reserve requirement.Monetary policy from the emergency period corresponds to the stage of economic prosperity,during this period,the market situation is better,the public expectations of the future is higher,it will increase investment in the bond market,when the central bank by raising the statutory deposit reserve To tighten liquidity is effective,so the effect of raising the statutory deposit reserve ratio is generally obvious;appropriate monetary policy easing corresponds to the period of economic recession,during this period,the economy is facing recession,the public expectations of the future is low,the lack of Market confidence,this time even if the central bank will reduce the statutory deposit reserve ratio,the public investment bond market will remain in the doldrums,therefore,cut the statutory deposit reserve ratio effect is generally not obvious.The main innovation of this paper lies in the systematic study of the impact of the adjustment of the statutory deposit reserve ratio on the volatility of the bond market.During the study period,it includes a full cycle of reserve ratio adjustment and down-regulation,and compares the different monetary policy direction period preparation The result of monetary policy provides the basis for the choice of monetary policy under different economic cycles.In order to get a more reliable research results,this paper will adjust the reserve ratio in 2010 to adjust the gap between the reserve market in 2010 to adjust the gap,This paper only studies the impact of the change of the deposit reserve ratio on the price of bonds,but does not study the change of the deposit reserve ratio on the deposit reserve ratio.Bond market structure,bond liquidity and other aspects of whether there is an impact.