China's National Debt Yield Curve And Its Relationship With Monetary Policy

At present,China is in the transition period of the new monetary policy framework,the Treasury yield curve has been paid more and more attention by the theorists and practitioners in the market interest rate index system.As a financial market basic yield curve,the Treasury yield curve has not only reflected the changes of the macroeconomy,but also has an important role in the regulation of monetary policy adjustment.In this paper,the research object is the inter-bank bond yield curve,and we focus on the study of the fitting model of the inter-bank bond yield curve and it’s the correlation with monetary policy.The purpose is to study the application value of the bond yield curve in the transmission of monetary policy.Firstly,this paper analyzed by fitting the dynamic Nelson-Siegel model of China’s inter-bank bond market,obtained the good results of curve fitting and the time series data of the three factors of the yield curve.Secondly,as for the research of the correlation between bank bond yield curve and monetary policy,we used the research method and the VAR event model for empirical analysis,mainly using the method of impulse response function and variance decomposition.From the empirical analysis results,the quantitative monetary policy(M2)impact on the inter-bank bond yield curve is relatively small,the price based monetary policy(R007)affect the rate of slope factor on bond yields is obvious;from the event study results,the statutory deposit reserve rate adjustment has great influence on the Proximal end of the China’s inter-bank bond yield curve.Overall,the inter-bank bond yield curve has a Limited role on the monetary policy transmission mechanism,and the information response to macro-economic growth and inflation is not obvious.The Treasury yield curve as a benchmark yield curve of the role is to be played.