The Empirical Analysis Of The Impact Of Monetary Policy On The Treasury Yields In China

Treasury yields are usually interpreted as the proportion of the annual income of i nvestment bonds in the capital,which can provide an important basis for investors to asset pricing,i nvestment decisions,etc.The yield curve of government bonds is also the be nchmark of risk management,financial asset pricing,hedging and so on.The term structure of treasury i nterest rate can be used as a barometer to reflect macroeconomic situation.Much research on bond yields i nvolves the construction and estimates of the term structure of i nterest rates,which have already done considerable degree of exploration at home and abroad.However,the research of analysis of the impact of macroeconomic factors on bond yields is relati vely small [34].With the rapid development of the offshore and onshore RMB,the growi ng i ntegration of i nterbank and exchange bond markets,the growing maturity of bond primary market and secondary market,and SDR interest rate basket i nto the 3 month treasury yield curve interest rates,exploring the correlation between macroeconomic factors and bond yields has a profound theory and reality significance.Not only helps to study the macroeconomic policy i n the bond market conduction mechanism is mature and effecti ve,which is conducive to investors to make rational investment decisions,but also contribute to the authorities make regulation of national debt issuance system,scale,frequency.It is beneficial to Chi na to establish a more perfect,stable and high liquidity bond market i n the important stage of deepeni ng economic system reform.This paper analyzes and studies from the perspective of mathematical fi nance,model innovation and regression analysis to find how IV the treasury yield is affected by monetary policy.First of all,based on the empirical analysis of mathematical finance and model innovation,this paper analyzes the short-term impact of monetary policy on the yield curve.On the one hand,this paper uses the event analysis method based on exogenous structural change to study the monetar y policy RRR respecti vely on the short-term impact of 1 years,5 years,10 years,20 year bond yields trend.The results show that: 5 year treasury yields trend negati vely impacted by monetary policy RRR is the most significant,besides,1 year,10 year,20 year treasury yields take second place.On the other hand,this paper based on the theory of term structure of interest rates,first combined with genetic algorithm,nonli near weighted least-square method and long period of nonli near least squares method to construct the Svensson-extension model.Then treasury yield curve for maturities of 0 to 50 years is obtai ned,and compared with the fitti ng effect of three polynomial spline model.Finally,the short-term impact of monetary policy on treasury yield curve is studied from the point of view of graph and model parameters.The results show that:(1)In the Treasury yield curve fitting Svensson-extension model has a more significant,credible fitting effect.(2)Several times of RRR policy not only in the interest rate term structure map can be obviously decreased,but also asymptote parameter,slope parameter and curvature parameter of rate curve change significantly before and after the policy.Among them,slope parameters are significantly decreased,asymp tote level and initial levels of the i nterest rate curve decreased significantly.Absolute value of slope parameter is significantly decreased,which reflected in the graph that the interest rate curve is more gentle,this is because the bond market participants expected expansion policy is limited and deflation will conti nue.Curvature parameter is significantly i ncreases and the interest rate curve curvature increases.Then,based on the regression analysis this paper analyzes the short-term and long-term effects of monetary policy on the yield curve.First of all,in order to investigate the short-term impact of the change of monetary policy tools on the yield of treasury bonds,through factor analysis finds out the common factors i nfluencing the dynamic characteristics of government bond yields.And define the three common factors as level factor,slope factor and the curvature factor.Due to the level factor and the slope factor to explai n the yields on government bonds has been as high as 93.95%,so thi s paper respecti vely analyze the short-term impact of monetary policy on level factor and slope factor by the stepwise regression.Then,i n order to investigate the long and short term effects of monetary policy tools on the yield of treasury bonds,this paper constructs the ADL model of the monthly monetary policy sequence for the monthly treasury yields of different maturities,and combines the ECM model with error correction.The results show that:(1)The essential characteristics of treasury yields sho w that the change of interest rate policy indicators have a significant short-term impact on the level factor and slope factor,and level factor associate with open market operations,besides,the effect of exchange rate policy on level factor and slope factor are not significant.(2)In view of the short-term i nfluence,interest rate policy and open market operations have a more significant impact of the same direction on short-term and medium-term bond yields,and exchange rate policy have a short-term impact on the longer maturity of treasury bond yields.(3)In view of the long-term influence,under the action of open market operations,the trend of market i nterest rate will produce a continuous same direction effect on bond yields trend.Price monetary policy tools have long-term relationship with bond yields.(4)In addition to the influence of monetary policy i nstruments,treasury yields are also affected by other macroeconomic variables or non-macroeconomic variables.