Effects Of Bond Supply-demand Factors On Short Term And Long Term Interest Rate Transmission

With the development of society,the western developed countries have turned the intermediary target of the monetary policy framework to the interest rate.The interest rate channel has become the main channel of monetary policy transmission.At present,China is accelerating the market-oriented interest rate reform.At the same time,the monetary policy framework is turning from quantitative regulation into price based regulation.The interest rate channel will play an increasingly important role in the regulation of monetary policy.In this context,we will study on the effectiveness of China's interest rate transmission,exploring the impact of supply and demand factors on interest rate transmission,and grasping the changes of interest rate channel.The paper analyzes the factors that affect the efficiency of interest rate channel transmission and puts forward relevant suggestions.These results can accelerate the reform of interest rate marketization in China,improve the effectiveness of monetary policy interest rate channel transmission,and improving the role of national debt market in interest rate transmission.In this paper,we review the relevant literature and the relevant theories at home and abroad.Through the review of theory,many scholars think that the supply and demand of national debt will affect the yield of Treasury bonds.Secondly,we select the SHIBOR overnight interest rate as the representative of China's short-term interest rate.And we choose the yield of 1 year,3 years,5 years,and 10 years Treasury bonds as the long-term interest rate for empirical research.The empirical study is divided into three steeps.The first step is to study the conduction efficiency of China's short and long term interest rates This paper introduces the trend of China's SHIBOR overnight interest rate and the yield of maturity of the important period of national debt.We calculate the correlation coefficient between the SHIBOR overnight interest rate and the maturity yield of each term.At the same time,we establish the regression equation to calculate the transmission efficiency.It is concluded that there is a certain correlation between the SHIBOR overnight interest rate and the maturity yield of each term.But the transmission efficiency of SHIBOR to the yield of treasury bonds is low,and the extreme value occurs in individual months.In the second stage,according to the proxy variable of the short-term interest rate transmission efficiency,we introduce the supply and demand factors of treasury bonds and the control variables of monetary policy to construct the vector auto regression model.The impulse response function is used to show the influence of the supply and demand factors on the interest rate transmission.The empirical results show that the increase of treasury bonds will increase the turnover rate of the bond market.This also makes the bond yield to maturity can better response to market information,and improves the efficiency of interest rate transmission.The increased demand for Treasuries will enable financial institutions to increase investment in bonds This will squeeze out the investment of the residents,so that the bond market as a whole,the supply of funds declined,the yield on the bond yield is more sensitive to the policy interest rate.In the third stage,in order to verify the validity of the empirical results,this paper selects the SHIBOR007 interest rate to test the regression results to verify the validity of the conclusion.Finally,the paper puts forward some policy suggestions on how to improve our national bond market and how to improve the efficiency of the national bond market.