Bond Risk Premium And Monetary Policy Transmission

At this stage,China's monetary policy is shifting to a price-based monetary policy dominated by interest rates.Therefore,the term structure of national debt interest rates is increasingly important for the transmission of monetary policy.The maturity structure of the national debt interest rate not only reflects the macroeconomic changes,but also has reference value for the regulation of monetary policy.After the 2008 financial crisis,financial stability has become a new monetary policy goal.The monetary authorities will pass monetary policy transmission to achieve monetary policy goals,and the relationship between short-term interest rates and long-term interest rates is an important channel for monetary policy transmission.In 2011,there was a phenomenon that the theory of expectation could not explain:the rise in short-term interest rates did not rise in the long run.After analysis,it was found that the bond risk premium was reduced,that is,the bond risk premium had an impact on the relationship between short-term interest rates and long-term interest rates.Whether monetary policy can affect the macroeconomics by affecting the bond risk premium is the main problem of this paper.China's bond market is not mature.Studying the role of bond risk premium in the currency transmission mechanism can provide a new perspective for policy makers,and can also make investors pay attention to risk premium and raise awareness of risk prevention.There are few literatures on the risk premium of China's bond market.There are fewer literatures on the bond risk premium and monetary policy.Therefore,it is necessary to study the risk premium of China's bond market.Because the national debt is the main force of China's bond market,this paper selects 2002.The yields of China Bonds in the 1,3,5,7 and 10 years from January to May 2018 were studied as samples.In this paper,principal component analysis and AFNS model are used to decompose the term structure of national debt interest rate.The two methods are compared.It is found that the AFNS model explains the term structure of China's national debt interest rate more accurately.Therefore,this paper focuses on AFNS.The results obtained by the model.In this paper,the AFNS model is used to decompose the term structure of the national debt interest rate,and the horizontal factor,slope factor and curvature factor are decomposed.The horizontal factor indicates the short-term interest rate expectation of the national debt,the slope factor indicates the long-term short-term spread,that is,the national debt risk premium,and the curvature factor indicates the medium-term bond.interest rate.This paper focuses on the relationship between the risk premium of national debt and monetary policy and macroeconomics.The way of monetary policy transmission mechanism is to influence the operation target through monetary policy tools,and then influence the intermediate target to complete the final goal.Therefore,this paper is mainly divided into two parts:First,analyze the first half of monetary policy transmission,monetary policy to national debt Whether the term structure of interest rates has an impact;then,analyzing the second half of the transmission of monetary policy,whether the term structure of government bond interest rates has an impact on the macro economy.In analyzing the influence of monetary policy on the term structure of national debt interest rate,this paper uses VAR model for variable processing,and uses impulse response function to analyze the result,using money supply year-on-year growth rate(M2)and interbank lending rate(R)as currency.Policy variables,analyze the impact of the two factors on the three-factor structure of the national debt interest rate.It is found that M2 and R have a positive impact on short-term interest rate expectations;M2 is positively correlated with bond risk premium,and R is negatively correlated with bond risk premium.Both M2 and R have a positive impact on the bond's medium-term interest rate and there is a lag.Loose monetary policy causes the level factor to decrease and the slope factor to rise;the tightening monetary policy causes the level factor to rise and the slope factor to decrease.It shows that the first half of the monetary policy transmission is effective,and the national debt risk premium plays a positive role,and the monetary policy has an impact on the national debt risk premium.In analyzing the impact of the maturity structure of the national debt interest rate on the macro economy,this paper uses regression analysis to use the real GDP growth rate(RGDP)and the consumer price index(CPI)as macroeconomic variables.The results show that the three factors of the term structure of China Bond's interest rate have positive effects on CPI,and the three factors also have a significant impact on the real GDP growth rate.The second half of monetary policy transmission is also effective,and the bond risk premium has a significant impact on the macro economy.This paper finally proves that monetary policy can affect macroeconomics by affecting bond risk premium.The impact of China's debt risk premium on RGDP is inconsistent with the theory.This shows that China's monetary policy transmission mechanism is not perfect and needs to be further improved.