The Impact Of Monetary Policy On The Term Structure Of Interest Rates On Treasury Bonds

The term structure of interest rate describes the relationship between maturity and interest rate in financial market.The interest rate of general national debt can represent the risk-free interest rate level and is the benchmark of other financial market interest rates.Therefore,the term structure of interest rate in the national debt market can provide important information for the central bank to predict economic changes and implement monetary policies.In developed countries such as Europe and America,the term structure of Treasury bond interest rate is an important indicator for the central bank to judge macroeconomic changes and an important tool for the central bank to implement monetary policy.With the promotion of interest rate liberalization in China,the Treasury bond market will play an increasingly important role in the implementation of monetary policy by the people's bank of China.This paper will take the people's bank of China's monetary policy and the term structure of Treasury bond interest rate as the object to study the impact of monetary policy on the term structure of Treasury bond interest rate.Firstly,this article has combed the interest rate term structure related theory model development vein.Firstly,the paper introduces the anticipation theory and market segmentation theory in the traditional term structure theory.Then it introduces the development process of the basic model of the term structure of modern interest rate.Finally,this paper sorted out the literatures of domestic and foreign scholars on the relationship between monetary policy and term structure of interest rate.Based on the research results of domestic scholars,this paper proposed the effectiveness of quantitative and price monetary policy on the transmission mechanism of Treasury yield curve.Secondly,this paper constructs the term structure of the interest rate of the national debt by using the principal component analysis method,and obtains the horizontal factor(representing the long-term interest rate),the slope factor(representing the long-term and short-term interest rate spread),and the curve factor(representing the curvature).Then,based on the theoretical analysis of monetary policy on the transmission mechanism of Treasury bond interest rate maturity structure,the VAR model of monetary policy and principal component factor is established.In terms of the selection of monetary policy agency variables,this paper selects the M2 broad money supply and the scale of social financing as the quantitative monetary policy intermediary targets,and 7-day repo rate and 7-day Shanghai interbank offered rate as the price monetary policy intermediary targets.In terms of the selection of macroeconomic variables,this paper selects most domestic scholars to use industrial added value and consumer price index to express the changes of economic growth rate and inflation rate.According to the empirical analysis of VAR model,the results of this paper are as follows.Monetary policy has the greatest impact on the horizontal factor,but has a weak impact on the slope factor and the curve factor.The influence of M2 and the scale of social financing on the horizontal factor is stronger than that of interbank offered rate and inter-bank repurchase rate,and the influence of interbank offered rate and inter-bank repurchase rate on the slope factor and curve factor is stronger than that of M2 and the scale of social financing on the slope factor and curve factor.The influence of social financing scale on horizontal factor and curvTe factor is greater than that of M2 on horizontal factor and curve factor,and the influence of M2 on slope factor is greater than that of social financing scale on slope factor.Therefore,the quantitative monetary policy regulation has the largest impact on the horizontal factor,while the price monetary policy regulation has the largest impact on the slope factor and the curve factor.Among them,M2 and the scale of social financing have different effects on the yield curve,and the inter-bank lending rate and inter-bank repo rate have similar effects on the yield curve.Based on the above empirical research,this paper believes that the overall influence of quantitative monetary policy regulation on the Treasury yield curve is greater than that of price monetary policy,and the influence of social financing scale on the yield curve is greater than M2.The intermediary target of price monetary policy is sensitive to the change of Treasury yield curve,and there is no significant difference between the role of interbank offered rate and repo rate in the transmission channel of price monetary policy.