Analysis Of The Spillover Effect Of US Monetary Policy On China's Multilevel Bond Market

In March 5,2018,Premier Li Keqiang made clear in his government work report:"deepen the multilevel capital market reform and promote the development of bond and futures market".It highlighted the importance of the development of the multilevel bond market in the financial reform and economic development of our country in the current and future periods.China's bond market is an important part of the capital market.The construction of multilevel bond market is still in the stage of continuous improvement,lacking relevant experience and risk analysis means.Bonds of different levels such as treasury bonds,financial bonds,corporate bonds and so on,because of different issuers' credit rating,different issuers,different ways of raising funds and different investment directions,are also greatly influenced by the change of US monetary policy.In addition,the study shows that there are significant differences in the impact of monetary policy on bonds with different issuance periods.Therefore,in-depth study of the impact of US monetary policy on China's different levels of the bond market provides empirical evidence helps to reduce the impact the impact of the adjustment of American monetary policy on the bond market in China.Since the US monetary policy has experienced the process from loose to tight,the paper chooses monthly data from November 2008 to December 2017 to establish SVAR model to analyze the spillover effect of the US monetary policy on China's multilevel bond market.Treasury bonds,financial bonds and corporate bonds represent bonds of different issuance,and one—year bonds and ten-year bonds represent bonds of different maturitiesThe article shows that the change of US monetary policy has a significant impact on China's bond market and this impact is short-term.The impact on treasury bonds,financial bonds and corporate bonds is different,and the impact duration on corporate bonds is longer than that of treasury bonds and financial bonds.The impact mode of corporate bonds and financial bonds is more complex than treasury bonds.There are also differences in the impact modes of long-term bonds and short-term bonds.The impact of US monetary policy on short-term bonds delay more time.Finally,based on theoretical analysis and empirical analysis,we put forward countermeasures for developing our multilevel capital market in the current situation.