Impact Of Monetary Policy On The Term Structure Of Government Bond Yields

Since 2012,China’s economy has entered a new normal.Economic growth has slowed down,CPI has continued to operate at a low level,and structural contradictions have become increasingly prominent.At the same time,the effect of China’s quantitative monetary policy has been reduced,and the central bank has continuously promoted monetary policy from quantitative control to price-based regulation.Since 1996,China has continued to promote the reform of interest rate marketization,dredging the transmission channels of monetary policy,and improving the basis of price-based monetary policy regulation.The term structure of the national debt interest rate reflects the relationship between the yields of non-default risk bonds at different maturity points,which can effectively measure the interest rate levels of financial markets at different maturities.In the modern financial system,the term structure of interest rates can provide forward-looking information for the central bank to formulate and implement monetary policy.Its morphological changes also reflect the impact of monetary policy on interest rates at various maturities,and are the transmission intermediary between monetary policy and the real economy.Therefore,studying the impact of monetary policy on the maturity structure of national debt interest rate can test the effect of China’s price-based monetary,policy regulation,and has strong theoretical and practical significance.This paper uses theoretical analysis combined with empirical analysis.The theoretical analysis section firstly reviews the research literature on the term structure of interest rates at home and abroad,and introduces the ways in which monetary policy affects the term structure of interest rates and domestic and foreign research.Secondly,this paper uses descriptive statistical analysis to analyze if the statutory deposit reserve ratio,the deposit and loan benchmark interest rate and the medium-term loan convenience interest rate in recent years can affect the term structure of the national debt interest rate.The results show that changes in the statutory deposit reserve ratio,in the benchmark interest rate of deposits and loans and the improvement of the medium-term loan convenience interest rate can have a significant impact on the maturity structure of the national debt interest rate,but many of the effects have a time lag and have less impact on long-term interest rates.The results show that the statutory deposit reserve ratio,the change of deposit and loan benchmark interest rate and the improvement of the medium-term loan convenience interest rate can have a significant impact on the maturity structure of the national debt interest rate,but many of the effects have a time lag and have less impact on long-term interest rates.In the empirical stage,this paper uses quantitative analysis.First,the Nelson-Siegel model is used to simulate the term structure of interest rates.Based on China’s national conditions,the current yield of government bonds prepared by China Government Securities Depository Trust 和 Clearing Co.,Ltd.was selected as the input variable,and a total of 13 time periods were selected.After fitting the interest rate term with MATLAB software,the horizontal factor(L),slope factor(S)and curvature factor(C)were extracted.Then,the fitting effect is tested by descriptive statistical analysis.It is considered that the horizontal factor is better fitted to the change of the long-term interest rate level,and the horizontal factor plus the slope factor is also better fitted to the change of the short-term interest rate level.Therefore,the Nelson-Siegel model can be used to fit the term structure of China’s interest rate,and the VAR model can be constructed for further analysis.In the VAR model analysis part,this paper selects the inter-bank repurchase weighted interest rate(R07)as the proxy variable of the monetary policy tool,selects the industrial added value(IVA)as the output index,and selects the consumer price index(CPI)as the price level indicator.The sequence stability test was performed on the above three variables and the three factors of the interest rate term structure.The results show that C and R07 are stationary sequences,L,S,IVA and CPI are non-stationary sequences,and the first-order difference sequences DL,DS,DIVA and DCPI generated by non-stationary sequences are stable.Under the premise of stable sequence,firstly study the influence of monetary policy variables on the three factors as a whole,and construct the VAR model by combining the three factors DL,DS,C with DIVA,DCPI and R07 to analyze the impulse response.The results show that the monetary policy has three factors.The impact of the existence of time lag.In order to better study the impact of monetary policy on the maturity structure of the national debt interest rate,short-term constraints are imposed on the VAR model.The SVAR model is constructed by DL,DS,C and DIVA,DCPI and R07,respectively,and the impulse response analysis and variance decomposition are performed.The empirical results show that the impact of monetary policy has an impact on the maturity structure of China’s national debt interest rate,but the degree of impact on each factor is different.The level factor is mainly influenced by the monetary policy proxy variable and the inflation rate,and the influence of the monetary policy agent variable is sustainable.The slope factor is mainly affected by the monetary policy proxy variable,but there is a phenomenon that the pre-impact period is positive and the latter period is negative.The reason may be that China’s monetary policy interest rate transmission is not well transmitted from the short-term to the long-end of the market.The monetary policy proxy variable is the short-term interest rate of the money market,and it responds quickly to the central bank’s monetary policy information.The analysis of the horizontal factor shows that the long-term interest rate level is not only affected by monetary policy,but also related to long-term output level and inflation expectations,so it cannot fully reflect the change of short-term interest rate.The curvature factor is significantly affected by various variables.Compared with other factors,it is more sensitive to macroeconomic variables,but it is affected by the monetary policy proxy variable and it is negative and positive,and there is time lag.Finally,this paper summarizes the research conclusions of the impact of monetary policy on the maturity structure of national debt interest rate,and proposes three targeted opinions on the poor transmission of monetary policy to the maturity structure of national debt interest rate,including improving the construction of the national debt market,promoting the transformation of monetary policy framework and deepening interest rate marketization reform.