CAJ | 학술논문

为了摆脱金融危机以来在联邦基金利率面临零利率下界约束情景下常规货币政策传导机制失灵的困境,美联储开始借助量化宽松等一系列非常规货币政策工具来平滑收益率曲线以提振宏观经济活力。利率期限结构的变动使得与美国经济高度关联的中国市场的融资成本也相应受到冲击。本文利用含有潜在门限的时变参数向量自回归模型研究了美国非常规货币政策冲击与中国金融市场利率期限结构之间的动态关联。结果表明,美国非常规货币政策的实施对中国货币市场和债券市场的利率期限结构的冲击存在显著差异。此外,中国货币市场和债券市场的利率期限结构对该冲击的反应的敏感性还取决于美联储在各阶段所实施的前瞻指引规则类型。
위료파탈금융위궤이래재련방기금리솔면림령리솔하계약속정경하상규화폐정책전도궤제실령적곤경,미련저개시차조양화관송등일계렬비상규화폐정책공구래평활수익솔곡선이제진굉관경제활력。리솔기한결구적변동사득여미국경제고도관련적중국시장적융자성본야상응수도충격。본문이용함유잠재문한적시변삼수향량자회귀모형연구료미국비상규화폐정책충격여중국금융시장리솔기한결구지간적동태관련。결과표명,미국비상규화폐정책적실시대중국화폐시장화채권시장적리솔기한결구적충격존재현저차이。차외,중국화폐시장화채권시장적리솔기한결구대해충격적반응적민감성환취결우미련저재각계단소실시적전첨지인규칙류형。
In order to get rid of the dilemma about failure of conventional monetary policy transmission since the federal funds rate has been essentially at the zero lower bound after the financial crisis, the Federal Reserve started to flatten the yield curve and boost economic vitality by means of a series of unconventional monetary policies such as quantitative easing. With the movement of term structure of interest rate, China＇s financing cost has been affected since its economy is highly correlated with the U.S. economy. Based on the time-varying parameter VAR model with latent threshold, this paper explore the dynamic relationship between term structure of interest rates in China＇ s financial market and U.S. unconventional monetary policies. The results show significant differences about the impact of the term structure of interest rate between China＇s money market and bond market when the United States implemented unconventional monetary policies. Furthermore, the sensitivity of the interest rate term structure of China＇ s money market and bond market to the U.S. unconventional monetary policies also depends on the types of Federal Reserve＇ s forward guidelines in each phase.