商业研究

商业研究

• 世界经济 • 上一篇    下一篇

利率关联性与货币政策独立性 ——基于中美国债市场关联性的分析

杨镇瑀，施建淮，游丽萍   

  1. 北京大学 经济学院，北京 100871
  • 收稿日期:2017-01-22 出版日期:2017-04-18
  • 作者简介:杨镇瑀（1988-），男，湖南常德人，北京大学经济学院博士研究生，研究方向：国际金融；施建淮（1962-），男，北京大学经济学院教授，博士生导师，研究方向：国际金融、货币理论与政策；游丽萍（1987-），女，泰国人，北京大学经济学院博士研究生，研究方向：国际金融。

Interest Rate Linkages and Monetary Policy Autonomy ——An Analysis based on Treasury Bonds Market Linkages between China and US

YANG Zhen-yu, SHI Jian-huai, YOU Li-ping   

  1. School of Economics, Peking University, Beijing 100871,China
  • Received:2017-01-22 Online:2017-04-18

摘要： 正确识别国内金融市场与外部市场的联动性特征对于我国货币政策的选择具有重要意义。本文以国债市场为切入点，利用分时段回归和马尔科夫机制转换模型分析中美国债利率相关性发生的结构性变动。中国各个期限的利率在2006年以前独立于美国利率的变动，而在2006年以后却表现为“中短端独立，中长端联动”，这意味着中国货币政策已经不具备“完全”的独立性；这种结构性变动在肯定浮动汇率可以减轻国内短期利率跟随中心国利率变动压力的同时，在一定程度上支持了“二难选择”或“全球金融周期”的机制，强调不论汇率制度如何改变金融市场一体化的提高都会强化中外金融条件的联系。因此，应加强货币政策对中长期利率的影响，注重宏观审慎政策的应用及合理使用资本流动监管，积极参与国际货币政策合作。

关键词: 利率相关性, 货币政策独立性, 资本开放, 宏观审慎

Abstract: It is of great significance to correctly identify the linkage between domestic financial market and external market. Using treasury bonds market as an entry point and applying sub-period regression and Markov switching regression, this paper analyzes structural change of treasury market interest rate linkages between China and US. Before 2006, China′s interest rates with different terms were independent of that of the US, but after 2006, the relationship has transformed into “short-term is independent, long-term is associated”, which means that China′s monetary policy has had no “complete” independence; while affirming floating exchange rate can reduce the pressure that domestic short-term interest rate must follow the change of interest rate in US, such a structural change may partly support the mechanism of “Dilemma” or “Global Financial Cycle”, emphasizing that no matter how the exchange rate system changes, more capital openness will strengthen the relationship of domestic and international financial conditions. Therefore, we should strengthen the impact of monetary policy on medium and long-term interest rates, pay attention to the application of macro- prudential policy, rationally use capital flow regulation, and actively participate in international monetary policy cooperation.

Key words: interest rate linkages, monetary policy autonomy, capital openness, macro-prudential policy