本文選題：央行溝通策略　切入點(diǎn)：長期債券收益率　出處：《山東大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：本文主要研究央行溝通策略對與我國長期債券收益率及波動情況的影響。最近十幾年來,隨著各國紛紛提高貨幣央行制定和執(zhí)行的透明度,央行溝通作為一種貨幣政策工具的地位在不斷提升。特別是近期金融危機(jī)過后,傳統(tǒng)的短期利率調(diào)整政策影響逐漸降低,"預(yù)期管理"在貨幣政策中的地位不斷抬升。本文運(yùn)用理論分析和實(shí)證分析相結(jié)合的方法進(jìn)行研究,分析央行向市場釋放信號的策略,及其對于長期債券市場的影響。本文首先構(gòu)建了一個以羊群效應(yīng)為基礎(chǔ)的博弈論模型,研究央行發(fā)布的公開信息和非公開信息對于債券市場參與者交易決策的影響。模型證明了市場參與者會根據(jù)對央行釋放信號的理解和自己的風(fēng)險(xiǎn)收益偏好來進(jìn)行投資決策分析。通過對理論模型的分析,市場參與者對于央行的溝通的解讀在一定情況下是與央行本身意圖不一致的,尤其是在央行貨幣政策轉(zhuǎn)向的時候,由于債券投資需要分析的信息太多(包括經(jīng)濟(jì)基本面和資金面情況等),有時會忽視央行釋放的貨幣政策信號中的意圖。央行不能控制公共信息的價值。由于央行向市場傳遞的信號只是債券市場信號中的一部分,而央行溝通對債券市場的影響,取決于央行溝通和市場上其他信號之間的關(guān)系。另外,央行在對市場釋放信號前,應(yīng)該決定希望市場參與者預(yù)期形成的時間長短。如果央行貨幣政策信號堅(jiān)決,這樣會使公共信息的價值提高,也就會使市場參與者快速形成對于央行意圖的理解,這樣會在短期加大債券市場的波動,但由于市場參與者快速形成了符合央行意圖的預(yù)期,債券市場杠桿和久期會快速達(dá)到央行的要求,從長期看債券利率波動反而會降低。反之,如果央行選擇慢慢引導(dǎo)市場形成正確的預(yù)期,短期債券市場的波動會減小,但是長期來看,最后總是要達(dá)到央行設(shè)定的目標(biāo),長期的波動會一直持續(xù)。另外本文還分析了我國央行溝通和債券市場關(guān)系現(xiàn)狀,將十年期國債利率作為分析標(biāo)的帶入理論模型,分析市場參與者預(yù)期和公共信息對于長期債券市場利率的影響。之后建立了EGARCH實(shí)證模型,分析2016年1月至2017年3月央行溝通對各種長期債券市場收益率及波動率情況。理論模型和實(shí)證模型相互印證,解釋了目前階段央行溝通的策略及市場的反應(yīng)情況。最終得出四個結(jié)論:首先,債券市場交易最頻繁的品種的價格更好的反映了市場信息;其次,央行近期通過溝通顯著的增大了債市的波動。在不斷加碼降杠桿的信息及力度,使市場參與者快速形成了符合央行意圖的預(yù)期,債券市場杠桿和久期短期快速達(dá)到央行的要求;另外,債券市場對央行溝通的反應(yīng)是在劇烈波動中緩慢抬升收益率中樞;最后,債券市場越來越受到多元化因素的影響,CPI已不是影響債券市場收益率的唯一因素。
[Abstract]:This paper mainly studies the impact of central bank communication strategy on long-term bond yield and volatility in China. In the past decade, as countries have increased transparency in the formulation and implementation of monetary central banks, The role of central bank communication as a monetary policy tool is growing, especially in the wake of the recent financial crisis. The influence of the traditional short-term interest rate adjustment policy is gradually decreasing, and the position of "expectation management" in monetary policy is rising. This paper uses the method of combining theoretical analysis and empirical analysis to analyze the strategy of the central bank sending signals to the market. This paper first constructs a game theory model based on herding effect. This paper studies the influence of public and non-public information released by the central bank on the trading decisions of bond market participants. The model proves that market participants will proceed according to their understanding of the signals from the central bank and their own risk return preferences. Investment decision analysis. Through the analysis of the theoretical model, Market participants' interpretation of central bank communication is, in some cases, inconsistent with the central bank's own intentions, especially when the central bank's monetary policy shifts. Because there is too much information to be analysed about bond investments (including economic fundamentals and funds, etc.), the intention in the monetary policy signals of the central bank is sometimes ignored. The central bank cannot control the value of public information because the central bank is unable to control the value of public information. The signal to the market is only part of the bond market signal, The impact of central bank communication on the bond market depends on the relationship between central bank communication and other signals in the market. In addition, before the central bank sends signals to the market, If the central bank's monetary policy signals are firm, this will increase the value of public information and will enable market participants to quickly develop an understanding of the central bank's intentions. This will increase the volatility of the bond market in the short term, but as market participants quickly develop expectations consistent with the central bank's intentions, the leverage and duration of the bond market will quickly meet the central bank's requirements. On the other hand, if the central bank chooses to slowly guide the market to form the correct expectations, the volatility in the short-term bond market will decrease, but in the long run, it will always reach the target set by the central bank in the end. The long-term volatility will continue. In addition, this paper also analyzes the current situation of the relationship between the central bank and the bond market, and brings the interest rate of ten-year Treasury bonds into the theoretical model. This paper analyzes the influence of market participants' expectation and public information on the long-term bond market interest rate. Then the EGARCH empirical model is established. From January 2016 to March 2017, the paper analyzes how the central bank communicates with each other on the yield and volatility of various long-term bond markets. The theoretical model and the empirical model confirm each other. Finally, four conclusions are drawn: first, the prices of the most frequently traded varieties in the bond market better reflect the market information; secondly, In recent years, the central bank has significantly increased the volatility of the bond market through communication. With the information and strength of increasing and lowering leverage, market participants quickly formed expectations in line with the central bank's intention, and the bond market leverage and duration quickly reached the requirements of the central bank; In addition, the bond market's response to central bank communication is to slowly lift yield centers through violent fluctuations; finally, the bond market is increasingly influenced by diversification factors and CPI is no longer the only factor affecting bond market yields.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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