本文選題：利率期限結(jié)構(gòu) + 貨幣政策��； 參考：《中國海洋大學(xué)》2014年碩士論文

【摘要】：我國當(dāng)前實(shí)行的貨幣政策是以數(shù)量型貨幣政策工具為主，輔之以價(jià)格型貨幣政策工具，這是受我國利率市場化水平等因素影響的結(jié)果。西方發(fā)達(dá)國家在20世紀(jì)90年代逐漸從數(shù)量型工具過渡到價(jià)格型工具，有效降低了宏觀經(jīng)濟(jì)波動(dòng)并保持了較低的通貨膨脹水平，取得了巨大的成功。伴隨著我國利率市場化進(jìn)程的加深，利率作為資本市場重要的價(jià)格變量，這一價(jià)格型的調(diào)控工具將會(huì)逐步取代規(guī)模數(shù)量型的信貸途徑成為我國貨幣政策主要的傳導(dǎo)途徑。 利率期限結(jié)構(gòu)描述了不同到期期限下的利率水平，不僅能反映貨幣市場本身變動(dòng)的歷史和發(fā)展趨勢，其曲線參數(shù)更是能夠用于研究其與宏觀經(jīng)濟(jì)變量之間的關(guān)系。因此，在這樣的背景下，基于我國的利率期限結(jié)構(gòu)曲線研究我國貨幣政策傳導(dǎo)效應(yīng)將具有十分重要的理論和實(shí)際意義。本文的研究主要集中在以下方面： 首先，文章梳理了利率期限結(jié)構(gòu)理論的發(fā)展過程和貨幣政策的基本理論，并從理論上分析了利率期限結(jié)構(gòu)與貨幣政策和宏觀經(jīng)濟(jì)運(yùn)行之間的關(guān)系，證明了利率期限結(jié)構(gòu)與貨幣政策和宏觀經(jīng)濟(jì)運(yùn)行之間存在理論上的相關(guān)性。 隨后對(duì)我國債券市場現(xiàn)狀進(jìn)行分析，并回顧我國歷年實(shí)施的貨幣政策。由于我國的債券市場90%以上的交易在銀行間債券市場上完成，而在這些交易中國債的比例又占了絕大部分，因此選擇我國銀行間交易市場上的國債的利率數(shù)據(jù)來擬合我國的利率期限結(jié)構(gòu)曲線。 第三，運(yùn)用Nelson-Siegel模型對(duì)我國利率期限結(jié)構(gòu)曲線進(jìn)行擬合，擬合結(jié)果表明，Nelson-Siegel模型能夠準(zhǔn)確地?cái)M合我國利率期限結(jié)構(gòu)曲線，切擬合出的曲線參數(shù)符合其理論意義，具有較強(qiáng)的現(xiàn)實(shí)意義，能夠用于與貨幣政策變量和宏觀經(jīng)濟(jì)數(shù)據(jù)的實(shí)證分析。 接下來選取了代表貨幣政策及宏觀經(jīng)濟(jì)的變量，與擬合出的利率期限結(jié)構(gòu)曲線的參數(shù)一起進(jìn)行實(shí)證分析。實(shí)證結(jié)果表明我國的貨幣政策能夠影響利率期限結(jié)構(gòu)的水平因子與斜率因子進(jìn)而對(duì)宏觀經(jīng)濟(jì)變量產(chǎn)生影響，且我國的貨幣政策通過利率期限結(jié)構(gòu)進(jìn)行傳導(dǎo)的最終效果與理論分析一致。 最后文章對(duì)各章的結(jié)論進(jìn)行總結(jié)，并就我國債券市場交易體制的完善，利率市場化以及貨幣政策的制定提出政策建議。
[Abstract]:The monetary policy in our country is mainly quantitative monetary policy tool, supplemented by price monetary policy tool, which is the result of factors such as the level of interest rate marketization in our country. In the 1990s, the western developed countries gradually transferred from the quantitative tool to the price one, which effectively reduced the macroeconomic fluctuation and kept the low inflation level, and achieved great success. With the deepening of China's interest rate marketization process, interest rate as an important price variable in the capital market, this price-based regulatory tool will gradually replace the scale-quantitative credit channel as the main transmission of monetary policy in China. Term structure of interest rate describes the level of interest rate under different maturities. It can not only reflect the history and development trend of the change of money market itself, but also can be used to study the relationship between interest rate term structure and macroeconomic variables. Therefore, under this background, it is of great theoretical and practical significance to study the transmission effect of monetary policy based on the term structure curve of interest rate in China. This paper focuses on the following aspects: First of all, the paper combs the development process of term structure theory of interest rate and the basic theory of monetary policy, and theoretically analyzes the relationship between term structure of interest rate and monetary policy and macroeconomic operation. It is proved that there is a theoretical correlation between term structure of interest rate and monetary policy and macroeconomic operation. Then the paper analyzes the present situation of China's bond market and reviews the monetary policies implemented in the past years. Since more than 90% of the transactions in China's bond market are completed in the interbank bond market, the proportion of treasury bonds in these transactions accounts for the vast majority. Therefore, the interest rate data of the national debt in the interbank trading market of our country are selected to fit the interest rate term structure curve of our country. Thirdly, the Nelson-Siegel model is used to fit the interest rate term structure curve in China. The fitting results show that the Nelson-Siegel model can fit the interest rate term structure curve accurately. It has strong practical significance and can be used for empirical analysis of monetary policy variables and macroeconomic data. Then, the variables representing monetary policy and macroeconomic are selected, and the empirical analysis is carried out together with the parameters of the fitted term structure curve of interest rate. The empirical results show that China's monetary policy can influence the level factor and slope factor of the term structure of interest rate and then influence the macroeconomic variables. The final effect of transmission of monetary policy through term structure of interest rate is consistent with theoretical analysis. Finally, the paper summarizes the conclusions of each chapter, and puts forward some policy suggestions on the perfection of the trading system of China's bond market, the marketization of interest rate and the formulation of monetary policy.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F822.0

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