Research on the Term Structure of Treasury Bond Interest Rate and the Transmission Mechanism of Monetary Policy:——Based on the Dual Perspectives of Interest Rate Marketization and Monetary Policy Transformation
The Nelson Siegel model is constructed to fit the horizontal factor,slope factor and curvature factor of the term structure curve of the interest rate of foreign bonds.Based on this,the TVP-VAR model is constructed to explore the transmis-sion mechanism of monetary policy based on the term structure curve of the inter-est rate of treasury bond under the framework of quantitative and price monetary policies,and the role of interest rate marketization on the transmission effective-ness.The empirical research shows that price based and quantitative monetary poli-cies have the same effect on the horizontal factor of treasury bond,but have differ-ent effects on the slope factor.The transmission of financial market interest rate and money supply through the slope factor and the transmission through the hori-zontal factor have opposite effects,indicating that the transmission of policy inter-est rate through the slope factor of treasury bond is still blocked;The transmission mechanism of quantitative monetary policy in China can still play a certain role,but the effectiveness of transmission has gradually weakened.With the advancement of interest rate marketization,the effectiveness of price based monetary policy trans-mission has gradually increased,but there are still limitations.In this regard,we should further improve the Yield curve of treasury bond,give better play to the pri-cing benchmark role of the yield curve of treasury bond,promote the market-orien-ted reform of interest rates,accelerate the unblocking of monetary policy transmis-sion barriers,and accelerate the transformation of monetary policy.
The Term Structure of the Interest Rate of Treasury BondMoney Policy Transmission MechanismInterest Rate MarketizationTVP-VAR Model
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