Improving the monetary policy system and the modern financial supervision are the main measures to build a modem central bank system.Since 2022,interest rates in China and the United States have diverged.Whether the rising US in-terest rates eventually drive the rise of Chinese Treasury bond yields,thus affecting the effectiveness of China's monetary policy system?And whether the macro-prudential policy,which is a central component of modern financial regulation,can miti-gate this impact?This paper firstly uses the hierarchical factor model with time-varying parameters to construct measurements of co-movement of treasury bond yield curve for 17 developed countries and 15 emerging market countries.The paper then de-composes the treasury bond yield curve into the expected short-term interest rate and term premium,and constructs the mea-surements to assess the co-movement of the expected short-term interest rate and term premium.Secondly,this paper develops a theoretical model with liquidity spiral,explaining the effects of macro-prudential policies on the co-movement of treasury bond yield curves.Lastly,empirical tests are employed to evaluate the previous propositions.This paper shows that the yield curve of the treasury bonds in all countries shows a certain degree of co-movement,which arises from both the co-movement of the expected short-term interest rate and the co-movement of the term premium.Further-more,with the tightening of macro-prudential policies of a country,the co-movement degree of the treasury bond yield curve is significantly reduced,encompassing both the expected short-term interest rate and term premium.Based on the previous conclusions,this paper proposes that in an open economy,macro-prudential policy helps enhance the effectiveness of domestic monetary policy.The coordinated use of monetary policy and macro-prudential policy contributes to the establishment of a more robust and modern central bank system.
关键词
宏观审慎政策/全球金融周期/国债收益率曲线/货币政策
Key words
Macro-Prudential Policies/Global Financial Cycle/Treasury Bond Yield Curve/Monetary Policy
维普
万方数据