Research on the Time Varying Transmission Effect of Open Market Operating Interest Rates——Comparative analysis based on different money market interest rates
The interest rates in the money market play a crucial role in transmitting open market operation rates,acting as an important bridge between the two.This article constructs a time-varying stochastic volatility structural vector autoregression(TVP-SV-SVAR)model based on weekly data from 2006 to 2023 to conduct a comparative analysis of the roles of five dif-ferent money market interest rates in the transmission from open market operation rates to government bond yields.The results reveal that the money market interest rates exhibit significant time-varying characteristics in their response to changes in open market operation rates,demonstrating a rapid response with a notably increased reaction magnitude after 2015.However,the degree of differentiation among different money market interest rates has also intensified.The transmission efficiency of money market interest rates to government bond yields is inadequate,with the impact varying significantly across different periods.The influence tends to increase noticeably when facing external shocks or structural economic adjustments.Among the five money market interest rates analyzed,the 7-day interbank deposit pledge repo rate shows the fastest response and largest amplitude to changes in open market operation rates,exerting a significant impact on short-term government bond yields.Meanwhile,the 7-day interbank lending rate has a considerable effect on medium-to long-term government bond yields.It is recommended to focus on optimizing the regulatory approach to different maturity interest rates,remain vigilant against liquidity stratification within the money market,enhance the correlation among various money market interest rates,and simultaneously improve the construction of the bond market to increase the transmission efficiency of money market interest rates to bond market interest rates.
monetary policymarket interest rateopen market operationinterest rate transmissionTVP-SV-SVAR model
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