摘要
本文检验了不同操作策略下中国央行公开市场操作流动性效应。通过构建并计算央行公开市场操作指标值,根据取值区间将公开市场操作定义为五种操作策略。本文采用2006年10月至2012年3月的数据,估算了每月超额准备金,并计算出实际的公开市场操作指标值,利用排序自回归法证实了央行公开市场操作对利率有非线性影响,进一步建立非线性多阈值自回归模型,研究了不同操作策略的公开市场操作对3个月短期市场利率的影响。实证结果表明央行公开市场操作可分为四种策略,主要表现为防御性功能,但不存在周流动性效应。
This paper investigates the weekly effects on China＇ s short term interest rate under different open market operating strategies. An open market operation index of the People＇ s Bank of China is introduced to identify different open market operation strategies. Arranged auto - regression test suggests nonlinear effects of open market operations on interest rate. A nonlinear multi -threshold auto regression model is established and estimated by weekly data from Oct. 2006 to Mar. 2012. Empirical results indicate that the weekly liquidity effects of different open market operating strategies on 3 - month interest rate do not exist. We find that China＇ s open market operations are primarily defensive.
出处
《南方经济》
CSSCI
2013年第12期39-50,共12页
South China Journal of Economics
关键词
公开市场操作
阈值自回归模型
流动性效应
Open market operation
Threshold Auto -Regression Model
Liquidity effect.
