摘要
本文采用DRA模型对美联储持有国债比例变化与美国国债利率期限结构以及宏观经济变量之间的交互效应进行了研究。实证结果显示:(1)美联储持有国债比例变化对国债利率期限结构的水平因子和曲度因子存在显著影响,央行持有国债比例的提高有助于降低国债利率的整体水平,但会加大债券市场的价格波动幅度。(2)通过对脉冲响应结果的分析发现,在美联储持有国债比例提高的冲击下,长期国债利率的响应为负,且到期期限越长的国债收益率受美联储持有国债比例提高冲击的反应越强烈,下降幅度越大。
In this paper,we take the U.S. historical data as an example,through the construction of DRA model to study the interaction among the proportion of the treasury securities held by the Federal Reserve,the term structure of interest rate and other macroeconomic variables. The results show that the change in the proportion of the treasury securities held by the Federal Reserve has a significant impact on the term structure of interest rate. The analysis of this paper is not only helpful to improve our understanding of the effect of the Fed's unconventional monetary policy,but also could be regarded as references to the study of the possible impact of the Federal Reserve to reduce the size of its balance sheet.
出处
《金融发展研究》
北大核心
2018年第1期55-60,共6页
Journal Of Financial Development Research
基金
国家自然科学基金项目"政府债务对货币政策的影响--基于利率传导渠道的研究"(71573155)
关键词
美联储
国债
利率期限结构
DRA模型
Federal Reserve Board
treasury securities
term structure of interest rate
DRA model
