【作者】 陈勇；

【导师】 李志辉；

【作者基本信息】 南开大学 ， 金融学， 2010， 博士

【摘要】 宏观经济、货币政策和债券市场一直是货币和金融经济学家非常感兴趣的研究领域。一直以来,债券市场的发展问题都受到世界上很多国家,特别是亚洲国家和各国中央银行的重点关注。2003年,东盟10国和中日韩13国发起“亚洲债券市场倡议(ABMI)”,并达成共识：建设一个有深度、高流动性和成熟的债券市场不仅有利于将该地区的高储蓄转换为长期投资,促进经济增长；同时能够防范期限和货币的双重错配风险,提高中央银行货币政策的有效性。我国政府作为倡议成员国之一,近年来不断加大债券市场的发展力度,债券市场在深度和广度上有了质的飞跃。但是,由于我国债券市场起步较晚,又受到国内长期间接融资强于直接融资,股票市场强于债券市场的影响,国内对债券市场问题进行系统性研究的文献相对较少。在此背景下,本文重新审视我国债券市场,研究宏观经济、货币政策与债券市场三者之间的互动关系,具有很高的理论价值与现实意义。根据上述命题,本文采取理论分析与实证分析,历史回归法与国别比较法相结合的模式,构建宏观经济、货币政策与债券市场互动关系的理论框架,并对此框架进行实证分析,在此基础上,根据理论分析和实证分析的结果为发展债券市场和完善货币政策调控机制提出政策建议。本文共分为四大部分：第一部分,引出问题并介绍相关理论与文献。在对债券市场概念进行界定的基础上,对宏观经济、货币政策、债券市场和利率期限结构模型进行了阐述和剖析,并分析宏观经济、货币政策和利率期限结构之间的关系。第二部分,从经度和纬度上介绍中国货币政策和债券市场实践。在货币政策实践部分,从公开市场操作、存款准备金政策以及再贴现政策等多个方面入手,着重研究中央银行对利率政策工具的运用,并诠释货币政策调整对债券市场的政策性影响；在债券市场实践部分,回顾中国债券市场的发展历程,从不同角度剖析中国债券市场的现状,并通过分析境外主要债券市场和东亚新兴债券市场的发展得出启示,提出中国债券市场存在的问题和发展路径。第三部分,在第一部分文献回顾的启示基础之上,参照第二部分的实践概述,先利用主成分分析法提取我国银行间国债收益率曲线的三因子,然后采取SVAR模型分析宏观经济对债券市场、货币政策对债券市场以及债券市场对宏观经济的影响。第四部分,在总结本文三个主要结论的基础上,为发展我国债券市场和完善货币政策调控体制提出政策性建议,并为债券市场参与者提供全新的投资视角。论文在以下几个方面有所创新：一是结合国内外相关理论研究和我国货币政策和债券市场实践经验,进一步从理论上深入总结宏观经济、货币政策与债券市场收益率之间的互动关系,弥补了我国该研究领域的不足；二是通过主成分分析法建立中国债券市场利率期限结构,并利用SVAR模型分别对宏观经济指标和货币政策参数与利率期限结构的关系进行实证分析,从实证结果中寻找最优关系参数；三是根据本文的理论框架和实证结果,从债券市场发展方向、货币政策制定者和债券市场投资者三个视角出发,提出相应的政策建议,为政策部门决策提供参考和借鉴。更多还原

【Abstract】 The interaction between macro economic factors, monetary policy and bond market is an area that has interested monetary and financial economists for a long time. The development of bond market has highly been paid attention to by most countries, especially the Asian countries and the central banks. In 2003, the ASEAN+3 established the Asia Bond Market Initiative (ABMI) and realized that deep, liquid and mature bond markets are effective tools not only in transforming the region large levels of savings into long-term investments, to promote the economic growth and avoid the double mismatch of currencies and maturities; but also in improving the validity of the monetary policy. As a member of the ABMI, China has done a lot on improving bond market in recent years, and bond market has achieved a fundamental change on both the depth and scope. However, as the bond market started late and affected by the environment of indirect financing bigger than direct financing, equity financing preferred than bond financing, there are few literatures on the bond market. In this condition, the dissertation reviews the China bond market, and researches the issues of the interaction between macro economics, monetary policy and bond market, which has a high theoretical value and practical significance.According to the aforementioned, the dissertation, adopting the method of the combination of the theoretical analysis and empirical analysis, the combination of the historic regression and countries comparison, establishes a theoretical framework of the interaction between the macro economics, monetary policy and bond market, base on which it set up a model to do empirical analysis. Finally, the dissertation promotes policy proposals on how to develop bond market and perfect the monetary policy regulation mechanism.The dissertation consists of four parts. In the first part, we draw out the problem and introduce the correlated theories and literature. Based on the concept of the bond market, we describe and analyze macro economics, monetary policy, bond market and interest rate term structure model; also, we analyze the relationship among macro economics, monetary market and interest rate term structure model. In the second part, we introduce the Chinese practice of monetary policy and bond markets emphatically. In the monetary policy practice part, we begin with the open market operation, deposit reserve policy, rediscount policy and other aspects, and focus on how the central bank uses the rate policy, and annotates the policy influence of the monetary policy adjustment to the bond market. In the bond market practice part, we review the development process of China bond market, analyze the China bond market present situation from different angles, and draw inspiration through the analysis of foreign main bond market and East Asia emerging bond market, then propose the existence question and the development path. In the third part, in above the foundation of first part of literature review’s enlightenment, referring to the practice overview of the second part, we extract three factors from our inter-bank bond yield curve using the principal component analysis, then we adopt the SVAR model to analyze the influence that macro economics makes to the bond market, the monetary policy makers to the bond market as well as the bond market makes to the macro economics. Finally, on the base of the three main conclusions, we give some opinions to the bond market and monetary policy markers, as well provide a brand-new investment views the bond market participants.The primary contributions of this paper include the following aspects:first, combined the theoretic research at home and abroad, and the practice experience of monetary policy and bond market at home, we conclude the interactive relations between macroeconomic theory, monetary policy and bond market, which supplied a gap in bond market research area. Second, we establish China bond market interest rate term structure through principal component analysis, and use the SVAR model analyze the relationship among the macro economic indicator, the monetary policy parameter and interest rate term structure respectively, seeking for the most superior relational parameter from the real empirical results. Third, on the basis of the conclusions of this paper, we promotes the policy proposal from the aspects of the development orientation of bond market, the monetary policy marker and the bond market investors, which will benefit the authorities to make policies.更多还原