Research on Interest Rate Transmission Mechanism of China's Bond Market: Empirical Analysis Based on Granger Causality Complex Network

Xiao CUI, Mo YIN, Kun GUO, Yijing WANG
{"title":"Research on Interest Rate Transmission Mechanism of China's Bond Market: Empirical Analysis Based on Granger Causality Complex Network","authors":"Xiao CUI, Mo YIN, Kun GUO, Yijing WANG","doi":"10.21078/jssi-e2022024","DOIUrl":null,"url":null,"abstract":"<p id=\"C1\">The bond market is an important market for investment and financing in China's economic sectors, and also an important part of the monetary policy framework. The internal transmission of bond market is an important part of market interest rate transmission, which iscritical to the effectiveness of monetary policy. However, few scholars have studied the characteristics of interest rate transmission in China. An in-depth study of the interest rate transmission mechanism and its dynamic evolution between different bond markets is conducive to clarify the pulse of transmission within Chinese bond market and to further unblock the transmission mechanism of monetary policy. From the perspective of system theory and based on the analysis method of Granger causality complex network, this paper finds that the interest rate transmission among various varieties in China's bond market is relatively significant. Treasury bonds and CDB bonds are the two core bond varieties of interest rate transmission in the bond market. Simultaneously, this study concludes that the medium and long-term interest rate played a dominant role in the transmission of market interest rate during the easing phase of monetary policy, while the short-term interest rate played a dominant role in the transmission of market interest rate during the tightening phase of monetary policy. This paper also gives enlightenment and suggestions.","PeriodicalId":258223,"journal":{"name":"Journal of Systems Science and Information","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Systems Science and Information","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21078/jssi-e2022024","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

Abstract

The bond market is an important market for investment and financing in China's economic sectors, and also an important part of the monetary policy framework. The internal transmission of bond market is an important part of market interest rate transmission, which iscritical to the effectiveness of monetary policy. However, few scholars have studied the characteristics of interest rate transmission in China. An in-depth study of the interest rate transmission mechanism and its dynamic evolution between different bond markets is conducive to clarify the pulse of transmission within Chinese bond market and to further unblock the transmission mechanism of monetary policy. From the perspective of system theory and based on the analysis method of Granger causality complex network, this paper finds that the interest rate transmission among various varieties in China's bond market is relatively significant. Treasury bonds and CDB bonds are the two core bond varieties of interest rate transmission in the bond market. Simultaneously, this study concludes that the medium and long-term interest rate played a dominant role in the transmission of market interest rate during the easing phase of monetary policy, while the short-term interest rate played a dominant role in the transmission of market interest rate during the tightening phase of monetary policy. This paper also gives enlightenment and suggestions.

中国债券市场利率传导机制研究:基于Granger因果关系复杂网络的实证分析
债券市场是中国经济领域重要的投融资市场,也是货币政策框架的重要组成部分。债券市场的内部传导是市场利率传导的重要组成部分,对货币政策的有效性至关重要。然而,很少有学者对中国的利率传导特征进行研究。深入研究利率传导机制及其在不同债券市场之间的动态演化,有助于厘清中国债券市场内部的传导脉搏,进一步疏通货币政策传导机制。本文从系统论的角度出发,运用格兰杰因果关系复杂网络的分析方法,发现中国债券市场各品种之间的利率传导是比较显著的。国债和国开行债券是债券市场利率传导的两大核心债券品种。同时,本研究得出货币政策宽松阶段中长期利率在市场利率传导中起主导作用,货币政策收紧阶段短期利率在市场利率传导中起主导作用。并给出了启示和建议。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信