The Construction Of China's Benchmark Yield Curve And It's Relevance With The Monetary Policy

In recent years, the interest rate index is of the growing importance, the benchmark yield curve is paid more and more attention, and the time for the construction of China's benchmark yield curve is basically ripe. And the inflation occurred in China since 2007 also added a new context for the study of the benchmark yield curve, and would promote the study on the yield curve to the forefront and in-depth. Benchmark yield curve is the major topic to be studied both in the macro-finance or micro-finance areas. Based on the background above, this PhD attempts to study the benchmark yield curve in depth from the macro aspects.The study of the benchmark yield curve together with monetary policy can not only promote the interest rate to play a role in macroeconomic regulation and control, also give a useful supplement for the existing mechanism of monetary policy, and provide the theoretical and empirical basis for more extensive use of interest rates in the money policies after the realization of future market-oriented interest rates. Therefore, choicing a suitable methods and model to construct a high-quality Chinese benchmark yield curve, analyzing its status and role in the monetary policy system and providing an important reference for the monetary policy decision-making of the monetary authority are of the great theoretical and practical significance, this is also the purpose of this paper.Using the comparative analysis, the standardized analysis, the empirical analysis, the static analysis and the dynamic analysis and other research methods, and being in accordance with the research ideas of "Theoretical basis-China's bond market and benchmark interest rates inspection-Construction of China's benchmark yield curve-Relevance of China's benchmark yield curve with the monetary policy", this paper researches the issues about the Construction of China's benchmark yield curve and it's relevance with the monetary policy .Based on a comprehensive inspection for the benchmark interest rates of China's financial market and for China's bond market, this paper hold that the interest rate of treasury bonds should be the ultimate direction of the benchmark rate of China's financial market and that China's inter-bank bond transaction data is the most appropriate to estimate and construct the benchmark yield curve.Based on the needs to establish a benchmark yield curve for the purpose of the analysis of monetary policy and reference the results of similar studies from at home and abroad, this paper selects Svensson model and uses China's inter-bank bond transaction data to estimate and construct the country's benchmark yield curve.Based on Fama model and Mishkin standard model, this paper uses the benchmark yield curves constructed as the time series data to test empirically and show that China's benchmark yield curve did contain information of future inflation . Then this paper gives a further Empirical Study for the impact of the monetary policy on the benchmark yield curve, and the results show that China's benchmark yield curve reflects some monetary policy posture significantly. Therefore, in accordance with the two research findings above, it shows that China's benchmark yield curve can be used as a information indicator of monetary policy.This paper also uses the internationally widespreadly used and universally recognized "intermediate variables method" to empirically analyse that if China's benchmark yield curve could be used as the intermediate goal of monetary policy. The results show that when using the one-year lending rate and the relending rate as the operation tools of monetary policy, China's benchmark yield curve could play an role as intermediate goal in the monetary policy transmission mechanism.In short, according to the findings of this paper, China's benchmark yield curve has been preliminary to have these two functions of the information indicator and intermediate goal of monetary policy. It can be predicted that with the deepening of China's market-oriented reform of interest rates and the continuous development and perfection of financial market , the benchmark yield curve will play a more valuable role for monetary policy makers.