The Study Of New Monetary Policy Tools Affect On The Benchmark Interest Rates

To a closer and more effective regulation of the macro economy, with reference to international experience, the China central bank introduced a regular lending facilities(SLF), medium-term lending facilities(MLF) and short-term liquidity adjustment tool(SLO).This article is based on Shibor interest rate between 2012 to 2015, researches the performance of the new monetary policy tool SLF, MLF, SLO's impact on China's benchmark interest rate. From the literature, we can find the best way to research the new monetary policy tool effect is on the spreads between the market benchmark interest rates and the risk-free interest rate. We have done the study through two groups of empirical research in this paper. The first set of empirical model is to build a spread level, then the find how new monetary policy tools spreads have played an important role in spreads formation process. The second is to build a GARCH model fitting Shibor interest rate level, and then research the variance of GARCH model of the new monetary policy tools play a role, in order to solve how about the impact on the interest rate volatility by SLF, MLF, SLO. By using the methods of the two groups, respectively, we have made the research in the two aspects from the new monetary policy impact on market liquidity and volatility.From the empirical results, the new monetary policy tools are not as expected to the medium-term market benchmark interest rate risk premium to produce enough impact. But SLF, MLF, SLO is significant for the influence of short-term interest rate spreads. And from the perspective of a smooth market volatility on the target, the implementation of the new monetary policy affects the overnight interest rate volatility. According to the results of the model fitting is the most significant impact on the volatility of MLF, followed by SLO, SLF. From the point of specific role, MLF in market interest rates, showing the effect of reducing volatility, while SLO and SLF to expand the volatility. This illustrates the new monetary policy needs to be improved in China to further promote the healthy development of China's financial markets.