Research On The Effectiveness Of Interest Rate Swap Curve In China's Monetary Policy Interest Rate Transmission

Along with the continuous reform of China's interest rate marketization,the central bank's monetary policy regulation target is gradually shifting from quantity to price,which also means that the central bank will put more emphasis on the channel of interest rate transmission of monetary policy.In recent years the RMB interest rate swap market has developed rapidly.Therefore,in the channel of interest rate transmission of monetary policy,whether swap curve can be more effective than treasury yield curve is an interesting and important issue worth studying.At present,the theoretical models and empirical methods of the transmission effect of monetary policy in the international academic circles are relatively comprehensive,but the analysis of the transmission mechanism of monetary policy in China mostly remains at the conceptual and qualitative level.Even if there is quantitative research,it is limited to a few methods.The misleading conclusions due to the limitations of models and data cannot be avoided,so the reference value for decision making is limited.This paper attempts to adopt internationally mature empirical research methods to conduct a comprehensive study of the monetary policy interest rate transmission mechanism from the perspectives of the transmission efficiency of the monetary policy on the interest rate swap curve and the validity of the interest rate swap curve itself.The results show that the influence of PBOC's monetary policy on treasury yield curve is about 20%-70% lower than that of swap curve,this means swap curve is better than treasury yield curve.This paper also performs no-arbitrage test on the curve based on the interest rate factor model,and finds that the interest rate swap curve has no-arbitrage characteristics.At the same time,the regression model corrected by the time-varying term premium shows that the forward interest rate implied in interest rate swap curve can significantly predict future spot rates.Based on event analysis,Beta model and SVAR general equilibrium analysis,no-arbitrage validity test and forecasting analysis of interest rate curve,the results show that the RMB interest rate swap curve can ben more effective in transmitting of monetary policy,which can provides a reliable reference for the central bank to improve the effectiveness and forward-looking of monetary policy price-based regulation and to achieve monetary policy targets through the channels of interest rate transmission.According to the conclusions,this paper puts forward policy recommendations.The regulatory authorities should further improve the efficiency of RMB interest rate swap market and Chinese government bonds market,and promote the transition of PBOC's price-based monetary policy.