本文选取2002年—2019年经济政策不确定性与银行间市场、债券市场主要利率的代理变量,引入MS-VAR模型探究经济政策不确定性对利率市场的动态影响机制。研究发现：一是经济政策不确定性具有“不可避免”性,会对企业、居民和多个金融市场造成冲击。二是当经济政策不确定性出现或增多时,银行间市场、债券市场主要利率会下降,期限较长的利率降幅更大,金融危机时期利率的负反馈效应更明显。三是经济政策不确定性会导致期限更短的国债和企业债利率出现先升后降的态势。四是在经济发展平稳、政策预期明朗时期,经济政策不确定性产生的负面冲击易被市场主体内部吸收。最后针对经济政策制定者和投资者提出了相应的建议。
By selecting the proxy variables of economic policy uncertainty and main interest rates of interbank market and bond market from 2002 to 2019, this paper uses MS-VAR model to explore the dynamic impact mechanism of economic policy uncertainty on interest rate markets. We've drawn the following conclusions. Firstly,economic policy uncertainty is"inevitable"and will have a negative impact on businesses, residents and financial markets. Secondly, when economic policy uncertainty appears or increases, the main interest rates in the interbank market and bond market generally decline. Interest rates with longer maturities fall more sharply, and the negative feedback effect of interest rates during the financial crisis is more obvious. Thirdly, the uncertainty of economic policies leads to the rise and then fall of the interest rates on treasury bonds and corporate bonds with shorter maturities. And when economic development is stable and policy expectations are clear, negative shocks are easily absorbed by market themselves. This study focuses on the economic policy uncertainty and interest rate markets, and provides important references for policy authorities, investors and other market entities.
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