Abstract:

Using the micro-data of the bond market, this paper takes advantage of a double difference model to examine the impact of the implementation of structural monetary policy on the transmission efficiency of short-term interest rates in the money market to bond interest rates, bringing the uncertainty of the economic environment into the unified analysis framework. The results show that the implementation of structural monetary policy makes the transmission efficiency of short-term interest rates in the money market to bond interest rates increase, while the uncertainty of the economic environment significantly inhibits this efficiency. The joint effect test found that the uncertainty of the economic environment weakens the positive impact brought by the structural monetary policy, making the sensitivity of bond interest rates to short-term interest rates in the money market decrease. Robustness test and parallel trend test confirm the reliability of the above conclusions. Heterogeneity analysis shows that the above conclusion is valid only for bonds listed on the Shanghai Stock Exchange and with a modified duration of 2 years or less.

Key words: structural monetary policy, uncertainty of economic environment, short-term interest rate in the money market, bond interest rate, interest rate transmission efficiency