聯準會公開市場操作對美國市場短期利率的影響—以升息期間為例

The Impact of Fed OMOs on Short-term Interest Rate during US Rate Hike

王傑陽(Wang Jie-Yang)

指導教授 ： 岳夢蘭

國立政治大學/商學院/財務管理學系/碩士(2020年)

https://doi.org/10.6814/NCCU202001242

摘要

2008 年金融危機後，聯準會開啟了 LSAP 的措施為市場注入大量的流動性， 同時也快速擴大了聯準會的資產負債表與銀行存款機構的準備金規模，讓聯準會 的貨幣政策轉向利率下限操作體系。聯準會在 2015 年宣佈要進行貨幣正常化， 並制定相關措施以收回先前大量膨脹的市場資金。
本研究使用 2015/07/01~2019/06/30 的資料，利用最近一次美國的升息期間 資料，檢驗短期資金利率對此段期間內主要政策的反應。由於銀行體系準備金的 大幅膨脹，聯準會利用控制準備金來達到貨幣政策目標預期將會減弱，本研究希 望能為短期利率的變化與政策的交互關係得到實證的證明。
結果顯示，聯準會縮表會降低 SOFR 利率，但對 EFFR 影響並不顯著，而 ON RRP 操作量則推測能反映市場對於資金的需求大小，與 EFFR 呈現反向關係，而 與 SOFR 呈現正向關係。接著，雖然會降低準備金規模的政策，對 EFFR 利率之 影響在本研究結果並不顯著，然而發債和縮表對於市場準備金的影響仍是減少的。 最後，季末時金融機構也有顯著的資金需求，並有導致 EFFR 及 SOFR 利率上升 的影響。因此對於聯準會於升息期間的政策來說，仍應該有機制地來解決季末市 場資金流動性降低的問題，增加其對短期資金利率的掌握度。

關鍵字

聯準會 ； 貨幣政策 ； 升息 ； 短期資金利率

並列摘要

The financial crisis in 2008 enabled the Fed to start LSAP which injected liquidity into the market. The balance sheet of Fed and reserves of banks rapidly expanded in the same time, causing the Fed to change its monetary policy object. Fed started to use the Floor system and announced relative plans of Monetary Policy Normalization during 2015.
This study uses the data from 2015/07/01 to 2019/06/30 to examine the response of short-term money market interest rates to major policies during latest U.S. rate hike period. It is no longer possible to achieve monetary policy goals by only maintaining the amount of reserve. The purpose of this study is to provide empirical evidence for the interaction between short-term interest rate and these policies.
The empirical result shows that the Fed’s balance sheet reduction will decrease SOFR, but not significant for EFFR, moreover, the amount of ON RRP can reflect the market's demand for money. ON RRP amount has a negative relationship with EFFR and a positive relationship with SOFR. And, although the impact of reserve requirements is not significant in this study, both the impact of debt issuance and Fed’s balance sheet reduction exert pressure on the bank reserves. Finally, financial institutions also have significant funding requirements at the end of the quarter. As for the policy during rate hike period, a mechanism to market liquidity control in the end of the quarter should be strengthened to increase Fed’s grasp of short-term money market interest rates.

並列關鍵字

FED ； Monetary Policy ； Rate Hike ； Short-term interest rate

參考文獻

一、 英文文獻

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