摘   要

　　本文使用動態隨機一般均衡模型，估算在2024年經濟社會發展主要預期目標下，我國以10年期國債收益率為代表的中長期利率錨均衡值的合意水平為2.49%，波動上限為2.81%，下限為2.17%。在“資產荒”背景下，本文研究測算匹配經濟發展目標的基準利率合意水平值，從經濟運行情況、成本收益分析及內外部市場擾動因素影響等方面，探討均衡回歸基礎條件，得出利率錨波動上行回歸均衡長期趨勢的結論，通過釋放利率錨波動方向信號，緩釋市場風險，引導中長期資產價格回到合理水平區間，保障既定目標穩定順利實現。

　　關鍵詞

　　“資產荒”　10年期國債收益率　利率錨

　　引言

　　2024年5月，中國人民銀行在一季度貨幣政策執行報告中提到，長期國債收益率是作為金融市場定價基準的國債收益率曲線的重要組成部分，主要反映長期經濟增長和通脹預期。2024年以來，以10年期國債收益率為代表的中長期國債收益率持續下行，一定程度上受到了市場缺乏安全資產等因素的擾動。上半年，由于銀行、保險等金融機構資產配置需求集中釋放，投資者無風險資產需求上升，債券市場投資的需求相應增多，“資產荒”局面形成且短期內難以改善。在投資者追逐相對安全資產的大背景下，估算表征金融市場定價基準的10年期國債收益率的合意區間，引導中長期資產價格合理波動，緩釋市場風險，就顯得尤為迫切。

　　動態隨機一般均衡模型（DSGE）基于微觀主體的最優行為選擇，能夠有效分析宏觀經濟的運行機制，可以得到具有微觀基礎的宏觀經濟模擬結果。因此，本文從居民、企業家、金融部門等經濟主體買賣國債的微觀經濟行為出發，考慮財政部門政府債券發行、中央銀行貨幣政策操作等因素，以及國內、國外定價機制聯動等情況，構建DSGE模型，以中債國債收益率數據為基礎，使用貝葉斯（Bayesian estimation）技術，估算“資產荒”背景下，匹配既定經濟增長目標的合意利率錨均衡水平及波動區間，為金融資產定價、財政政策和貨幣政策調整提供參考。

　　構建模型

　　本文以中債研究所課題成果《我國均衡利率估算和國債收益率曲線研究》為建?；A，構建包含家庭部門、企業家部門、金融機構部門、生產廠商部門、中央銀行部門（貨幣政策）、政府機構（財政政策）、國外部門等7部門的DSGE模型。

　　（一）家庭部門

　　家庭部門最大化預期一生效用，效用函數為（1），約束條件為（2）。各字母對應含義統一在附表中列示。

　　（二）企業家部門

　　企業家最大化預期一生效用，效用函數為（3），約束條件為（4）（5）（6），通過債券發行和從銀行貸款為投資（生產資本）融資。企業家把資本租給廠商，廠商雇用勞動力進行生產，企業家獲得資本邊際收益，廠商從生產中獲益。

　　（三）金融機構部門

　　在金融機構貨幣創造資金流動方程基礎上，可以得到目標函數（7），其中Cost為金融機構的管理成本，一般設定為二次函數形式，再結合無套利均衡條件，可以解得金融部門的最優行為方程式。

　　（四）生產廠商部門

　　廠商追求利潤最大化，優化可得：

　　進而得到價格演進方程：

　　（五）中央銀行部門

　　中央銀行執行貨幣政策操作，假設遵循數量型規則，即：

　　內生化存款準備金率調整規則，設定存款準備金率行為方程，同時考慮存款準備金利率調整模式，即可得到中央銀行部門的行為方程組。

　　（六）政府部門

　　政府部門預算收支平衡，即：

　　（七）國外部門

　　模型設定我國為開放型經濟體，境內資產價格、資本價格水平受到境外經濟體影響，按照一價定律、利率平價理論：

　　包括我國在內的世界金融市場均衡條件：

　　結合開放經濟的約束條件，可以得到開放經濟條件下的最優行為方程。

　　設定沖擊方程，各市場同時出清，將各模塊最優一階條件和約束條件整合匹配，綜合可得本文DSGE模型方程組體系。

　　模擬估算

　　（一）數據處理

　　本文使用近10年數據，區間為2014年至2023年，頻率為季度，選取國內產出、通貨膨脹、貨幣供應量、債券收益率、房屋價格等五個內生變量為觀測變量，基于萬得（Wind）數據庫，使用國內生產總值（GDP）、居民消費價格指數（CPI）、廣義貨幣（M2）、中債國債收益率、房價指數等數據作為基礎數據。

　　2024年《政府工作報告》提出，今年發展主要預期目標是GDP增長5%左右，CPI漲幅為3%左右?；诖耍疚脑O定2024年GDP、CPI合意增長率分別為5%、3%，將M2的合意增長率設定為8%（GDP預期增長率加CPI預期增長率），房價預期下降幅度控制在1%以內，可以得到本文完整季度頻率數據，據此估算2024年利率錨均衡水平的合意值。

　　（二）模擬估計

　　從模型模擬特征看，模型準確捕捉到了GDP、CPI、M2等關鍵內生變量的波動特征。模型模擬經濟中內生變量一階自相關系數變動特征也與實際經濟較為相近，因此可以判斷本文動態隨機一般均衡模型模擬經濟的有效性。

　　從模型估計特征看（見圖1），馬爾科夫蒙特卡洛單變量收斂診斷（MCMC收斂診斷）圖可以說明本文所有參數估計結果的有效性。

　　從均衡利率估算具體數值特征看，根據參數的貝葉斯估計結果（見表1），可以模擬計算出利率錨的均衡值水平為2.49%，均衡值波動上限為2.81%，均衡值波動下限為2.17%。今年以來，利率錨實際運行值與均衡值區間對比如圖2所示。

　　結果分析

　　自2024年以來，從10年期國債收益率的實際運行情況看，只有1月在均衡值水平上方波動；2月初向下跌破均衡值之后，在均衡值水平附近波動一個月左右；3月即開始加速向下，持續偏離均衡水平向下波動；4月底下探之后逐漸向均衡水平回歸；6月又表現出漸次偏離均衡水平的趨勢。最新數據（6月14日）顯示，10年期國債收益率為2.2558%，較均衡水平低約23BP。從整體看，年初以來，10年期國債收益率平均值為2.36%，較均衡水平低13BP。具體來看，今年經濟實際運行情況、10年期國債收益率下降的邊際效應，以及內外部市場擾動因素等方面，以10年期國債收益率為代表的利率錨具備向上進行均衡回歸的條件。

　　（一）從經濟運行情況來看，利率錨逐漸向上回歸均衡水平有數據支撐

　　一季度GDP增長率為5.3%，經濟運行結果好于預期，CPI溫和回升，工業生產者出廠價格指數（PPI）降幅減小，采購經理指數（PMI）生產指數處于擴張區間，說明前期政策效果正在持續顯現。當前，10年期國債收益率持續偏離均衡水平，大幅低于合意目標值，中長期資產價格風險凸顯，市場情緒波動較大，資產價格的大幅波動可能影響到人民幣幣值穩定和我國今年經濟增長目標的實現。盡管市場中利率已處于較低水平，繼續向下的壓力較大，但貨幣政策操作仍有空間，未來也不排除降息降準的可能。貨幣政策主要壓力已轉向強化逆周期和跨周期調節，抑制經濟非理性大幅波動，更好地保障經濟平穩健康發展?？紤]到一季度經濟數據強于預期，貨幣政策操作應更具靈活性，通過預期引導、公開市場操作等，調節基準利率回歸均衡水平，穩定資產價格，防范化解金融風險。

　　（二）從邊際效應看，利率錨偏離均衡水平繼續下行成本遠超收益

　　2023年以來，作為長期存款利率錨的10年期國債收益率持續下行，帶動存款利率不斷下降，在維持銀行凈息差，留足貸款利率下調空間，降低實體經濟融資成本，為經濟發展提供寬松貨幣金融環境方面發揮了重要作用。但銀行通過手工補息等方式高息攬儲，提高負債成本的情況仍普遍存在，在一定程度上影響了銀行凈息差。公開數據顯示，2024年一季度銀行業平均凈息差來到1.54%的低位，已低于維持利潤的合理區間，可能會影響到銀行業服務實體經濟的穩定性和可持續性。因此，4月以來，監管部門和市場自律機構紛紛引導壓低商業銀行發債成本，明確嚴禁手工補息高息攬儲，阻止凈息差繼續下降。另外，存款利率下降空間已經十分有限，再通過降低10年期國債收益率帶動存款利率下行的邊際作用較小，而由此導致由市場承受的邊際成本卻比較大，可見10年期國債收益率已無持續下降的政策基礎。

　　（三）從內外部市場擾動因素看，利率錨均衡回歸是大概率事件

　　一是“資產荒”情況會不斷得到緩解。今年以來，10年期國債收益率持續下行，也受到市場中長期優質資產缺乏因素的影響。今年政府債券發行總量目標較大，遵循既定的發行節奏，上半年長期債券品種供給速度低于預期，市場長期優質資產緊張。此外，由于地方債發行進度放緩，市場中一部分計劃配置地方債的資金流向國債市場，國債收益率不斷降低，多因素疊加，導致出現超長期特別國債發行受到市場追捧、交易所市場非理性交易等情況，預期“異?，F象”會隨著下半年中長期國債、地方債等發行提速的出現而逐漸消失。二是中美利差為均衡回歸提供助力。今年以來，中國10年期國債收益率與美國10年期國債收益率持續倒掛，利差不斷擴大，6月14日利差達194BP，國際資本逐利流動，人民幣匯率承壓較大。從穩定匯率的角度看，一定程度上會將壓力反向傳導至10年期國債收益率，促進均衡回歸，即通過提高境內無風險資產收益率水平，一方面吸引國際資本穩定投資境內市場，另一方面減小資本流出壓力，維護匯率穩定。

　　從本文模擬中可以看出，當前利率錨在均衡水平下方波動，短期內回歸到均衡值水平的壓力較大，但市場基準與政策目標之間的利差水平，也為財政政策、貨幣政策操作調整穩定市場提供了一定的參考。從長期來看，利率錨回歸均衡值的內生動力較足、外部助力較強，通過釋放基準利率向上回歸均衡水平的信號，帶動其他收益率指標穩步提升，引導長期資產價格回歸合理區間，以較小的政策調整成本，實現助力防范化解重大金融風險的目標。

　　參考文獻

　　[1] 李威． 存款利率市場化改革背景下的長期利率錨研究[J]． 債券，2022（8）：51-56． DOI： 10.3969/j.issn.2095-3585.2022.08.013．

　　[2]尹雷，丁燁，吳靜． “低利率”環境下財稅政策調控效能檢驗與結構性政策工具選擇[J]． 財貿研究，2023，34（10）： 73-84．

　　[3]朱長法． 加強商業銀行債權投資利率風險管理 促進債券市場高質量發展[J]． 債券，2024（1）：7-11． DOI： 10.3969/j.issn.2095-3585.2024.01.003．

　　◇ 本文原載《債券》2024年7月刊

　　◇ 作者：中央結算公司客服中心　李威

　　◇ 編輯：鹿寧寧

　　Research on Target Value of Long-term Interest Rate Anchor under the Background of “Asset Crunch”

　　Li Wei

　　Abstract

　　In this paper， the dynamic stochastic general equilibrium （DSGE） model is used to estimate that， given China’s annual targets for economic and social development in 2024， the desirable equilibrium value of China’s medium- and long-term interest rate anchors represented by the 10-year China Government Bond （CGB） yield is 2.49%， with a ceiling of 2.81% and a floor of 2.17%． Under the background of “asset crunch”， this paper studies and calculates the desirable value of the benchmark interest rate matching the economic development targets， discusses the basic conditions for equilibrium regression from the perspectives of economic performance， cost-benefit analysis and the impact of internal and external market disturbance factors and draws the conclusion that the interest rate anchor will fluctuate upwards and return to the equilibrium long-term trend． By releasing the signals of interest rate anchor movements going forward， the market risk will be mitigated， and the medium- and long-term asset prices will be guided back to a reasonable range to ensure the steady and smooth realization of preset targets．

　　Keywords

　　“Asset crunch”， 10-year CGB yield， interest rate anchor

　　Foreword

　　In May 2024， the People’s Bank of China （PBOC） noted in its monetary policy implementation report for the first quarter that the long-term China Government Bond （CGB） yield is a crucial part of the CGB yield curve serving as a pricing benchmark in the financial market， and mainly reflects long-term economic growth and inflation expectations． In 2024 to date， the long-term CGB yield represented by the 10-year CGB yield has been moving downwards， partly due to disturbance from such factor as the lack of safe-haven assets in the market． In the first half of the year， investors had growing demand for risk-free assets amid intense release of asset allocation demand from banks， insurers and other financial institutions． The demand for bond market investment increased accordingly， resulting in an “asset crunch” that can hardly be eased in the near term． In the context of investors chasing safe-haven assets， it is particularly urgent to estimate the desirable range of the 10-year CGB yield， which represents the pricing benchmark of the financial market， to guide the reasonable fluctuations of medium- and long-term asset prices and mitigate market risks．

　　Dynamic stochastic general equilibrium （DSGE） models are based on the optimal behavior selection of micro-agents， effective in analyzing the operating mechanism of macro-economy and getting micro-founded macro-economic simulation results． Therefore， this paper builds a DSGE model based on the microeconomic behaviors of economic agents such as households， entrepreneurs and financial sector in buying and selling CGBs， taking into account such factors as government bond issuance， monetary policy operations， and the interactions between domestic and foreign pricing mechanisms． Using the Bayesian estimation， we estimate the desirable equilibrium level and fluctuation range of interest rate anchors matching the economic growth targets under the background of “asset crunch”， providing a point of reference for the pricing of financial assets and the adjustment of fiscal and monetary policies．

　　Construction of Model

　　In this paper， the research results of the ChinaBond Research Institute， titled “A Research on Interest Rate Anchor during the Deposit Rate Liberalization Reform”， are taken as the basis to construct a DSGE model that covers seven sectors， namely， households， entrepreneurs， financial institutions， manufacturers， central bank （monetary policy）， government agencies （fiscal policy） and foreign sector．

　　i． Households

　　The household sector maximizes expected lifetime utility with utility function （1） and constraint （2）． The meanings of relevant letters are shown in the Schedule attached．

　　ii． Entrepreneurs

　　The entrepreneurs maximize the expected lifetime utility with the utility function （3） and constraints （4）， （5） and （6）， funding their investments （production capital） by issuing bonds and borrowing from banks． The entrepreneurs lease the capital to manufacturers， which employ the labor force to produce products． The entrepreneurs earn a marginal return on the capital， and the manufacturers benefit from the production．

　　iii． Financial institutions

　　An objective function （7） can be obtained based on the money creation flow-of-funds equation of financial institutions， where Cost is the management cost of financial institutions． It is generally set as a quadratic function． With the condition of no-arbitrage equilibrium in place， the optimal behavior equation of the financial sector can be solved．

　　iv． Manufacturers

　　Manufacturers seek to maximize profits． After optimization， we will get：

　　Then a price evolution equation is obtained：

　　v． Central bank

　　The central bank performs monetary policy operations． Assuming that quantitative rules are followed：

　　The behavioral equations of the central bank can be obtained by internalizing the required reserve ratio （RRR） adjustment rules， setting the RRR behavior equation and considering the RRR interest rate adjustment mode．

　　vi． Government

　　The government sector has a balanced budget：

　　vii． Foreign sector

　　The model assumes that China is an open economy， and domestic asset prices and capital prices are influenced by overseas economies． According to the law of one price and the theory of interest rate parity：

　　Equilibrium conditions of the global financial market including China：

　　Taking into account the open economy constraints， the optimal behavior equation under the open economy condition can be obtained．

　　With the shock equation set， all markets cleared at the same time and the optimal first-order conditions and constraints of each module integrated and matched， we can get a system of DSGE model equations in this paper．

　　Simulation-based Estimation

　　i． Data processing

　　This paper uses the data in the past 10 years ranging from 2014 to 2023， with a quarterly frequency． Five endogenous variables， namely， domestic output， inflation， money supply， bond yield and housing price， are selected as observed variables． Based on the Wind database， the gross domestic product （GDP）， consumer price index （CPI）， broad money （M2）， CGB yield， and housing price index are used as basic data．

　　According to the Government Work Report for 2024， China’s targets for the year are GDP growth of about 5.0% and CPI increase of about 3%． On that basis， the desirable growth rate of GDP and CPI in 2024 is set at 5% and 3% respectively， the desirable growth rate of M2 is set at 8% （the expected growth rate of GDP plus the expected growth rate of CPI）， and the expected decline rate of housing prices is controlled within 1%， so that the complete quarterly data can be obtained in this paper as the basis for estimating the desirable equilibrium of the interest rate anchor in 2024．

　　ii． Simulated estimation

　　From the perspective of model simulation characteristics， the model accurately captures the fluctuation characteristics of key endogenous variables such as GDP， CPI and M2． The first-order autocorrelation coefficients of endogenous variables in the economy simulated by the model show similar change characteristics to those in the real-world economy， evidencing the effectiveness of the DSGE model in simulating the economy in this paper．

　　From the model estimation features （see Figure 1）， the Markov Chain Monte Carlo univariate convergence diagnostics （“MCMC Convergence Diagnostics”） diagram can illustrate the validity of all parameter estimation results in this paper．

　　As for the specific numerical characteristics of the equilibrium interest rate estimates， according to the Bayesian estimation results of the parameters （see Table 1）， the equilibrium level of the interest rate anchor can be simulated and calculated at 2.49%， with its movements subject to a ceiling of 2.81% and floor of 2.17%． The actual value versus equilibrium value of the interest rate anchor in 2024 to date are shown in Figure 2．

　　Analysis of Results

　　As shown by the actual movements of the 10-year CGB yield in 2024 to date， only January saw movements above the equilibrium level． After falling below the equilibrium level in early February， the yield fluctuated around the equilibrium for about a month． It began to move lower faster in March， showing continuing downward fluctuations away from the equilibrium level． After touching a low in late April， the yield gradually returned to the equilibrium level． In June， it showed a trend of gradually deviating from the equilibrium． The latest data （June 14） showed the 10-year CGB yield at 2.2558%， about 23bps below its equilibrium level． On the whole， the average 10-year CGB yield was 2.36% in 2024 to date， 13 bps below the equilibrium level． Specifically， in terms of the actual economic performance this year， the marginal effect of the 10-year CGB yield decline and internal and external market disturbance factors， the interest rate anchor represented by the 10-year CGB yield is ready to move higher and return to the equilibrium．

　　i． From the perspective of economic performance， data supports a gradual return of the interest rate anchor to its equilibrium level

　　In the first quarter， the GDP growth rate was 5.3%， and the economic performance was better than expected， the CPI picked up moderately， the decline of the producer price index （PPI） slowed down， and the purchasing managers index （PMI） was in the expansion range， indicating that the earlier policies continued to work． At present， the 10-year CGB yield continues to deviate from the equilibrium level， significantly lower than the desirable target value． The price risk of medium- and long-term assets has become prominent， and market sentiments are volatile． The wide fluctuations in asset prices may destabilize the RMB value and have an adverse effect on China’s push for its economic growth target． The market interest rate is already low but still under significant downward pressure． However， there is still room for monetary policy operations， and further cutting interest rates and RRR are still possible going forward． The main pressure on monetary policy has shifted to strengthening counter-cyclical and cross-cyclical adjustments， curbing irrationally wide economic fluctuations and better ensuring steady and healthy economic growth． Taking into account the stronger-than-expected economic data in the first quarter， monetary policy operations should be more flexible， so as to bring the benchmark interest rate back to the equilibrium level through the guidance of expectations and open market operations， stabilize asset prices and forestall and defuse financial risks．

　　ii． From the perspective of marginal effect， the interest rate anchor deviates from the equilibrium level and the cost far exceeds the benefit

　　Since 2023， the 10-year CGB yield as the interest rate anchor for long-term deposits has been on the decline， driving the deposit rates lower． It plays a crucial role in maintaining banks’ net interest margin （NIM）， leaving enough room for lending rate reduction， reducing the financing cost of the real economy and providing an easy monetary and financial environment for economic development． However， it is still common for banks to attract deposits with higher interest rates and increase the cost of liabilities through manual interest compensation， which increases the cost of liability and weakens the NIM of banks． Publicly available data shows that the average NIM of the banking industry in the first quarter of 2024 came to a low of 1.54%， below the reasonable range necessary to remain profitable， which may affect the stability and sustainability of banking services for the real economy． Since April， therefore， regulatory authorities and self-regulatory organizations have guided commercial banks to lower the cost of issuing bonds and clearly prohibited the competition for deposits with higher interest rates by means of manual interest compensation， thereby preventing any further decline in NIM． In addition， there is very limited space for further deposit rate cuts， and lowering the 10-year CGB yield will have a weak margin effect in driving deposit rates downwards， while the marginal cost borne by the market participants is relatively high． It is obvious that there is no policy basis for continued drops in the 10-year CGB yield．

　　iii． From the perspective of internal and external market disturbance factors， interest rate anchor will likely return to equilibrium

　　First， the “asset crunch” will be gradually eased． The 10-year CGB yield has been moving lower since the beginning of 2024， partly due to the lack of medium- and long-term high-quality assets in the market． China has planned a large size of government bond issuance this year． With the issuance paced as scheduled， the supply of long-term bonds was slower than expected in the first half of the year， and the market is tight in long-term high-quality assets． In addition， given the slowdown in the issuance of local government bonds， some funds originally targeted at local government bonds have been diverted toward the CGB market， driving the CGB yield lower． With various factors combined， the ultra-long-term special CGBs have been much sought after among market participants， giving rise to irrational transactions in the exchange market． It is expected that the unusual market activity will fade away as the issuance of medium- and long-term CGBs and local government bonds will be accelerated in the second half of the year． Second， the China-US interest rate spread gives a boost to the return to equilibrium． Since the beginning of this year， the 10-year CGB yield and the US 10-year Treasury yield have remained inverted， and the spread has been expanding to reach 194 bps on June 14． The resultant international capital flows put RMB exchange rate under great pressure． From the perspective of stabilizing exchange rate， the pressure will， to some extent， be transmitted to the 10-year CGB yield and drive a return to equilibrium． That is， by increasing the yields on domestic risk-free assets， international capital will be attracted and retained in the domestic market， and the capital outflow pressure will be eased to keep exchange rate stable．

　　It can be seen from the simulation in this paper that the current interest rate anchor fluctuates below the equilibrium level， under significant pressure of returning to equilibrium in the short term． However， the spread between the market benchmark and the policy target also provides a certain reference for fiscal policy and monetary policy adjustments to stabilize the market． In the long run， there is strong endogenous driving force and external support for the interest rate anchor’s return to the equilibrium． By releasing the signal of the benchmark interest rate returning to equilibrium， other yield indicators will be driven steadily higher， and long-term asset prices will be guided back to a reasonable range， so as to successfully forestall and defuse major financial risks at a low cost of policy adjustments．

　　This article was first published on Bond Monthly （ Jul． 2024）．Please indicate the source clearly when citing this article． The English version is for reference only， and the original Chinese version shall prevail in case of any inconsistency．

　　References

　　[1] Li Wei． Research on Long-term Interest Rate Anchor under the Background of Deposit Rate Liberalization[J]． China Bond， 2022（8）： 51-56． DOI： 10.3969/j.issn.2095-3585.2022.08.013．

　　[2] Yin Lei， Ding Ye， Wu Jing． Effectiveness Test of Fiscal and Tax Policy Regulation and Choice of Structural Policy Tools under the “Low Interest Rate” Environment [J]． Finance and Trade Research 2023， 34（10）： 73-84．

　　[3] Zhu Changfa． Strengthening Interest Rate Risk Management of Debt Investments of Commercial Banks， Promoting High-quality Development of the Bond Market [J]． China Bond， 2024（1）：7-11． DOI： 10.3969/j.issn.2095-3585.2024.01.003．

　　◇ Author from： CCDC Customer Service Center

　　◇ Editor： Lu Ningning

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