The Impact of Monetary Policy on Bond Prices Index — Empirical Study Based on VAR Model

Abstract

In this paper, the author studies that the effects of the intermediate target of monetary policy, money supply M2 and the interest rate R, and the ultimate goal of monetary policy, the CPI index, on SSE Government Bond Index based on VAR model. The paper mainly use the impulse response functions and variance decomposition measurement instruments. The results show that, although money supply, inflation and interest rates have some impact on Treasury prices, but the contribution of the three is less than 10%. Treasury prices are mainly affected by price volatility itself.