经济政策不确定性对中期票据定价效率的影响研究
Research on the Impact of Economic Policy Uncertainty on the Pricing Efficiency of Medium Term Notes

对于中期票据市场而言，定价效率是市场价格发现功能的重要体现，也是衡量市场是否有效运行的重要手段。然而与中期票据的迅猛发展相比，其资产价格尚不能及时反映发债主体信息价值的现象仍然存在。本文基于我国经济环境不确定性明显增强的背景，以2010年第一季度至2022年第四季度15,149只中期票据156个月的交易数据为样本，建立PVAR面板向量自回归，旨在研究经济政策不确定性如何影响投资者的情绪和行为，进而传导到中期票据市场的定价效率上。模型结果表明：经济政策不确定性、投资者情绪是中期票据定价效率的变动的原因。经济政策不确定性会给定价效率施加负向的冲击，进一步的，较高的经济政策不确定性将会扰乱投资者对未来走势的心理预期，给投资者带来负面情绪，进而降低定价效率。鉴于此结论，本文从政府和投资者两个角度提出了相关对策建议。
For the medium-term note market, pricing efficiency is an important reflection of the market’s price discovery function and an important means of measuring whether the market is operating effectively. However, compared with the rapid development of medium-term notes, the phenomenon that its asset price is not yet able to reflect the information value of the main body of debt issuance in a timely manner still exists. Based on the background of significantly increasing uncertainty in China’s economic environment, this paper builds a PVAR panel vector autoregression with 156 months of trading data of 15,149 medium-term notes from the first quarter of 2010 to the fourth quarter of 2022, aiming to study how economic policy uncertainty affects investor’s sentiment and behaviour, which is then transmitted to the pricing efficiency of the medium-term note market. The results of the model suggest that economic policy uncertainty and investor sentiment are responsible for the changes in the pricing efficiency of medium-term notes. Economic policy uncertainty will exert a negative impact on pricing efficiency, and furthermore, a high level of economic policy uncertainty will disturb investors’ psychological expectations of future trends, bring negative emotions to investors, and thus reduce pricing efficiency. In view of this conclusion, this paper proposes countermeasures from both government and investor perspectives.