中国货币政策利率传导效率研究:2008-2017

Research on the Efficiency of China's MonetaryPolicy Interest Rate Transmission: 2008-2017

随着利率市场化进程的不断推进以及商业银行利率定价机制的发展,中国货币政策利率的传导效率也不断提高。基于2008年1月-2017年6月的宏观时间序列数据和微观调研数据,本文检验了中国货币政策利率对银行贷款利率的传导效率。总体而言,基准利率是影响金融机构贷款加权平均利率的主要因素。分时间段看,贷款利率浮动限制放开之后,货币市场利率对金融机构贷款利率的传导效率显著提升;基准利率对金融机构贷款利率的影响略有下降,但仍然占主导。对商业银行贷款利率定价的微观机制进行探讨后,本文发现贷款利率定价机制的变化是中国利率传导效率出现变化的主要原因。进一步的分析表明,资金来源和市场利率波动均是影响货币市场利率传导效率的重要因素。最后,本文就如何提高货币政策利率传导效率提出了政策建议。本文研究对完善价格型货币政策体系以及中国货币政策框架转型具有重要的实践意义。

With the progress of interest rate liberalization and the development of commercial bank interest ratepricing mechanism,the efficiency of China's monetary policy via interest rate channel has also been continuous-ly improved. Based on the macro time series data and micro survey data from January 2008 to June 2017,weexamine the efficiency of China's monetary policy interest rate transmission to loan interest rates. In general,thebenchmark interest rate is the main factor that affects the loan interest rates. After the restrictions on loan inter-est rate was cancelled,the efficiency of the money market interest rate transmission to loan interest rates wassignificantly increased. At the same time,the influence of the benchmark interest rate on the loan interest rateswas slightly reduced,but still dominated. Through case analysis,we find that it is the micro-mechanism ofcommercial bank loan interest rate pricing which changes the monetary policy interest rate transmission. Furtheranalysis shows that sources of funds and fluctuations in market interest rates are important factors affecting theefficiency of money market rate transmission. This paper has important practical significance for improving china's price-based monetary policy system and the transformation of China's monetary policy framework.