中央银行基准利率、公开市场操作与间接货币调控——对央票操作及其基准利率作用的实证分析

Central Bank Benchmark Rate,Open Market Operations and Indirect Monetary Policy——Empirical Analysis on CBP Operations and Its Benchmark Role

20世纪90年代以来,以短期利率为目标进行间接货币政策调控已经成为世界各主要中央银行货币政策操作的普遍模式。本文首先以美国为例,分析公开市场操作与中央银行利率调控的主要模式,并对我国10余年来、特别是2003年以来的公开市场操作情况进行概述,分析指出央票利率已初步具备了中央银行基准利率的特征。实证分析表明,央票利率与主要货币市场利率具有长期协整关系,并且是货币市场利率的格兰杰原因;央票利率与产出缺口和通胀缺口还具有显著的线性关系,说明我国可以通过引导利率进行间接货币政策调控。最后,分析当前我国公开市场操作和间接货币政策调控存在的问题,并提出相应的政策建议。

Since 1990s,pursuing short-term target rate has become the popular monetary framework for mainly central banks.Based on the US experience,we demonstrate in this paper how open market operations (OMOs) and central bank target rates works,retrospect China’s RMB OMOs (esp.the OMOs since 2003),then point out that Central Bank Papers(CBP) rate has possessed the characteristics of central bank benchmark rate.The empirical analysis shows that there is co-integral relationships between CBP rate and mainly money market rates,and the CBP rate is the Granger causality.CBP rate has significant linear relationship with output gap and inflation gap,which means it’s possible to implement interest rate framework for China’s monetary policy.Finally,we analyze the problems of OMOs in China and raise some suggestions.