我国货币政策利率传导渠道的体制转换特征——利率市场化改革进程中的考察

The Regime Switching Characteristic of China's Monetary Policy Transmission via Interest Rate Channel

本文考察了我国利率市场化改革进程中货币政策利率传导渠道效应的体制转换特征。实证结果表明:1978年第一季度至2009年第二季度期间我国货币政策传导的管制利率渠道发生了两次体制转换,转换之后贷款基准利率调整对产出和物价水平的效应都降低了。1996年1月至2009年7月期间我国货币政策传导市场利率渠道发生了一次体制转换,转换之后同业拆借利率变动平抑产出和物价波动的效果都更强劲、更持续。这意味着我国的利率市场化改革取得了阶段性成果,也意味着我国利率调控由直接方式逐渐转向主要依靠间接方式不仅是必要的,也是可行的。

This essay explores the regime switching characteristic of China＇s monetary policy transmission via interest rate channel during the process of market based reform of interest rate. The empirical results show that： （1） From the first quarter of 1978 to the second quarter of 2009, there occured two regime switching in China＇s monetary policy transmission via regulated interest rate channel. After these two regime switching, the effects of benchmark lending rate adjustment on the output and the price level have all been weekened; （2） From January of 1996 to July of 2009, there happened one regime switching in China＇s monetary policy transmission via market interest rate channel. After this regime switching, the effects of inter- bank offered rate variation in reducing price level and output volatility have become more strong and persistent.