上调存款准备金率对市场利率结构的影响研究——基于流动性过剩时期的经验证据

The Impact of Raising Deposit Reserve Ratio on the Market Interest Rates Structure——Empirical Evidence Based on the Period of Excess Liquidity

本文运用事件研究法,对2006年—2008年间流动性过剩条件下,我国14次上调存款准备金率事件对不同期限市场利率的影响效应进行了实证研究,结果显示:(1)隔夜、一周、两周和一个月期限的市场利率对上调政策的反应不显著,而三个月及以上期限的市场利率却有显著的正向反应;(2)政策的宣告效应明显强于执行效应,而执行上调会造成市场利率更大的波动性;(3)我国货币市场的学习效应强,而预期效应较弱。最后提出了相应的政策建议。

The paper uses event study method to analyse empirically a different term interbank market interest＇s reaction on deposit reserve ratio under China＇s excess/iquidity conditions in 2006 - 2008, and the results show that, market interest increuse overnight, one week, two weeks and one month response inadequately to the policy, while above three-month term market interest rates has significantly positive reaction to the policy; announcement effect is stronger than that of implementation effects, while implementation will result to market interest rates greater volatility. Meanwhile, the study effect is stronger than that of expected effect in China＇s currency market. So the paper makes some policy recommendations.