利率双轨制与中国货币政策实施

Dual-track Interest Rates and the Conduct of Monetary Policy in China

中国经济目前处于利率双轨制之下:银行体系中被管制的存贷款利率和基本由市场决定的货币和债券市场利率共存。利率双轨制是中国渐进式改革的一部分,也是理解中国货币政策框架的关键。以存款利率上限为核心的利率双轨制决定了中国货币政策中数量与价格工具并存的特点,也意味着中国货币政策传导机制不同于发达国家。本文通过一个新的理论模型来解释利率双轨制下的中国货币政策传导机制,描述了在不同情形下,货币政策目标如何通过各种政策工具传导至市场利率,并和信贷总规模一起实现货币政策对实体经济的调控。该理论模型的基本思路是:价格管制带来的扭曲需要由数量管制来纠正。实证模型结果显示:首先市场利率对基准存款利率调整最敏感,其次是存款准备金率的调整,公开市场操作在利率双轨制下效果则不太显著。

China has a dual-track interest-rate system： bank deposit and lending rates are regulated while money and bond rates are market-determined. The central bank also imposes an indicative target, which may not be binding at all times, for total credit in the banking system. We develop and calibrate a theoretical model to il- lustrate the conduct of monetary policy within the framework of dual-track interest rates and a juxtaposition of price- and quantity-based policy instruments. We model the transmission of monetary policy instruments to mar- ket interest rates, which, together with the quantitative credit target in the banking system, ultimately are the means by which monetary policy affects the real economy. The model shows that market interest rates are most sensitive to changes in the benchmark deposit interest rates, significantly responsive to changes in the reserve requirements, but not particularly reactive to open market operations. These theoretical results are verified and supported by both linear and GARCH models using daily money and bond market data. Overall, the findings of this study help us to understand why the central bank conducts monetary policy in China the way it does： distor- tions caused by price-based instruments have to be corrected by quantity-based instruments.