利率走廊的理论与实证分析

Theoretical and Empirical Analysis of Interest Rate Corridor

该论文主要从理论与实证两个角度就走廊降低利率波动的问题进行了探讨:理论上,本文通过建立局部均衡模型说明走廊运作的具体机理,证明了缩减走廊宽度及提高走廊上限工具便利性有利于强化波动平抑功能;实证上,文章结合虚拟变量和GARCH模型对中国走廊波动平抑效果进行了检验。结论显示,2015年3月相比2015年11月下调SLF利率后,利率波动的下降更加明显。但前一次调控的幅度不及后一次。本文推测是2015年一季度SLF试点范围的扩大提升了上限工具的便利性并强化了2015年3月的调控效果。

The corridor's mechanism of reducing the volatility of interest rate is studied in this paper from two aspects :theory and empirical research.On the one side,by building a partial equilibrium model,the operating mechanism of interest rate corridor is illustrated and it is proved that the function of the corridor would be reinforced once the width is narrowed or the facility of the ceiling is improved. On the other side,by utilizing the dummy variable and GARCH model,an empirical research is conducted on the data from Chinese market.It is shown that the effect of the adjustment of SLF rate in March 2015 is more obvious than the one in November 2015,though the former one has a narrower range of adjustments.It is supposed that the enlargement of the scope of applicants in the first quarter of 2015 led to improved facility of SLF,resulting in the reinforcement of effects of the adjustment in March 2015.