我国货币供应方式对市场利率的影响

The Effect of China's Monetary Supply on the Market Interest Rate

本文选用2002年至2012年的中国月度数据,采用Johansen协整检验和VEC模型分析的方法,实证研究基础货币同比增长率(MB)和法定存款准备金率同比增长率(RR)联合影响90天期限的全国银行间同业拆借利率(N90D)。结果表明:RR变动是N90D变动的Granger极其显著的原因;MB变动不是N90D变动的Granger原因;MB变动和RR变动两者联合是N90D变动的显著Granger原因,N90D与MB、RR存在长期均衡关系:RR每上升1%,N90D就会上升20.75%,MB每上升1%,N90D就会下降0.47%。法定存款准备金率变动造成市场利率剧烈波动,而公开市场操作对市场利率影响微弱。本文特提出政策建议:1、进一步推进利率市场化;2、减少法定存款准备金率的使用;3、货币政策中介目标逐步过度到利率指标。

This paper chooses China monthly data from 2002 to 2012, using Johansen cointegration test and VEC model analysis method, empirical studies that both the monetary base monthly year-on-year growth rate （MB） and the legal deposit reserve rate monthly year-on-year growth rate （RR） jointly affect the national interbank lending rates of 90 days （N90D）. Results show that in monthly, RR change is extremely remarkable Granger cause of N90D change alone; MB change is not Granger cause of N90D change alone; both MB change and RR change jointly is a significant Granger cause of N90D change, both N90D change and RR change alone or jointly is a significant Granger cause of MB change. N90D is negatively related to the MB which is a long-term equilibrium relationship： MB each rose 1%, N90D will drop 0.47%; N90D is positively correlated with RR which is long- term equilibrium relationship： each RR rose 1%, N90D goes up by 20.75%. The RR impact on N90D is extremely strong. The MB impact on N90D is extremely weak. This paper presents policy recommendations： 1. promote interest rate marketization; 2. reduce the use of the legal deposit reserve rate; 3. transform monetary policy intermediary target indicators gradually into interest rates.