货币市场利率、流动性供求与中央银行流动性管理——对货币市场利率波动的新分析框架

Money Market Interest Rates,Liquidity Supply and Demand,and Central Bank Liquidity Management:New Analytic Framework of Money Market Interest Rates Fluctuation

2013年我国货币市场利率大幅波动时出现了明显的利率回滞现象,传统的流动性供求分析框架难以解释。本文基于冲击不确定性、银行多样性和不完全的中央银行融资可得性假设,从微观出发构建了涵盖货币市场利率、流动性供求和中央银行流动性管理的分析框架,并基于我国数据进行实证分析。当货币市场利率上升突破合理水平时,中央银行应投放大量流动性至阈值水平,改善融资可得性,使利率快速回落。中央银行的适宜工具是通过常备借贷便利直接调控货币市场利率,为此需要提高其透明度和适用性。

A notable hysteretic downward movement of the interest rates was observed when the money market rates underwent big fluctuations in 2013, which was hard to be explained by the traditional framework of liquidity supply and demand analysis. This paper, based on the assumption of the diversification of banks, the uncertainty of shocks and the inadequate availablity of central bank liquidity support, formulates an analysis framework from a micro perspective incorporating money market interest rates, the liquidity supply and demand, and the central bank liquidity management, and also conducts empirical studies based on Chinese date to reach the conclusion： once the money market rates breach the reasonable upper limit, the central bank should immediately supply massive liquidity up to the threshold to bring down the interest rates instantly. And the central bank can use the Standing Lending Facility（SLF） as an appropriate interest rate policy instrument to directly regulate money market rates, thus requiring enhanced transparency and applicability of the SLF.