利率市场化进程中资本市场与货币市场联动效应分析——基于集合经验模态分解法的实证研究

Analysis of Linkage Effects between Capital Market and Monetary Market in the Progress of Interest Rate Liberalization—Empirical Research Based on EEMD

将利率市场化进程划分为三个阶段,通过集合经验模态分解法对中国货币市场与资本市场的数据进行了分解,提取了最具代表联动性的短周期分量。采用VAR-GARCH-BEKK模型对三个阶段两个市场的溢出效应进行了分析,结果显示,货币市场与资本市场单向和双向溢出效应均不显著,在利率市场化推进的过程中,联动的脆弱性未得到实质性改善,DCC-MV GARCH模型证明了研究结论的稳健性。因此,推进利率市场化必须加快完善利率传导机制,构建多层次的金融市场系统,培育以价格型货币政策工具为主导的调控机制,循序渐进地牵引经济的稳定可持续发展。

This paper initially derives the short cycle components which reflect the linkage through dividing the progress of interest rate liberalization into three stages and exploring the data of Chinese capital market and monetary market based on EEMD .And the spillover effects of these two markets in each stage have been analyzed respectively using VAR‐GARCH‐BEKK model .The results reveal that neither unidirectional nor bi‐directional spillover effects between capital market and monetary market are significant .The results also show that the vulnerability of the linkage has not been improved in the development of interest rate liberalization .How ever ,the effectiveness and accuracy of the research findings are demonstrated by DCC‐MV GARCH model .Therefore ,improving the interest rate transmission mechanism is the key to promote interest rate liberalization ,and then lead to a multi‐level financial market system .Furthermore ,a development mode focused on price based monetary policy instruments is recommended ,progressively leading to a sus‐tainable and stable development of economy .