银行间市场价格波动及管理政策有效性研究

The Price Volatility in China's Interbank Market and the Effectiveness of Central Bank's Regulations

国际金融危机及银行钱荒等问题凸显了对银行间市场进行有效管理的重要性。本文构建了银行间市场各类型投资者的微观交易模型以研究银行间市场的价格形成机制和管理政策的有效性。研究发现,央行的交易税、涨跌停板以及公开市场操作政策都是较为有效的管理政策,且没有一种政策完全占优,政策的实施需要在价格稳定性、定价效率、扭曲成本、参数敏感性和灵活性等方面进行权衡。整体而言,交易税政策较为"激进",涨跌停政策其次,基础型公开市场操作政策的优势在于提高定价效率,逆向型公开市场操作政策则较为"中庸"。基于政策参数敏感性分析,本文量化地探讨了政策的作用机理。在此基础上,本文还对各项政策在不同市场特征的有效性进行了深入分析,结论与当前政策实践较为一致。

The international financial crisis and money shortage between banks highlight the importance of effective management on interbank market. Therefore, this paper builds an interbank micro trading model with various kinds of investors to study the pricing mechanism in interbank market and the validity of management policies. The results reveal that the four central-bank policies are effective, but none of them is perfectly predominant. So the central bank need to trade off between price stability, pricing efficiency, distortionary cost, parameter sensitivity and flexibility. Specifically, the transaction tax policy is more intense and the trading halts come second. The advantage of the fundamental open market operation is to boost pricing efficiency while the trend-offsetting open market operation is more moderate. Besides, this paper studies the operating mechanism of these policies quantitatively on the basis of sensitivity analysis. Furthermore, we analyze the effectiveness of different policies under different market characteristics, the result of which is consistent with current policy practice.