存准率变动对货币市场利率的影响效应研究

Impact of Deposit Reserve Ratio Adjustment on the Interest Rate of the Monetary Market

本文将对冲外汇占款因素考虑在内,研究存款准备金率主动变动对货币市场利率的影响。在GARCH模型的基础上,将存款准备金率下调因素作为虚拟变量引入模型,对2011年7月至2015年9月的数据进行研究发现:存款准备金率变动(下调)对债券市场国债、票据市场转贴直贴利率产生显著影响,对不同利率的影响也存在差异,货币政策可以通过债券市场及票据市场进行有效传导。

As one of the monetary policy tools, the deposit reserve ratio （DRR） adjustment is more commonly used recently in our country. The paper puts Hedge foreign exchange factor into consideration and analyzes the impact of active DDR adjustment on the monetary market interest rates. Introducing the DRR cut factors as a dummy variable, we use the data from July 2011 to September 2015 based on the GARCH model. The results show that the adjustment of DDR （down） has a significant impact on the rates of bond on the bond market, buyout, repurchase and discount bill on the bill market, but the responses are different. Monetary policy can be effectively transmitted through the bond and bill market.