我国金融市场利率粘性研究——基于时变参数随机波动模型分析

Interest Rate Stickiness in Financial Markets in China Based on TVP-SV Models

粘性理论是新凯恩斯主义的基本要素,关于利率的粘性,国外已经开展了相关实证研究,然而国内这方面的实证研究却很少。当前我国利率管制已经基本放开,正处于深化利率市场化改革的全新阶段。研究我国金融市场的利率粘性,对于进一步理顺利率传导机制,形成以利率水平为调节工具的价格型货币政策调控体系,具有重要意义。文章通过构建时变参数随机波动(TVP-SV)模型,对我国金融市场利率粘性进行研究。结果表明,我国金融市场的利率粘性存在,并且利率粘性比较高。进一步的,近年来金融市场的利率粘性的趋势比较稳定。

Sticky theory, the basic element of new- Keynesian theory, has been empirically studied in foreign countries, but little is done in China. At present, regulations on interest rate have been liberalized in China, and are in a new stage of deepening the reform of the interest rate liberalization. Researches in the interest rate stickiness of China’s financial market therefore are of important significance for further rationalizing the interest rate transmission mechanism. This paper studied the interest rate stickiness of China’s financial market by establishing the Time Varying Parameters Stochastic Volatility（TVP-SV） model. The results showed that the interest rate stickiness of China’s financial market did exist and the stickiness was relatively high. Over the past few years, the interest rate stickiness of the financial market tended to be relatively stable.