不确定性冲击下利率传导机制

Interest Rate Transmission Mechanism Under the Impact of Uncertainty

本文考察了货币政策不确定性冲击下市场利率之间的传导机制。首先,应用时变系数马尔科夫区制转移模型提取代表货币政策不确定性的利率不确定性。其次,采用Dirichlet-VAR模型考察了这种不确定性冲击下政策利率和市场利率之间的传导关系。最后,结合二元和多元变量之间的影响关系,给出了不确定性冲击下利率的核心传导结构。实证结果表明:不考虑不确定性冲击时,政策利率和货币市场利率之间存在基本的传导环路,货币市场和债券市场之间形成了市场化的传导环路。考虑不确定性冲击时,利率内在不确定性直接影响了股票市场收益率的变动;利率外在不确定性对债券市场和股票市场都会带来影响,进而影响市场上的融资成本。

This paper examines the transmission mechanism among the market interest rates under the impact of monetary policy uncertainty. Firstly, the time-varying coefficient Markov regime switching model is used to extract the interest rates uncertainty which represents the monetary policy uncertainty. Secondly, the Dirichlet-VAR model is applied to examine the conductive relationship between policy rates and market interest rates under the impact of monetary policy uncertainty. Lastly, through the bivariate and multivariate analysis,the core conductive structures of the interest rate under the interest rates uncertainty are given. The empirical results show that： in the normal circumstances, there is a loop between the policy interest rate and money market interest rates, and a market-based loop between money market interest rates and the bond market. Under the impact of monetary policy uncertainty, the inherent interest rates uncertainty affects the stock market;the external interest rates uncertainty affects the stock market and the bond market, which influences the changes in market financing costs.