存贷款利率放开是否提升了利率的政策传导效果

Does the Liberalization of Deposit and Loan Interest Rates Improve the Policy Transmission Effect of Interest Rates?

利用2008年1月至2017年3月的存款基准利率、贷款利率、上海银行间同业拆借利率(Shibor)以及消费者价格指数的月度数据,基于有向无环图(DAG)方法设置先验参数的SVAR模型分析存贷款利率限制放开后中国货币政策利率传导效果的实证结果表明,存款基准利率仍然是影响其他关键利率变量以及通胀水平的重要因素,央行仍可以将其作为政策利率的主要调控工具。同时,其他关键变量在向下端变量传导过程中的效率较低,说明金融机构在利率约束放开的背景下进行金融产品定价时仍受一些隐性约束的制约,而非通过中间利率调整自身的定价行为。因此,货币当局应当加快利率走廊设置,将隐性约束转变为显性约束,从而提高货币政策的透明度及实施效率。

Based on the monthly data from January 2008 to March 2017（including benchmark interest rate for deposits,loan interest rate,Shanghai Interbank Offered Rate（Shibor）,and consumer price index）,this paper analyzes the interest rate transmission effect of China＇ s monetary policy after the liberalization of deposit and loan interest rates by using the structural vector autoregression（SVAR） model,in which priori parameters are set through the directed acyclic graph（DAG）. Empirical results show that the benchmark interest rates for deposits continue to be important factors that influence other key interest rate variables and the level of inflation. Therefore,China＇s central bank can continue to use the benchmark interest rates for deposits as a major regulating instrument in the interest rate policy. Meanwhile,other key variables are inefficient in the process of transmission to lower-end variables. This shows that financial institutions continue to be bound by certain implicit constraints,but do not adjust their pricing behaviors through intermediate interest rates. Therefore,monetary authorities should actively develop an interest rate corridor and transform implicit constraints to explicit constraints,thus improving the transparency and implementation efficiency of monetary policies.