货币政策的互联网金融市场利率效应研究——基于阈值向量误差修正模型的实证分析

The Study of Monetary policy's effect on Internet Financial Market Interest Rate: The Empirical Analysis Based on the Threshold Vector Error Correction Model

相对于传统的金融市场,货币政策对互联网金融市场的影响、作用机制更加复杂,运用阈值向量误差修正模型研究了货币政策的互联网金融市场利率效应。研究发现:货币政策对互联网金融市场利率的影响具有非线性特征,即当货币政策调控的金融市场利率水平较高时,货币政策趋紧,货币政策调控的短期利率与互联网金融市场利率的波动方向相反,它们偏离长期均衡的速度较小;当货币政策宽松时,货币政策调控的利率与互联网金融市场利率呈同方向波动,且偏离长期均衡的速度较大;货币政策对互联网金融市场的影响具有很强的结构性特征,因此,为了保持互联网金融市场的稳定以及货币政策的有效性,中央银行有必要考虑货币政策的结构特征,审慎出台相应的货币政策,保持货币政策的连续性。

The influence and the effect the monetary police exert on the Internet financial market is more complicated than the traditional financial market. We have made a study about the effect with the threshold vector error correction model. We have found that,the influence of monetary policy on the interest rate of Internet financial market is nonlinear. When the interest rate of the financial market adjusted by monetary policy is higher,ie. monetary policy is getting tight,the short-term interest rate regulated by monetary policy has opposite trend with the Internet financial market interest rate,deviating from the long-run equilibrium at a lower speed. When the monetary policy is loose,the interest rate of monetary policy fluchuate at the same direction as the Internet financial market interest rate deviating from the long-term equilibrium at a greater speed. This shows that the effect of monetary policy on the Internet financial market has strong structural characteristics,therefore,in order to maintain the effectiveness of monetary policy and Internet financial market stability,it is necessary for central bank to consider the structure characteristics of monetary policy,the appropriate prudent monetary policy,and also maintain the continuity of the monetary policy.