利率市场化进程中利率渠道的动态变化机制研究

The Research on Dynamic Mechanism of the Interest Rate Channel in Process of Interest Rate Liberalization

借助带有随机波动率的TVP-VAR模型,实证研究了利率市场化进程中利率渠道传导效应的动态变化。实证研究显示,随着我国利率市场化改革的推进,货币政策市场利率渠道的传导效应在不断增强,管制利率渠道的传导效应在不断减弱,市场利率传导效应的不断增强主要是我国经济金融环境不断深化的结果。基于以上实证结果,给出了我国进一步完善利率渠道传导机制的相关政策建议。

By adopting the TVP-VAR model with stochastic volatility, the empirical research has been done on the dynamic changes of transmission effect of monetary policy interest rate channel in the process of interest rate liberalization reform. With the promotion of the interest rate liberalization reform in our country, the research indicates that the transmission effect of market interest rate channel has been steadily increasing, while the transmission effect of controlled interest rate channel has beengradually decreasing, the continuous enhancement of interest rate transmission effect has resulted from deepening and improvement of China’economic and financial environment. Based on the above empirical results, this paper provides some regulatory references to further improve the transmission mechanism of interest rate channel.