基于长期均衡利率测算的我国利率扭曲现象

Interest Rate Distortion in China:A Measurement based on Long-term Equilibrium Interest Rate

研究目标:分析长期利率扭曲与产出缺口之间的关系。研究方法:借鉴Holston等(2017)的三步法估计长期均衡利率和均衡利差,并与现实经济中的利率和存贷利差进行比较,判断利率扭曲和存贷利差扭曲的方向。研究发现:政策利率扭曲在先,进而造成实际产出偏离均衡产出。利率调控的非对称性和宽松倾向容易加剧经济泡沫。在经济复苏期与繁荣期,存贷利差偏离均衡利差的程度更大,表明以银行业为代表的金融资本在此时会采取手段扩张其超额收益。然而,一旦利差扭曲超过一定临界点,就会导致储蓄和投资意愿都降低,贷款违约风险加大,容易引发经济衰退。研究创新:提出应明确区分短期和长期均衡利率。采用短期利率缺口判断货币政策倾向时将难于区分"主动扭曲"与"被动调节"。研究价值:提出长期不适宜的货币政策可能成为大冲击源损害经济增长的基础。

Research Objectives:The relationship between longterm interest rate distortion and output gap is analyzed in this paperResearch Methods:Using three step method of Holston et al(2017),we estimate the longterm equilibrium interest rate and equilibrium loandeposit spreads,and then compare them with the interest rate and loandeposit spreads in real economy respectively,so as to determine the direction of two types of interest rate distortionResearch Findings:Interest rate is distorted firstly and then causes the actual output to deviate from the equilibrium outputThe asymmetric and loose tendencies of interest rate policy are likely to exacerbate the economic bubblesDuring the period of recovery and prosperity,loandeposit spreads deviate from the equilibrium level,which indicates that the banking system will expand its excess return at all meansHowever,once the deviation exceeds a critical point,the willingness of saving and investment will be suppressed,and the risk of loan default will be increasedFinally,economic recession is likely to happenResearch Innovations:We clearly distinguish between shortterm and longterm equilibrium interest rate in order to distinguish“intended distortion”and“passive regulation”of monetary policyResearch Value:We put forward a new idea that longterm inappropriate monetary policy may become a big shock which will harm longrun economic growth.