公开市场操作、货币市场利率与利率走廊

Open Market Operation, Money Market Interest Rate and Interest Rate Corridor

近年来,我国公开市场操作模式发生了显著变化,公开市场操作与货币市场利率的动态关系需要从新的视角进行分析。利用马尔科夫区制转换向量自回归模型研究我国公开市场操作与货币市场价格波动的动态时变关系发现,在区制1(2013-2014年)中,我国经济较快增长,货币调控数量特征明显,公开市场操作的流动性效应大于对货币市场利率的调控作用,公开市场逆回购利率对银行间7天质押式回购加权利率(R007)的引导效果甚微,市场利率波动较大;在区制2(2015-2017年)中,我国经济发展进入新常态,M2同比增速下降,公开市场操作常态化机制与工具类型的扩展极大地提高了央行对货币市场利率区间的调控能力,银行间市场存款类机构以利率债为质押的7天期回购利率(DR007)紧随公开市场逆回购利率变动,政策利率传导效率增强。另外,随着公开市场操作逆回购及便利类工具(SLF.MLF等)的类型和期限日趋丰富,在短中期流动性供给量价调节的流动性管理与利率调控相结合的新模式下,我国利率走廊初步形成。

In recent years, China’s open market operation mode has undergone significant changes, and its dynamic relationship with money market interest rate needs to be analyzed from a new perspective. In this paper, we use Markoff Regime Transformation Vector Auto Regression model to study the dynamic timevarying relationship between open market operation and monetary market price fluctuation in China. The results show that the liquidity effect of open market operation is greater than the guidance to the money market interest rate in Regime 1(2013-2014) under the China’s rapid economic growth with the obvious characteristics of quantitative monetary regulation. The effect of open market reverse repo interest rate on the R007 is very little and money market interest rate fluctuates greatly. In regime 2(2015-2017), China’s economic development has entered a new normal state and the growth rate of M2 has declined, so open market operation normalization mechanism and the expansion of its tool types greatly improve the central bank’s ability to regulate the money market interest rate. DR007 follows the open market reverse repo interest rate, and the transmission efficiency of policy interest rate is enhanced. In addition, with the diversification of open market operation reverse repo and the convenience tools(SLF, MLF and so on), the interest rate corridor has been preliminarily formed under the new mode of the liquidity management and interest rate regulation combined with short and medium term liquidity supply and price regulation.