基于利率走廊机制的中国利率传导有效性研究:理论推导及实证检验

Correlation Mechanism: Theoretical Derivation and Empirical Test

本文将利率传导机制细分为两个过程,更加系统地研究常备借贷便利利率作为利率走廊上限的传导情况,这两个过程分别为:(1)SLF作为利率走廊上限向市场利率传导的短端传导渠道;(2)通过中期借贷进一步向债券市场等金融资产传导的中长端传导渠道。通过建立一般均衡模型及数值模拟,理论上论证了利率传导的长短端机制的有效性,得到短端传导比中长端传导更加有效的结论。在此基础上,本文运用2015-2019年的月度数据,实证检验了中国当前经济状况下利率的长短端传导效应,结果显示传导均有效,对于结构性货币工具,SLF、MLF的传导也有效,但PSL存在时滞。因此建议中央银行应当适时疏通利率传导机制,从而提高货币政策的实施效果。

This paper divides the interest rate transmission mechanism into two processes,and systematically studies the transmission of SLF as the interest rate corridor. These two processes are:( 1) SLF as the upper limit of the interest rate corridor to the market interest rate;and( 2) the medium-term and long-term transmission channel that is further transmitted to financial assets such as the bond market through medium-term lending. By establishing a general equilibrium model and numerical simulation,the validity of the long-term and short-term mechanism of interest rate conduction is theoretically demonstrated,and the conclusion is that the short-term conduction is more effective than the long-end. According to this,this paper uses the monthly data of 2015-2018 to empirically analyze the long-term and short-term interest rates conduction effects in China’s current economic conditions,which proves that both are effective,but shortend conduction has a certain time-delay effect. It is suggested that the central bank should promptly streamline the interest rate transmission mechanism,so as to improve the implementation effect of monetary policy.