LPR能够成为市场化的贷款基准利率吗?——基于LPR对Shibor影响的证据

Can LPR Become Loan Benchmark Interest Rate of Marketization?——Evidence Based on the Effect of LPR on Shibor

2019年8月推出的贷款市场报价利率(LPR)标志着我国贷款端“利率并轨”工作正式完成,信贷利率将挂钩于市场锚以实现利率市场化的阶段性改革目标。本文利用2019年8月2日至2020年2月4日的交易日数据,运用事件研究法研究LPR对上海银行间同业拆放利率(Shibor)的影响,以判断LPR是否已经成为我国贷款利率市场化的新基准。整体效应和单日效应检验结果表明,LPR对短期Shibor影响显著,而对长期Shibor影响有限。均值效应和累积效应检验结果进一步证明了LPR对Shibor已经产生影响的事实。基于此,本文结合美、日两国LPR发展的国际经验,推衍得出增强Shibor对LPR的定价锚作用的启示并且给出相关政策建议。

Loan Prime Rate(LPR)launched in August 2019 marks the formal completion of interest rate consolidation in China's lending sector.The credit interest rate will be linked to the market anchor to realize the goal of phased reform in interest rate liberalization.Based on the data from August 2,2019 to February 4,2020,this paper has a study of the impact of LPR on Shanghai Interbank Offered Rate(Shibor)by utilizing event-study approach to judge whether LPR has become a new benchmark of loan interest rate liberalization in China.The results of the overall effect test and the one-day effect test show that LPR has a significant effect on short-term Shibor,but has a limited effect on long-term Shibor.It further certifies that LPR has effect on Shibor.Accordingly,combining the international experience of LPR development in the United States and Japan,this paper deduces that we should strengthen Shibor's anchor role in LPR pricing and gives relevant policy suggestions.