市场分割条件下的金融市场利率传导——基于短期和中期两路径并存视角

Financial Market Interest RateTransmission under Market Segmentation——Based on the Coexistence of Short-Term and Medium-Term Paths

本文基于市场分割理论和我国利率市场化改革最新进展,构建了短期和中期两路径并存的利率传导机制研究框架。在此基础上,构建SVAR模型,并利用动态脉冲响应和方差分解分析对我国两路径下的利率传导效率进行了实证研究。结果表明:短期政策利率向短期货币市场利率传导的有效性有所提升,但因市场分割效率有所分化;与短期货币市场利率相比,中期债券市场利率对长期债券市场利率的传导效率更高;改革创新LPR后,中期政策利率向信贷市场传导效果显著。建议加快培育建设统一的货币市场基准利率,提高政策利率期限结构与市场利率之间的一致性,继续深化金融市场改革减少市场分割。

Based on the market segmentation theory and the latest progress of China's interest rate marketiza⁃tion reform,this paper builds a research framework of interest rate transmission mechanism with short-term and me⁃dium-term paths'coexistence.On this basis,the SVAR model is constructed,and the dynamic impulse response and variance decomposition analysis are used to conduct an empirical study on the interest rate transmission efficien⁃cy under the two paths in China.The results show that the effectiveness of the transmission of short-term policy inter⁃est rates to short-term money market interest rates has increased,but the efficiency of market segmentation has di⁃verged;compared with short-term money market interest rates,medium-term bond market interest rates have a high⁃er transmission efficiency to long-term bond market interest rates.After the reform and innovation of LPR,the medi⁃um-term policy interest rate has a significant effect on the credit market.It is recommended to accelerate the con⁃struction of a unified benchmark interest rate in the money market,increase the consistency between the term struc⁃ture of policy interest rates and market interest rates,and continue to deepen financial market reforms to reduce mar⁃ket segmentation.