货币市场利率对存贷利率的传导效率提高了吗?——基于上市银行面板数据的置换检验分析

Has the transmission efficiency of money market rate to deposit and loan interest rates improved?——Permutation test based on panel data of listed banks

推动货币政策由数量型向价格型转型是我国“十三五”期间创新和完善宏观调控的一个重要内容,为保障价格型货币政策的有效实施,打通金融市场间利率传导效率是一个重要的任务。针对我国近年来实施的金融市场改革,使用上市银行面板数据,运用置换检验对我国政策利率向银行存贷款利率传导效率的改善情况进行实证分析。结果显示,除7天期SHIBOR对存款利率的传导效率明显提升外,货币市场利率对存贷款利率的传导效率总体而言呈现下降趋势;但控制了存贷款基准利率的影响因素后,利率传导效率显著改善。为减轻抛弃存贷款基准利率所带来的短期负面影响,应当继续加强培育LPR等在金融产品定价中的作用;7天期SHIBOR更适合作为基准利率换挡期的货币政策中介指标。

To promote the transformation of monetary policy from quantitative type to price type is an important content of innovation and improvement of macro-control during the 13th Five-Year Plan period.It is an important task to improve the transmission efficiency of interest rate between financial markets to ensure the effective implementation of price-based monetary policy.In view of China’s financial market reform in recent years,this paper uses permutation test to empirically analyze the improvement of transmission efficiency from policy interest rate to bank deposit and loan interest rates with the panel data of listed banks.The results show that the transmission efficiency of money market interest rate to the deposit and loan interest rates has generally been going down except the significant improvement of the transmission efficiency of 7-day SHIBOR to the deposit interest rate;however,after controlling the factors of the benchmark interest rates of deposit and loan,the transmission efficiency of interest rate has improved significantly.In order to reduce the short-term negative impact of abandoning the benchmark interest rates of deposit and loan,it’s necessary to continuously strengthen the role of LPR in the pricing of financial products,and it’s more suitable for 7-day SHIBOR to act as the intermediary index of monetary policy in the shift period of benchmark interest rate.