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利率双轨制下的中国自然利率估算

China’s Natural Rate of Interest under the Dual-Track Interest Rate System
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摘要 针对当前中国利率体系仍存在利率双轨制这一典型特征,本文构建了考虑隐性利率双轨制的DSGE模型,对中国自然利率进行了估算。结果表明,我国自然利率在2.5%左右。自然利率走势与经济增长、资本回报率密切相关,是宏观经济运行重要的"指示器";利率缺口与通货膨胀率、产出缺口和法定准备金率变化显著负相关,能够为制定和评价货币政策提供有益的参考;利率双轨制下市场利率和存贷款利率都受到明显的扭曲压抑,存贷款利率对市场利率的敏感性降低,利率传导效率受到明显损害。模拟结果还表明,利率完全放开后,我国金融市场利率、存贷款利率和存贷利差都将出现明显上升。尽快实现利率并轨并转向以自然利率为基准的货币价格调控方式,对深化利率市场化改革、实现经济金融高质量发展具有非常重要的意义。 China still has an implicit dual-track interest rate system.In this paper,we construct a DSGE model of the dual-track interest rate system and estimate the natural rate of interest in China.The results show that China’s natural rate of interest is around 2.5%,which is consistent with the results of the state space model.The natural rate of interest is closely related to the economic growth rate and the return on capital.It is an important indicator of macroeconomic operation.The interest rate gap is significantly negatively correlated with the inflation rate,output gap and reserve ratio rate,and provides a useful reference for formulating and evaluating monetary policies.The interest rate,deposit rate and loan rate under the dual-track interest rate system are significantly distorted,the sensitivity of deposit and loan interest rates to market interest rates is reduced,and the efficiency of the interest rate transmission mechanism is significantly impaired.The simulation results also show that when the interest rate liberalization is achieved,the market interest rates,deposit and loan interest rates,and the interest rate spread will significantly increase.We should accelerate the pace of interest rate liberalization and turn the monetary policy to price-based regulation based on the natural rate of interest.This is important for the completion of the market-based reform and the high-quality economic growth of China.
作者 苏乃芳 李宏瑾 SU Naifang;LI Hongjin(People'Bank of China,100080)
出处 《财贸经济》 CSSCI 北大核心 2021年第12期69-84,共16页 Finance & Trade Economics
基金 国家社会科学基金重大项目“罕见灾难冲击、宏观经济下行与宏观经济政策调控研究”(20&ZD055) 国家自然科学基金重点课题项目“中国金融体系的演化规律和变革管理”(71733004) 国家自然科学基金重点课题项目“结构性货币政策的理论与评估”(72133006)。
关键词 自然利率 新魏克塞尔框架 利率双轨制 价格型货币政策 Natural Rate of Interest Neo-Wicksellian Framework Dual-Track Interest Rate System Price-based Monetary Policy
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