流动性分层、《资管新规》与政策利率传导

Research on Liquidity Stratification, New Regulations on Asset Management and Policy Interest Rate Transmission

本文从中央银行和商业银行货币信用供给的纵向维度和流动性分层的横向维度构建多部门的DSGE模型,运用2015年第一季度—2020年第四季度的数据,分析了《资管新规》实施对政策利率传导的影响机理。结果显示,在货币信用供给的分层结构下,一级交易商资产负债的配置结构和数量直接决定着政策利率的传导效率。《资管新规》使得一级交易商和中小银行或主动或被动地调整其资产负债结构,资管资金循环路径发生转换,打破了原有的流动性传导链条。在经济增长下行预期下,《资管新规》在短期内影响了政策利率的传导效率,若叠加房地产价格上涨预期,将对政策利率的传导效率带来更大的负向冲击。未来应考虑建立考核大型商业银行有效传导货币政策的责任指标,加大对中小商业银行补充类资本的支持政策,从需求端和供给端控制信贷资金向房地产行业流入,并出台直达实体经济的货币政策工具。

This paper constructs a multi-sector DSGE model from the vertical dimension of the central bank and commercial bank money and credit supply as well as the horizontal dimension of liquidity stratification. To analyze the impact mechanism of implementing new asset management regulations on policy interest rate transmission, the paper uses the data from 2015 Q1 to 2020 Q4. The results show that under the stratification of monetary credit supply, primary dealers’ structure and quantity of assets and liabilities directly determine the transmission efficiency of monetary policy. Moreover, the new regulations promote primary dealers and small and medium-sized banks to adjust their asset-liability structures and break the original liquidity transmission chain actively or passively. With the low expectation of economic growth, the new regulations on asset management will reduce the transmission efficiency of monetary policy in the short term. Supposing the expectation of a real estate price rise is superimposed, in that case, it will negatively impact the transmission efficiency of policy interest rates.Finally, there are two recommendations for the government. The first recommendation is to establish responsibility indicators to evaluate the effectiveness of monetary policy transmission for large commercial banks and increase additional capital support policies for small and medium commercial banks. The second recommendation is to control the inflow of credit funds to the real estate industry from the demand and supply sides, and introduce monetary policy tools that may directly reach the real economy.