利率调控幅度对金融市场的影响研究

Research on the influence of the range of interest rate adjustment on financial market

当前为巩固经济恢复势头,我国货币政策持续发力。随着利率走廊机制的不断完善,我国的货币政策调控框架逐步向价格型转变。基准利率是市场利率的定价基础,在通畅的利率传导机制下,政策利率的调整将带动基准利率发生相应变化,进而改变市场利率。明确不同幅度的利率调控对金融市场产生的实际影响,既有助于完善货币政策的预期管理机制,也能够帮助金融市场中的不同主体把握市场规律,及时调整自身的应对策略。本文从分析利率调控政策实施效果出发,以短期利率变动率为门限变量,创建门限向量自回归模型,以确定利率调整幅度高与低的客观门限值,并以此为基础计算分区制的脉冲响应函数,以分析不同幅度的利率调控对金融市场的影响。

At present,in order to consolidate the momentum of economic recovery,China’s monetary policy continues to make efforts.With the continuous improvement of the interest rate corridor mechanism,the regulatory framework of China’s monetary policy is gradually changing to the price type.The benchmark interest rate is the pricing basis of the market interest rate.Under the smooth interest rate transmission mechanism,the adjustment of the policy interest rate will lead to corresponding changes in the benchmark interest rate,thereby changing the market interest rate.Clarifying the actual impact of interest rate changes of different ranges on the financial market will not only help improve the expected management mechanism of monetary policy,but also help different players in the financial market to accommodate the market rules and adjust their own coping strategies in time.Starting from the analysis of the implementation effect of the interest rate adjustment policy,this paper takes the short-term interest rate change rate as the threshold variable,creates a threshold vector auto-regressive model to determine the objective threshold value of the interest rate adjustment range,and calculates the impulse response function of the partition system on this basis to analyze the impact of different ranges of interest rate adjustment on the financial market.