疏通货币政策传导机制的检验——来自债券利差的证据

A Test of Unblocking the Transmission of Monetary Policy——Evidence from Spread of Bond Market

新常态下,我国经济发展的结构性问题突出,金融摩擦加剧,为促进经济的高质量发展,货币政策调控框架正在经历从以数量型为主到以价格型为主的转变,但政策传导的有效性影响了其对实体经济的支持效果。基于TVP-VAR模型,本文估计了货币政策利率、债券信用利差两个变量分别与货币政策总目标中的消费和产出的动态关系。结果表明,不同经济环境中,货币政策利率对价格水平的传导存在顺周期性和逆周期性,对产出缺口的影响呈现波动性、时变性。进一步研究发现,不同评级的债券信用利差对货币政策的传导存在摩擦,货币政策利率对较低评级债券的信用利差影响更大,但评级过低则影响不显著;不同评级下货币政策利率对消费和产出的传导也存在差异,整体而言,评级降低传导效应增强,但过低评级下对消费的传导效应较弱。

Under the new normal economic environment, financial friction intensifies, and structural problems are becom.ing more and more important. In order to promote the quality of the economic development, the framework of the mone.tary policy is undergoing a transformation from quantity-oriented to price-oriented, but the effectiveness of the transmis.sion affects the results on the real economy. Based on TVP-VAR model, this paper estimates the dynamic relationship among the interest rate and the credit spread of the bond including consumption and output. The results show that, in dif.ferent economic environments, the transmission from the monetary policy interest rate to the price level is pro-cyclical and anti-cyclical, and the impact on the output gap is volatile and time-varying. Further research shows that the credit spread of the bonds with different rating have different transmission effects on the monetary policy. The interest rate of the monetary policy has a greater impact on the bonds with lower rating, but the impact is not significant if the rating is too low. Under different bonds rating, the monetary policy has different transmission effects on consumption and output.Overall, the lower the bonds rating, the stronger the transmission effectiveness, but it becomes weaker when the rating is too low.