我国货币政策传导效率及信号效应研究——基于金融市场高频识别的视角

Transmission of Monetary Policy Shocks and Signaling Channels in China——Based on High Frequency Data in Financial Markets

本文首先基于我国利率互换市场的高频交易数据识别了货币政策的外生冲击,分别从宏观和微观层面探讨了不同类型货币政策工具对经济活动的传导效率,并检验了货币政策传导中的“信号渠道”。研究结果发现:(1)在宏观层面上,准备金率和银行间市场回购利率(R007)都可以通过银行信贷渠道影响实体经济和金融市场,但准备金率的影响更大,持续时间更长;在微观层面上,信用利差的上升会放大准备金率和R007对企业融资的影响,且对于R007的放大作用更强。(2)我国货币政策的传导中存在“信号渠道”。央行发布的货币政策包含了对未来经济的展望,一定程度上可以引导公众预期。(3)对于不同产权性质、资产负债结构、成立时间的微观企业,我国货币政策和信号效应的传导表现出明显的异质性。

This research firstly identifies the exogenous monetary policy shock based on the high frequency transaction data of China’s interest rate swap market, and then investigates the transmission efficiency of different monetary policy instruments on economic activities at both the macro and micro level, and further examines the “signaling channel” of monetary policy. We find that(1) At the macro level, both the reserve ratio and the 7-day repo rate can affect China’s real sector and financial market through the bank credit channel, but the impact of reserve ratio is much stronger and more persistent;at the micro level, A rise in credit spreads amplifies the impact of reserve ratios and R007 on corporate finance, and the amplification effect is stronger for R007.(2) “Signaling channel” exists in the transmission of China’s monetary policy. The monetary policy news announced by the central bank contains information about future economic conditions, which could, to a certain extent, guide public expectations.(3) The transmission of China’s monetary policy and signaling channel display significant heterogeneity among enterprises with different property rights, leverage, and ages.