资产证券化与货币政策利率传导效率:证据与机制

Asset Securitization and the Efficiency of Monetary Policy Interest Rate Transmission:Evidences and Mechanisms

近年来,中国货币政策利率传导效率有所提高,但货币市场短期利率对债券市场各期限利率、信贷市场贷款利率的传导渠道仍不够畅通。本文首先拓展马骏和王红林(2014)的理论模型,在银行间市场引入短期市场利率,从理论层面分析资产证券化对货币政策利率传导效率的影响,随后借助局部投影方法给出关于资产证券化对货币政策利率传导效率影响的经验证据,并从替换货币政策冲击、改变资产证券化测度方式、引入更多控制变量、改变估计策略等角度进行稳健性检验。理论分析结果表明,资产证券化能够提高货币政策利率传导效率,内在逻辑是价格风险对冲机制和信贷资产定价机制。实证检验结果显示,资产证券化显著提高了货币政策利率传导效率,与“低资产证券化”状态相比,“高资产证券化”状态下债券市场的无风险利率、长期利率和信贷市场贷款利率对货币市场短期利率冲击具有更大的响应。

In recent years,the interest rate transmission efficiency of monetary policy in China has improved,but the transmission channels of short-term interest rates in the money market to interest rates of various maturities in the bond market and loan rates in the credit market are still not smooth enough.This paper first extends the theoretical model of Ma and Wang(2014),introduces short-term market interest rates in the interbank market,analyzes the impact of asset securitization on the interest rate transmission efficiency of monetary policy at the theoretical level,and then gives empirical evidence on the impact of asset securitization on the interest rate transmission efficiency of monetary policy with the help of local projection methods,and conducts robustness tests from the perspectives of replacing monetary policy shocks,changing the measurement of asset securitization,introducing more control variables,and changing the estimation strategy.The results of the theoretical analysis show that asset securitization can improve the interest rate transmission efficiency of monetary policy,and the underlying logic is the price risk hedging mechanism and credit asset pricing mechanism.The results of the empirical tests show that asset securitization significantly improves the interest rate transmission efficiency of monetary policy,and the risk-free rate in the bond market,the long-term interest rate,and the loan rate in the credit market are more responsive to the money market short-term interest rate shocks in the“high asset securitization”state than in the“low asset securitization”state.