不确定性冲击下货币政策传导效率研究——基于理论与实证的分析

Transmission Efficiency of Monetary Policy under Uncertainty Shocks:Analysis Based on Theoretical and Empirical Evidence

在双轨利率体系下,本文旨在研究货币政策在不确定性冲击下的传导效率及其对宏观经济的影响。通过测量中国宏观不确定性,采用结构向量自回归模型对不确定性冲击下货币政策传导效率及其对经济活动的影响进行实证分析。同时,从理论角度通过将双轨制利率体系特征和随机波动率冲击纳入动态随机一般均衡模型,对实证结果进行深入阐释。研究结果显示,宏观不确定性的增加将导致产出和价格水平显著下降,促使货币当局采取积极的货币政策,表现为货币市场利率的下降。与此相比,金融市场的存款利率和贷款利率的响应较小,且具有一定滞后性。通过预测误差方差分解,揭示了宏观不确定性冲击对经济衰退的重要贡献。此外,对隐性存贷款利率管制的放松将促使货币政策传导更加畅通,显著削弱了不确定性冲击的影响。总体而言,理论模型成功解释了实证分析的结果,表明货币政策利率传导不完全会导致不确定性冲击对经济周期波动的放大效应。本研究为完善中国的利率市场化改革进程以及提升市场化利率传导效率提供了启示。

China presents an optimal research setting for investigating the impact of uncertainty shocks on the efficacy of monetary policy transmission.Firstly,as an emerging economy,China has undergone several economic policy reforms,rendering it susceptible to policy uncertainty shocks.Consequently,these shocks may have significant macroeconomic implications throughout the economic cycle.Secondly,China is the second-largest economy and a pivotal player in international trade,and its increasing openness not only subjects its domestic economy to internal uncertainty shocks but also amplifies the spillover effects of international uncertainty,rendering China’s macro-uncertainty somewhat distinctive.Thirdly,the predominant reliance of Chinese firms on indirect financing through bank loans,as opposed to equity financing,extends the reach of monetary policy into the real sector.Additionally,while interest rates in most advanced economies have persistently lingered near the zero lower bound in recent years,China’s conventional monetary policy retains greater maneuverability due to its room for adjustment.Lastly,since the mid-1990s,China has progressively embraced interest rate deregulation.Despite the full marketization of money market interest rates,there remains an inadequacy in the deregulation of RMB lending and deposit interest rates.This paper undertakes a comprehensive examination of the efficiency of monetary policy transmission in the presence of macro-uncertainty shocks from perspectives of both empirical analysis and theoretical modeling.This paper further investigates how uncertainty magnifies macroeconomic fluctuations through an incomplete channel of monetary policy transmission.In the realm of empirical analysis,we construct China’s macro-uncertainty index using data at various economic and financial levels.The empirically efficient SVAR model is then employed to scrutinize the impact of uncertainty shocks on monetary policy transmission and their repercussions on macroeconomic activities.On the theoretical front,the empirical findings are expounded by incorporating the features of the two-track interest rate system and introducing exogenous processes with stochastic volatility into the New Keynesian DSGE models.Our findings indicate that an unexpected surge in macroeconomic uncertainty substantially diminishes aggregate output and the price level.In response to the downturn in output and prices,the monetary authority proactively implements monetary policy adjustments,which is manifested in a reduction in money market interest rates.Moreover,the response of deposit and lending rates in the financial market lags behind that of the money market interest rates,implying a non-smooth transmission of monetary policy interest rates under uncertainty shocks in China.Additionally,the forecast error variance decomposition underscores the significance of macro-uncertainty shocks as a causal factor in economic downturns,contributing to over a quarter of the output forecast variance.The theoretical model,which incorporates the characteristics of the two-track interest rate system and stochastic volatility shocks,provides a more nuanced explanation of the empirical facts and results.Furthermore,the model predicts that the deregulation of implicit interest rates will enhance the efficiency of policy interest rate transmission to financial market rates,thereby substantially mitigating the economic impact of uncertainty shocks.The analysis in this paper yields significant insights.Despite the full marketization of China’s money market interest rates,an implicit two-track system persists due to that the benchmark deposit and lending rates published by the People’s Bank of China remain pivotal tools for monetary control and interest rate management.Commercial banks,in turn,continue to reference these benchmark rates when pricing their deposits and loans.A crucial recommendation for the future involves the central bank promptly defining the short-term policy target interest rate,stabilizing the spread between this rate and benchmark rates for deposits and loans,and systematically advancing the“two-track and one-track”policy.Gradual implementation of these measures will facilitate the transformation of the monetary price control paradigm,foster deeper interest rate market-oriented reform,and support the sustained and healthy development of China’s economy in the new normal.