均衡利率问题研究

The Study on the Equilibrium Interest Rate

本文分别从长期和短期两个视角对我国的均衡利率进行了测算。对长期均衡利率的测算结合了我国利率"双轨制"的现实,分别从潜在产出、资本边际收益和泰勒规则截距项三个角度切入,发现三种测算结果逐渐趋于一致。而且使用改进后的泰勒规则测算发现,不同政策目标下的均衡利率有所差异,主要表现为我国的均衡利率水平与这一时期宏观调控的目标有密切关系,仅盯住产出目标时均衡利率较低,同时考虑产出和物价时均衡利率较高。进一步将测算结果与贷款利率比较发现,我国的贷款基准利率长期低于均衡利率,也表明我国利率市场化的方向是取消利率上限管制。在短期均衡利率测算方面,本文借助VAR模型和状态空间模型,分别研究了利率缺口与物价之间的关系,发现短期均衡利率缺口与物价之间存在稳定的关系,即当实际利率低于均衡利率时,CPI涨幅较大,实际利率高于均衡利率时,CPI涨幅较小。基于以上测算结果,本文提出了我国均衡利率的演进路径,即通过控制主要影响因素,逐渐形成统一的市场化利率定价机制,从而培育出我国的一般均衡利率。

The paper calculates the equilibrium interest rate from two perspectives of long term and short term. Considering the reality of dual-system of interest rates, we measured the long-term interest rate from three angles such as the potential output, marginal returns to the capital and intercept term of the Taylor rule respectively, and found that the three results converged. Moreover, with the modified Taylor rule, we found that the measurement results of the equilibrium interest varied under different policy objectives. The equilibrium interest rate has closely related with the macro-control objectives. The equilibrium interest rate is lower when only output is pegged, and the equilibrium interest rate is higher when both output and price are pegged. For the short-term interest rate, with VAR model and state space model, we analyzed the relationship between the interest rate gap and prices, and found that CPI increases rapidly when the real interest rate is lower than the equilibrium interest rate and vice versa. Based on above analysis, we raise that the evolution path of the equilibrium interest rate in China is to unify the segmented interest rate market, to form a unified market-oriented interest rate pricing mechanism by influencing main factors in the process, and then promote the information of China's general equilibrium interest rate.?