摘要
随着我国从制度层面实现利率市场化,政策利率对市场利率的引导作用逐步提高,但利率传导仍具有"双轨制"特征,在一定程度上影响了货币政策调控转型的效率。如何从现有的多个政策利率中,选择一个合适的关键政策利率,直接关系到当前货币政策调控转型的效率。基于国际经验和我国国情,本文选取7天和14天期央行逆回购利率作为关键政策利率,并运用两区制阈值误差修正模型实证检验了两种期限的关键政策利率对隔夜市场基准利率的可控性。结果表明:两种期限的关键政策利率分别与市场基准利率之间存在阈值效应,但7天期逆回购利率作为关键政策利率的引导效果更好;当偏离均衡水平时,由市场基准利率承担调整,隔夜市场基准利率在正常区制中的调整时间约为19周,而在非正常区制中仅需2周。未来,我国应尽快明确将7天期逆回购利率作为我国的关键政策利率。为此,可先将存贷款基准利率等多个政策利率与关键政策利率挂钩,待时机成熟时再合并为统一的关键政策利率,实现政策利率的"两轨并一轨",进而推进货币政策调控从数量型为主向价格型为主的转型。
With the institutional liberalization of interest rates in China, the guiding role of policy interest rate on market interest rate has been gradually improved. However, the transmission of interest rate in China still has the characteristics of the 'two-track system', which affects the efficiency of the monetary transformation to certain extent. How to choose a suitable key policy interest rate from the existing multiple policy interest rates directly affects to the efficiency of the current monetary policy transformation. The paper chooses the 7-day and 14-day reverse repo rates of the central bank as the alternative key policy interest rates. Using a threshold error correction model, we verify the controllability of two key policy interest rates over overnight market benchmark interest rates. The empirical results show that there is a threshold effect between the two key policy interest rates and the market benchmark interest rate. The 7-day reverse repo rate plays a stronger role in guiding the overnight market benchmark interest rate. When they deviate from the equilibrium level, it is adjusted by the market benchmark interest rate. The adjustment time of overnight market benchmark interest rate in normal regime is about 19 weeks, while in non-normal regime it is only 2 weeks. The paper proposes that, in the future;the 7-day reverse repo rate should be identified as the key policy interest rate as soon as possible. In the near future, we can link a number of policy interest rates, such as the benchmark interest rate for deposits and loans, to key policy rates. When time matures, we will merge them into one key policy rate.
作者
张炎涛
王溪岚
ZHANG Yantao;WANG Xilan
出处
《金融监管研究》
CSSCI
北大核心
2019年第2期16-28,共13页
Financial Regulation Research
关键词
货币政策传导机制
关键政策利率
市场基准利率
两区制阈值误差修正模型
Monetary Transmission Mechanism
Key Policy Interest Rate
Market Benchmark Interest Rate
Two-Threshold Error Correction Model
