【作者】 古旻；

【导师】 张宗益；

【作者基本信息】 重庆大学 ， 技术经济及管理， 2010， 博士

【摘要】 利率传导机制是反映货币政策如何调节利率,再通过利率引起其他经济变量,如消费、投资的变化,从而影响整个国民经济的机理与过程。20世纪90年代以来,随着各国金融管制的放松和金融创新的加快,货币供应量指标的界定、统计和监测越发困难,而且货币供应量与国民收入、价格等宏观经济变量之间的关系不断弱化,因此许多西方经济发达国家转向了以利率为主导的货币政策框架,利率渠道成为这些国家货币政策传导的主渠道。从我国来看,随着利率市场化改革的深入,利率传导机制的地位也在逐步提高,在这样的国内外大环境下,对我国利率传导机制理论及效应开展研究,具有十分重要的理论和实际意义。本文首先对利率传导机制的有关理论和主要发达国家利率传导机制的运用情况进行了介绍,并对建国以来我国的利率政策调控历程进行了回顾。从主要发达国家的利率传导机制看,都是由中央银行通过货币政策操作,引导基准利率发生变化,再由基准利率引导整个利率体系发生变化,进而对投资、消费等行为发生影响,由此实现货币政策的有效传导。从我国的利率调控方式来看,既有中央银行调整金融机构存、贷款利率的直接调控方式,也有中央银行通过货币政策操作影响市场基准利率的间接调控方式,利率传导机制呈现“双轨制”特征。其次,由于利率传导机制作用的发挥有赖于利率市场化的程度,因此本文对利率市场化的主要理论进行了综述,对我国的利率市场化进程进行了梳理,并对我国现行的利率体系及其特点进行了总结和分析。目前我国的同业拆借市场、银行间债券市场、票据市场等的利率已基本实现了市场化,但金融机构存贷款利率的市场化还在逐步推进,因此目前我国的利率体系呈现出管制利率和市场利率并存的局面,由此增大了我国利率传导机制的复杂性。第三,由于从主要发达国家利率传导机制的实践看,基准利率在利率传导机制中的作用突出,因此本文对我国基准利率传导效应进行了深入系统研究。研究表明,在完全利率市场化的情况下,基准利率变动可以影响信贷市场利率,由此实现货币政策的有效传导,但在管制利率和市场利率双轨并行的情况下,由于货币政策操作只能对货币需求曲线上有限的区域产生影响,因此利率传导机制在多数情况下是无效的。为了对理论研究的结果进行论证,本文进一步对基准利率的传导效应进行了实证研究。从实证研究结果看,目前我国的公开市场操作对主要市场基准利率具有较显著的引导作用,但基准利率对其他利率的传导效应并不显著,这与理论研究结果是一致的。此外,本文以票据市场为例,对基准利率通过票据市场向实体经济的传导效应进行了实证分析,分析显示,当中央银行以基准利率作为货币政策操作目标时,其货币政策意图可以通过票据市场传导到实体经济中。第四,针对我国利率市场化改革尚未完成、管制利率和市场利率并存的特殊情况,本文构建了一个VEC系统,将管制利率和市场利率纳入其中,并通过协整检验、格兰杰因果检验、脉冲响应分析、方差分解等实证研究方法,分别对管制利率和市场利率作用于投资、消费、总产出和物价等三个方面进行了比较研究。研究表明,管制利率和市场利率的传导效应都不显著,且存在一些和理论相悖的情况,如市场利率上调会推动消费增长加快、管制利率上调会推动物价水平走高等。研究同时表明,管制利率和市场利率的传导效应存在一定差异:从利率调整的作用时效看,在利率调整后较短时间内,管制利率的传导效应大于市场利率,但从较长时间看,市场利率的传导效应大于管制利率;从影响利率调整的因素看,物价水平的变化会导致中央银行对管制利率的调整,因此我国央行对金融机构存贷款利率的调整在某种程度上遵循的是“通胀目标制”,但同时,投资、消费、总产出和物价水平的变化都不会导致我国市场利率发生变化,反映出目前我国央行公开市场操作的主要目标仍是调整市场的流动性而不是市场利率。第五,在前面研究结论的基础上,本文对影响我国利率传导机制的传导效应的制约因素进行了分析。分析显示,影响我国利率传导机制传导效应的制约因素主要包括:利率管制的影响、微观经济主体利率敏感度低的影响、商业银行逐利经营行为的影响、金融市场发展不完善的影响等几方面。最后,本文基于前述研究结论,有针对性地提出了相关的政策建议:一是加快推进利率市场化改革;二是不断提高实体经济对利率的敏感性;三是加快发展金融市场;四是提高央行货币政策操作的独立性。更多还原

【Abstract】 Interest rates transmission mechanism is a process effecting the whole national economy, which reflects the way that monetary policy regulate interest rate, and how other economic variables, such as consuming and investment, had been caused through it. Since the 90s of the 20th century, with the world’s financial deregulation relaxed and financial innovation accelerated, it has been more difficult in the money supply indicators’ definition, statistics and monitoring, and it has been weakened continuously in the relationship of macroeconomic variables between money supply, national income and prices. Therefore, many western countries turned their monetary policy framework into interest rate-driven, which means that interest rate becomes the main channel of monetary policy transmission in these countries. As far as Chinese conditions, it has great theoretical and practical significance to carry out research of interest rate transmission mechanism in China in such a domestic and international environment of the interest rate market reforming deepened and the status of the interest rate transmission mechanism gradually improved.In this dissertation, it has firstly introduced the theory of the interest rate transmission mechanism and its usage in the major developed countries. And it has reviewed the history of regulation since the founding of PRC. As we know that the interest rate perspective in major developed countries are carried out monetary policy by the central bank to guide changes in benchmark interest rates which will lead changes in the whole interest rate system. So that it can effect investment, consumption and other behaviours for achieving effective transmission of monetary policy. In China, it has the regulation system as the above as well as direct regulation of adjusting deposit and loan interest rate in the existing financial institutions by China central bank. So the interest rate transmission mechanism is Dual-Track in China.Secondly, this paper reviewed the main theory of market-based rates, carried out Chinese process, and summary and analysis our country’s current system and its characteristics because the development of interest rate transmission mechanism depends on the degree of its marketization. At present, China’s interest rate in the call market, the inter-bank bond market, and bill market has been basically realized marketization. However, it still needs gradual promotion at deposit and loan rates in financial institutions. Thus the current interest rates in China shows resisting the coexistence of control and market which has increased complexity in the interest rate transmission mechanism.Thirdly, this dissertation has studied deeply on transmission effect in China’s benchmark interest rate because it has played a prominent role in the transmission mechanism as the practice in major developed countries. And Research suggests that the benchmark interest rate movements can affect the credit market interest rates on the condition of total free interest rate market, thereby achieving effective transmission of monetary policy. While on the parallel case of the control interest rates and market interest rates, the interest rate transmission mechanism in most cases is invalid because monetary policy can only effect a limited region on currency demand curve. In order to demonstrate the results of theoretical research, this paper implement an empirical study on the benchmark interest rate transmission effect. From the empirical results, the current operations in open market in China has a more significant role in guiding major market benchmark interest rate which is not significant on other interest rates transmission effect, which is consistent with theoretical results. In addition, the paper notes the market as an example, empirically analysing the conduction effect of the benchmark interest rate to the real economy through the bill market, which shows that monetary policy intentions of the central bank can be transmitted to the real economy when it targets the benchmark interest rate as a monetary policy operations.Fourthly, in view of the special case that the interest rate reform has not been completed and it has coexist in control interest rates and market interest rates, this paper has constructed a VEC system containing control interest rates and market interest rates which has comparatively analysed the three areas of investment, consumption, output and prices affected by control interest rates and market interest rates respectively through empirical research methods of co-integration test, Granger causality test, impulse response analysis, variance decomposition. The results show that control the transmission rate and market interest rate effect is both not significant as well as there is some situations that is contrary to theory, such as increasing market interest rates will push accelerating spending growth and increasing control interest rates will push prices to go higher, etc. The study also shows that there are some differences in the conduction effect in control interest rates and market interest rates, which means that the former rates is greater than the later rates in a relatively short time after the interest rate adjustments from the time of conduction effect, on the other hand, from the factors that influence adjusting interest rates changing price level will lead to adjust control interest rates by central bank, therefore China’s central bank has followed the "inflation targeting"to some extent on interest rates of deposit and loans in financial institutions, at the same time, investment, consumption, total output and price level changes have not led to change market interest rates in China, reflecting that the main goal of open market operations by China’s central bank remains adjusting the liquidity of the market rather than market interest rates at present.Fifthly, based on the previous conclusions, it has analysed the constraints of transmission effects that influence interest rate transmission Mechanism, which shows that there are several factors constraining interest rate transmission mechanism which are the impact of interest rate controls, the lower sensitivity of the main micro-economic subjects about interest rate, the impact of pursuing profits on the behaviour of commercial bank, the impact of imperfect aspects in financial market development .In the end, Based on the foregoing conclusions, it has put forward some policy recommendations: First, to accelerate market-oriented interest rate reform; second, to continuously improve the sensitivity of interest rate in the real economy; Third, to accelerate the development of financial markets; fourth, to improve policy operation independence in central bank’s monetary policy.更多还原