利率走廊的理论与实证分析

›› 2018, Vol. 30 ›› Issue (12): 23-31.

利率走廊的理论与实证分析

梁子凌¹, 宋吟秋¹, 吕萍²

1. 中国科学院大学经济与管理学院, 北京 100190;
2. 中国科学技术大学管理学院, 合肥 230026

收稿日期:2017-09-20 出版日期:2018-12-28 发布日期:2018-12-21
作者简介:梁子凌,中国科学院大学经济与管理学院硕士研究生;宋吟秋,中国科学院大学经济与管理学院教授,博士生导师;吕萍,中国科学技术大学管理学院副教授。
基金资助:
中国科学院项目（Y72902DEB1）。

Theoretical and Empirical Analysis of Interest Rate Corridor

Liang Ziling¹, Song Yinqiu¹, Lu Ping²

1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
2. School of Management, University of Sciences and Technology of China, Hefei 230026

Received:2017-09-20 Online:2018-12-28 Published:2018-12-21

摘要/Abstract

摘要：

该论文主要从理论与实证两个角度就走廊降低利率波动的问题进行了探讨：理论上，本文通过建立局部均衡模型说明走廊运作的具体机理，证明了缩减走廊宽度及提高走廊上限工具便利性有利于强化波动平抑功能；实证上，文章结合虚拟变量和GARCH模型对中国走廊波动平抑效果进行了检验。结论显示，2015年3月相比2015年11月下调SLF利率后，利率波动的下降更加明显。但前一次调控的幅度不及后一次。本文推测是2015年一季度SLF试点范围的扩大提升了上限工具的便利性并强化了2015年3月的调控效果。

关键词: 利率走廊, 理论模型, 实证分析

Abstract:

The corridor's mechanism of reducing the volatility of interest rate is studied in this paper from two aspects:theory and empirical research. On the one side, by building a partial equilibrium model, the operating mechanism of interest rate corridor is illustrated and it is proved that the function of the corridor would be reinforced once the width is narrowed or the facility of the ceiling is improved. On the other side, by utilizing the dummy variable and GARCH model, an empirical research is conducted on the data from Chinese market. It is shown that the effect of the adjustment of SLF rate in March 2015 is more obvious than the one in November 2015, though the former one has a narrower range of adjustments. It is supposed that the enlargement of the scope of applicants in the first quarter of 2015 led to improved facility of SLF, resulting in the reinforcement of effects of the adjustment in March 2015.

Key words: interest rate corridor, theoretical model, empirical analysis

梁子凌, 宋吟秋, 吕萍. 利率走廊的理论与实证分析[J]. , 2018, 30(12): 23-31.

Liang Ziling, Song Yinqiu, Lu Ping. Theoretical and Empirical Analysis of Interest Rate Corridor[J]. , 2018, 30(12): 23-31.

参考文献

[1] Wicksell K. The Scandinavian Monetary Policy System after the War[C]. Knut Wicksell:Selected Essays, 1999
[2] Poole W. Commercial Bank Reserve Management in a Stochastic Model:Implications for Monetary Policy[J]. Journal of Finance, 1968,23(5):769-791
[3] Whitesell W. Interest Rate Corridors and Reserves[J]. Journal of Monetary Economics, 2006,53(6):1177-1195
[4] Dotsey M. Monetary Policy and Operating Procedures in New Zealand[J]. Federal Reserve Bank of Richmond Economic Review, 1991,77(5):13-19
[5] Kevin C. Implementation of Monetary Policy in a Regime with Zero Reserve Requirements[R]. Working Paper of Bank of Canda, 1997
[6] Victor G., Gabriel P., Hugo R. Interest Rate Determination in the Interbank Market[R]. Working Paper of ECB, 2004
[7] Woodford M. Monetary Policy in a World without Money[J]. International Finance, 2000,3(2):229-260
[8] Goodhart C. The Conduct of Monetary Policy[J]. Economic Journal, 1898,33(99):293-346
[9] Keister T., Martin A., McAndrews J. Divorcing Money from Monetary Policy[J]. Economic Policy Reviews, 2008,14(2):41-56
[10] Curdia V., Woodford M. The Central-Bank Balance Sheet as an Instrument of Monetary Policy[J]. Journal of Monetary Economics, 2010,58(1):54-79
[11] Berentsen A., Monnet C. Monetary Policy in a Channel System[J]. Journal of Monetary Economics, 2008,55(6):1067-1080
[12] Martin A., Monnet C. Monetary Policy Implementation Frameworks:A Comparative Analysis[J]. Macroeconomics Dynamics, 2011,15(S1):145-189
[13] Ulrich B., Juliusz J. The Optimal Width of the Central Bank Standing Facilities Corridor and Bank's Day-To-Day Liquidity Management[R]. ECB Working Paper NO.1350, 2011
[14] Lee J. Corridor System and Interest Rates:Volatility and Asymmetry[J]. Journal of Money Credit & Banking, 2016,48(8):1815-1838
[15] Frost J., Logan L., Martin A., et al. Overnight RRP Operations as a Monetary Policy Tool:Some Design Considerations[R]. Fedral Reserve Bank of New York:Staff Reports No.712, 2015
[16] Chen H., Chow K., Tillmann P. The Effectiveness of Monetary Policy in China:Evidence from a Qual VAR[R]. HKIMR Working Paper No.06, 2016
[17] Berkelmans L., Kelly G., Sadeghian D. Chinese Monetary Policy and the Banking System[J]. Journal of Asian Economics, 2016,27(46):38-55
[18] 毛泽盛,李鹏鹏. 超额存款准备金付息制度与"利率走廊"构建[J]. 当代经济研究, 2014,15(3):75-81
[19] 牛慕鸿,张黎娜,张翔,等. 利率走廊、利率稳定性和调控成本[R]. 中国人民银行工作论文, 2015
[20] 胡海鸥,贾德奎. "利率走廊"调控的运行机制及其在中国的实践意义[J]. 上海金融, 2004,25(2):12-14
[21] 申琳. "利率走廊"能降低短期市场利率波动吗[J]. 财贸经济, 2015,36(9):61-73
[22] 丛剑锋. 常备借贷便利构建利率走廊上限的有效性分析[J]. 甘肃金融, 2016,19(11):30-33
[23] 黄小英,刘婷. 利率走廊降低利率波动的机理与实证检验——基于发达国家央行数据的实证研究[J]. 现代财经(天津财经大学学报), 2017,37(2):55-68
[24] 曲彬. 中国价格型货币政策调控模式的前瞻性研究——"利率走廊"调控新范式初探[J]. 华北金融, 2014,32(7):8-11
[25] 杨迪川. 利率走廊的国际经验与中国利率走廊构建研究[J]. 金融监管研究, 2016,9(11):43-64
[26] 孙彬彬,周岳,高志刚. 从国际实践看利率走廊的中国路径[J]. 债券, 2016,12(1):34-41
[27] 孟士清. 构建中国的利率走廊:国际经验与国情分析[J]. 现代金融, 2015,28(12):34-36
[28] 王莹. "利率走廊"操作模式在中国的适用性分析[J]. 上海金融, 2016,37(12):17-20
[29] 巴曙松,尚航飞. 利率走廊调控模式的演进、实践及启示[J]. 现代经济探讨, 2015,22(5):5-10
[30] 官慧,刘义圣. 利率走廊模式的国际比较与中国现实选择[J]. 亚太经济, 2016,32(6):38-42
[31] 方先明. 价格型货币政策操作框架:利率走廊的条件、机制与实现[J]. 经济理论与经济管理, 2015,35(6):43-51
[32] 刘兆强,倪全学. 主要新兴市场国家利率走廊货币政策框架选择及启示[J]. 时代金融, 2017,2(3):10-11
[33] 徐慧伦,耿亚莹,谭小芬. 完善利率走廊疏通传导机制[J]. 清华金融评论, 2017,5(2):65-68